Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and demonstrate that a subset is necessary to improve directional accuracy based on a machine learning ensemble. In our experiments, we study which time series and machine learning algorithms deliver the best results. We found that the most relevant time series that contribute to improving directional accuracy are Open, High and Low, with the largest contribution of Low in combination with an ensemble of Gated Recurrent Unit network and a baseline forecast. The relevance of other Bitcoin-related features that are not price-related is negligible. The proposed method delivers similar performance to the state-of-the-art when observing directional accuracy.
View on arXiv@article{sossi-rojas2025_2504.18206,
title={ A Machine Learning Approach For Bitcoin Forecasting },
author={ Stefano Sossi-Rojas and Gissel Velarde and Damian Zieba },
journal={arXiv preprint arXiv:2504.18206},
year={ 2025 }
}