Does Reinforcement Learning Offer a Higher Return Than StaticOptimization? An Analysis for Cryptocurrencies in the Period 2021-2024

Authors

  • Helberte João França Almeida Professor, Dr. Universidade Federal de Santa Catarina
  • Adilson Giovanini Santa Catarina State University image/svg+xml
  • vitor Augusto Ferreira Universidade Federal de Santa Catarina image/svg+xml

DOI:

https://doi.org/10.31501/1dzygs20

Abstract

This work seeks to use Machine Learning techniques, specifically Reinforcement Learning, to optimize resource allocation in a portfolio composed of five large-cap cryptocurrencies: Bitcoin (BTC), Ethereum (ETH), Binance Coin (BNB), Ripple (XRP), and Solana (SOL) in the period of 2021 the 2024. The results indicate that the Reinforcement Learning model outperformed traditional strategies in the bull market, with a cumulative return of 73.26%, however, struggled in the bear market and sideways market, failing to outperform static allocation. Therefore, conclusion is that the model is effective in bull markets but requires adjustments to improve its performance in adverse scenarios.

 

Author Biographies

  • Adilson Giovanini, Santa Catarina State University

    Prof. Dr. Universidade do Estado de Santa Catarina

  • vitor Augusto Ferreira, Universidade Federal de Santa Catarina

    Graduado, Universidade Federal de Santa Catarina

Published

2026-10-29

Issue

Section

Artigos