We selected the daily trading data of BTC, SPY, DXY, GLD, and QQQ from Yahoo Finance, aiming to analyze the role of BTC in portfolios. This paper believes that BTC, as a high-risk asset, is speculative. Through correlation analysis, its returns were found to be independent of other traditional assets, proving that applying BTC to investment strategies could create arbitrage opportunities. Through various asset combinations in investment portfolio experiments, we found that the intervention of BTC could enhance the returns and optimal Sharpe ratio of the original investment portfolio, and the increase in the optimal Sharpe ratio decreased as the number of assets in the portfolio except for BTC increased. Therefore, for ordinary investors, we suggest adding 10% - 20% of BTC to a single asset. Through out-of-sample testing, we found that the investment strategy that includes BTC investment based on historical data, although it could not achieve the optimal Sharpe ratio, would have higher returns than the optimal Sharpe ratio investment portfolio without BTC intervention in the current period, considering that investors have certain risk tolerance, we believe that the effectiveness of historical investment strategies can be verified.
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