A Comparative Evaluation of SARIMAX, LSTM, and Prophet Models for Cryptocurrency Price Trend Prediction

Read full text
Authors: Drissia Ennagoura, Kamal El Kehal, Abdelhamid Berdai, Safae Merzouk, Khalid El Fahssi, Mohamed El Mahjouby, Mohamed El Far, Mohamed Taj Bennani
Cited by: 1
References: 14

Abstract

Cryptocurrency price prediction is challenging due to strong nonlinearity and high volatility. This paper comparatively evaluates three forecasting models for Ethereum (ETH): SARIMAX with exogenous technical indicators, Long Short-Term Memory (LSTM) networks, and Facebook Prophet. Relative Strength Index (RSI), Moving Average Convergence Divergence (MACD), and Exponential Moving Average (EMA) are incorporated to enhance signal quality. Empirical results reveal clear trade-offs between predictive accuracy, profitability, and risk. SARIMAX achieves the highest directional accuracy (75.00%) with limited profitability, while LSTM yields the highest cumulative profit (23.84%) at the cost of higher drawdown. Prophet provides a balanced compromise between accuracy and risk. The study contributes by jointly evaluating statistical forecasting accuracy and trading-oriented performance metrics, offering practical insights into model suitability for different investor risk profiles.

Fields of Study & Subjects

Stock Market Forecasting Methods Blockchain Technology Applications and Security Financial Markets and Investment Strategies

Publication details

Journal / source
Engineering Technology & Applied Science Research
Publisher
Engineering, Technology & Applied Science Research
Volume
16
Issue
2
Pages
33146–33151
Publication date
4 April 2026