A Comparison of Machine Learning Models for Predicting the Direction of Bitcoin Using Technical and Macroeconomic Indicators

This paper investigates the predictive power of technical indicators and macroeconomic variables for forecasting the future direction of Bitcoin returns over a 30-day horizon. A range of machine learning models including classification and regression algorithms are applied to assess forecasting performance. The dataset comprises daily Bitcoin returns, technical indicators (such as RSI, SMA, and MACD), and macroeconomic variables (including the VIX, US 10-Year Treasury Yield, Gold Price, and USD Index) spanning from April 2014 to 2024. Model performance is evaluated using three key metrics: accuracy, the area under the ROC curve (AUC), and the F-measure. The findings show that machine learning models significantly outperform traditional statistical approaches, particularly after applying feature selection to reduce multicollinearity. Among the evaluated models, gradient boosting and bagging achieve the strongest predictive performance across all metrics, demonstrating the effectiveness of ensemble methods for capturing complex patterns in volatile cryptocurrency markets. JEL Classification Codes : C45, C53, G17, E44, G15