Chasing Alpha in Bitcoin: Forecasting Price Direction and Generating Alpha with Random Forest and LASSO-Logistic
This study examines whether machine learning (ML) models can forecast daily Bitcoin price directions and generate statistically significant alpha in trading strategies. Employing a dual-model approach, we utilize a Random Forest (RF) classifier, leveraging its non-linear strengths and a LASSO-penalized logistic regression as a linear benchmark. Both models are trained on a comprehensive dataset o
