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Coinscious Market Report - September 2, 2019 - ETC, BTG

Ethereum Classic (ETC) Defies Bear Market & Beats Bitcoin

By | Coinscious Lab, Data Analytics, Market Report | No Comments

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from August 3, 2019 to September 1, 2019. ethereum classic

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies. Please see Appendix A for the complete list. ethereum classic

Analysis

The performance of major cryptocurrencies over the past month was bad, with only 6 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is currently trading at $9900 at the time of writing, having oscillated between $10525 and $9775 last week. ETC

Outside of cryptocurrencies, the S&P 500 is down -1.76% from 30 days ago and closed last Friday at $292.37.

Figure 1 presents the risk versus return trade-off over the past 30 days by plotting mean daily return versus historical daily volatility for various cryptocurrencies. 

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from August 3, 2019 to September 1, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Ethereum Classic ETC - Risk Return - September 1, 2019

The best performer overall over the past month was Ethereum Classic (ETC), with a total return of 6.59%. Ethereum Classic is a hard fork of Ethereum having consistently more efficient value transfers and a focus on IoT applications. Ethereum Classic also had the second highest Sharpe ratio of the cryptocurrencies analyzed, beat only by MakerDAO’s stablecoin (DAI). 

The second and third best performing cryptocurrencies were Paxos Standard (PAX) and TrueUSD (TUSD) – both stablecoins – with total returns of 0.19% and 0.11%, respectively. 

Bitcoin Gold (BTG) was the worst performing cryptocurrency, with total losses of 40.37%. Bitcoin Gold is a hard fork of Bitcoin and will be delisted from Bittrex this mid-September. The second and third worst performing cryptocurrencies were MonaCoin (MONA) and Litecoin (LTC), with total losses of 35.39% and 32.83%, respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from August 3, 2019 to September 1, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate. 

ETC, DAI, PAX, TUSD, USDC - Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from August 3, 2019 to September 1, 2019

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from August 3, 2019 to September 1, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate. Bitcoin

BTG, MONA, LTC, BTM, ZEC - Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from August 3, 2019 to September 1, 2019.

Figure 3 plots daily candlesticks of the prices of Bitcoin (BTC), Ether (ETH) and XRP (XRP), the three largest cryptocurrencies by market capitalization. In addition, the following commonly used technical analysis indicators are shown:

  • Simple moving averages (SMA) with periods of 50, 100, and 200 days
  • Relative strength index (RSI) with a period of 14 days
  • Moving average convergence divergence (MACD) with a fast EMA period of 12 days, slow EMA period of 26 days, and a signal period of 9 days

The 50-day simple moving averages for Bitcoin is above the 100-day moving average. Ether had a crossover from above to below before mid-August while XRP remained below throughout the month. This indicates a short-lived bullish market at the beginning of August, but overall ending with a bearish signal. 

The RSI values of Bitcoin briefly increased to high 60’s but dipped below again. Both RSI values for Ether and XRP oscillated between 30-50’s – neither overbought nor oversold – for the entire past 30 days.

For all top three cryptocurrencies, the MACD line crossed below the MACD signal line towards mid-August. This is known as a bearish crossover and could be interpreted as a short-lived bearish signal. ethereum classic

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from August 3, 2019 to September 1, 2019.

Price of Bitcoin (BTC) in USD at Bitstamp from August 3, 2019 to September 1, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from July 7, 2019 to August 4, 2019. ETC

Price of Ether (ETH) in USD at Bitstamp from August 3, 2019 to September 1, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from July 7, 2019 to August 4, 2019.

Price of XRP (XRP) at Bitstamp in USD from August 3, 2019 to September 1, 2019.

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from August 3, 2019 to September 1, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Cryptocurrencies - Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from August 3, 2019 to September 1, 2019. - ETC
mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from August 3, 2019 to September 1, 2019. - ETC, XRP

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from August 3, 2019 to September 1, 2019 was used for our calculations. ETC

The prices are the volume weighted average price of the cryptocurrency in USD at 4:00 PM EST each day across all exchanges where Coinscious has data. The only exception is Siacoin (SC), where we used the Yahoo Finance price instead due to data quality issues at the time of writing.

Daily closing price data of the S&P 500 index was obtained from Yahoo Finance. The latest 10 year US Treasury bill rate from YCharts was used for calculations involving a risk-free rate.

In subsequent reports, we may update our universe, sectors, methodology, and analysis to reflect new developments.

APPENDIX C: Terminology

  • Volatility: A measure of the dispersion in the trading price of an instrument over a certain period of time, defined as the standard deviation of an instrument’s returns.
  • Sharpe ratio: A risk adjusted measure of return that describes the reward per unit of risk. The reward is the average excess returns of an investment against a benchmark or risk-free rate of return, and the risk is the standard deviation of the excess returns. A higher Sharpe ratio is better. Ex-ante Sharpe ratio is calculated with expected returns whereas ex-post Sharpe ratio is calculated with realized historical returns.

Disclaimer

The information contained herein is for informational purposes only and is not intended as a research report or investment advice. It should not be construed as Coinscious recommending investment in cryptocurrencies or other products or services, or as a solicitation to buy or sell any security or engage in a particular investment strategy. Investment in the crypto market entails substantial risk. Before acting on any information, you should consider whether it is suitable for your particular circumstances and consult all available material, and, if necessary, seek professional advice.

Coinscious and its partners, directors, shareholders and employees may have a position in entities referred to herein or may make purchases and/or sales from time to time, or they may act, or may have acted in the past, as an advisor to certain companies mentioned herein and may receive, or may have received, a remuneration for their services from those companies.

Neither Coinscious or its partners, directors, shareholders or employees shall be liable for any damage, expense or other loss that you may incur out of reliance on any information contained in this report. ethereum classic

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Coinscious Cryptocurrency Market Report - August 19, 2019

Tezos Triumphs As 90% of Major Cryptocurrencies See Losses

By | Coinscious Lab, Data Analytics, Market Report | No Comments

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from July 20, 2019 to August 18, 2019.

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies. Please see Appendix A for the complete list.

Analysis

The performance of major cryptocurrencies over the past month was mostly bad – only 5 out of the 50 cryptocurrencies that we examined are up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is currently trading slightly above $10300 at the time of writing, and traded between $9500 and $12000 last month.

Outside of cryptocurrencies, the S&P 500 is down 2.95% from 30 days ago and closed last Friday at $2888.86.

Figure 1 presents the risk versus return trade-off over the past 30 days by plotting mean daily return versus historical daily volatility for various cryptocurrencies. 

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from July 20, 2019 to August 18, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Tezos - Risk Return - August 19, 2019

The best performer overall over the past month was Tezos (XTZ), with a total return of 19.10%. Tezos is a self-amending proof-of-work dApp platform with built in mechanisms designed to remove the need to hard fork when implementing protocol amendments.

The second and third best performing cryptocurrencies were Huobi Token (HT) and IOST (IOST), with total returns of 11.92% and 7.43% respectively. 

Bitcoin Gold (BTG) was the worst performing cryptocurrency, with total losses of 50.77%. Bitcoin Gold is a fork of Bitcoin created in August 2017, aimed at fixing the perceived issue of miner centralization in the original Bitcoin.

The second and third worst performing cryptocurrencies were Bytom (BTM) and Tronix (TRX) with total losses of 42.83%  and 40.79% respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from July 20, 2019 to August 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

XTZ, HT, IOST, TUSD, USDC - Cryptocurrencies Return, Volatility, Sharpe Ratio

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from July 20, 2019 to August 18, 2019 More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

BTG, BTM, TRX, KMD, ZEC - Cryptocurrencies Return, Volatility, Sharpe Ratio

Figure 3 plots daily candlesticks of the prices of Bitcoin (BTC), Ether (ETH) and XRP (XRP), the three largest cryptocurrencies by market capitalization. In addition, the following commonly used technical analysis indicators are shown:

  • Simple moving averages (SMA) with periods of 50, 100, and 200 days
  • Relative strength index (RSI) with a period of 14 days
  • Moving average convergence divergence (MACD) with a fast EMA period of 12 days, slow EMA period of 26 days, and a signal period of 9 days

The 50-day simple moving averages for Bitcoin continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. However, Ether and XRP’s moving averages showed a long-term bearish signal, with the 50-day moving average below the 100-day moving average.

The RSI for Bitcoin, Ether, and XRP are between 30 and 70; neither overbought or oversold. XRP briefly dipped into oversold territory a couple days ago but has since bounced back.

For all top three cryptocurrencies, the MACD line is below the MACD signal line. However, the histograms shows the gap decreasing, and the MACD lines may cross the MACD signal lines soon, which would be a bullish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 20, 2019 to August 18, 2019.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 20, 2019 to August 18, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from July 20, 2019 to August 18, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from July 20, 2019 to August 18, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from July 20, 2019 to August 18, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from July 20, 2019 to August 18, 2019.

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from July 20, 2019 to August 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Cryptocurrency List - August 19, 2019
Cryptocurrency List - August 19, 2019 - Tezos

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from July 20, 2019 to August 18, 2019 was used for our calculations.

The prices are the volume weighted average price of the cryptocurrency in USD at 4:00 PM EST each day across all exchanges where Coinscious has data. The only exception is Siacoin (SC), where we used the Yahoo Finance price instead due to data quality issues at the time of writing.

Daily closing price data of the S&P 500 index was obtained from Yahoo Finance. The latest 10 year US Treasury bill rate from YCharts was used for calculations involving a risk-free rate.In subsequent reports, we may update our universe, sectors, methodology, and analysis to reflect new developments.

APPENDIX C: Terminology

  • Volatility: A measure of the dispersion in the trading price of an instrument over a certain period of time, defined as the standard deviation of an instrument’s returns.
  • Sharpe ratio: A risk adjusted measure of return that describes the reward per unit of risk. The reward is the average excess returns of an investment against a benchmark or risk-free rate of return, and the risk is the standard deviation of the excess returns. A higher Sharpe ratio is better. Ex-ante Sharpe ratio is calculated with expected returns whereas ex-post Sharpe ratio is calculated with realized historical returns.

Disclaimer

The information contained herein is for informational purposes only and is not intended as a research report or investment advice. It should not be construed as Coinscious recommending investment in cryptocurrencies or other products or services, or as a solicitation to buy or sell any security or engage in a particular investment strategy. Investment in the crypto market entails substantial risk. Before acting on any information, you should consider whether it is suitable for your particular circumstances and consult all available material, and, if necessary, seek professional advice.

Coinscious and its partners, directors, shareholders and employees may have a position in entities referred to herein or may make purchases and/or sales from time to time, or they may act, or may have acted in the past, as an advisor to certain companies mentioned herein and may receive, or may have received, a remuneration for their services from those companies.

Neither Coinscious or its partners, directors, shareholders or employees shall be liable for any damage, expense or other loss that you may incur out of reliance on any information contained in this report. Bitcoin

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Bitcoin Price Jumps Past $7,600

By | Coinscious Lab, Data Analytics, Market Report | No Comments
Biggest
30d % Gain

Bitcoin (BTC) 
+39.46%

Biggest
30d % Loss

Zilliqa (ZIL) 
-18.01%

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from April 13, 2019 to May 12, 2019.

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies. Please see Appendix A for the complete list.

Analysis

The performance of major cryptocurrencies over the past month was overall not very good, with only 18 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, was the best performer over the past month and bitcoin price is $7600 at the time of writing.

Outside of cryptocurrencies, the S&P 500 is down 0.83% from 30 days ago and closed last Friday at $2881.40.

Figure 1 presents the risk versus return trade-off over the past 30 days by plotting mean daily return versus historical daily volatility for various cryptocurrencies.

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from April 13, 2019 to May 12, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment. Volatility, on the x-axis, is presented in log scale.

The best performer overall over the past month was Bitcoin (BTC), with a total return of 39.46%.

The second and third best performing cryptocurrencies were Bitcoin Gold (BTG) and Link (LINK), with total returns of 36.42% and 35.55% respectively.

Zilliqa (ZIL) was the worst performing cryptocurrency, with total losses of 18.01%. Zilliqa is a public blockchain platform designed to handle high transaction rates that scale linearly with network size.

The second and third worst performing cryptocurrencies were Siacoin (SC) and Aeternity (AE) with total losses of 17.26% and 14.29% respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrencies with the highest total returns from April 13, 2019 to May 12, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for cryptocurrencies with the lowest total returns from April 13, 2019 to May 12, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 3 plots daily candlesticks of the Bitcoin price and Ether price, the two largest cryptocurrencies by market capitalization. In addition, the following commonly used technical analysis indicators are shown:

  • Simple moving averages (SMA) with periods of 50, 100, and 200 days
  • Relative strength index (RSI) with a period of 14 days
  • Moving average convergence divergence (MACD) with a fast EMA period of 12 days, slow EMA period of 26 days, and a signal period of 9 days

The indicators for all three cryptocurrencies share many common features.

First, the 50-day simple moving average continues to stay above the 100-day moving average, a continuation of a long-term bullish signal.

Furthermore, for all three cryptocurrencies, the MACD line has crossed below the MACD signal line approximately a week ago. This is known as a bullish crossover and could be interpreted as a bullish signal.

The RSI values of all Ether and XRP are neither oversold or overbought, although both are trending upward and the value for Ether is almost crossing the 70 overbought threshold. Bitcoin’s RSI value is above 70 and indicates that it is overbought. Prices are typically expected to dip after being overbought, but momentum oscillators can also become remain overbought before actually reaching a peak during a strong trend.

Figure 3a. Bitcoin price (BTC) in USD at Bitstamp from April 13, 2019 to May 12, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from April 13, 2019 to May 12, 2019.

Figure 3c. Price of XRP (XRP) in USD at Bitstamp from April 13, 2019 to May 12, 2019.

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from April 13, 2019 to May 12, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate. Bitcoin price

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from April 13, 2019 to May 12, 2019 was used for our calculations.

The prices are the volume weighted average price of the cryptocurrency in USD at 4:00 PM EST each day across all exchanges where Coinscious has data. The only exception is Siacoin (SC), where we used the Yahoo Finance price instead due to data quality issues at the time of writing.

Daily closing price data of the S&P 500 index was obtained from Yahoo Finance. The latest 10 year US Treasury bill rate from YCharts was used for calculations involving a risk-free rate.In subsequent reports, we may update our universe, sectors, methodology, and analysis to reflect new developments.

APPENDIX C: Terminology

  • Volatility: A measure of the dispersion in the trading price of an instrument over a certain period of time, defined as the standard deviation of an instrument’s returns.
  • Drawdown: A measure of the decline of the trading price of an instrument or investment since the previous peak during a certain period of time. Less negative, less frequent, and shorter drawdowns are more desirable.
  • Maximum drawdown: The maximum peak to trough decline of the trading price of an instrument or investment over a certain period of time. Less negative maximum drawdowns are more desirable.
  • Sharpe ratio: A risk adjusted measure of return that describes the reward per unit of risk. The reward is the average excess returns of an investment against a benchmark or risk-free rate of return, and the risk is the standard deviation of the excess returns. A higher Sharpe ratio is better. Ex-ante Sharpe ratio is calculated with expected returns whereas ex-post Sharpe ratio is calculated with realized historical returns.
  • Correlation: A measure of the linear relationship between two series of random variables, which in the context of finance, can be two series of returns. Correlation ranges between -1 and 1. Correlation close to 1 indicates a more positive relationship between the pair of cryptocurrency returns and correlation close to -1 indicates a more negative linear relationship. Correlation close to 0 indicates no linear relationship.

Disclaimer

The information contained herein is for informational purposes only and is not intended as a research report or investment advice. It should not be construed as Coinscious recommending investment in cryptocurrencies or other products or services, or as a solicitation to buy or sell any security or engage in a particular investment strategy. Investment in the crypto market entails substantial risk. Before acting on any information, you should consider whether it is suitable for your particular circumstances and consult all available material, and, if necessary, seek professional advice.

Coinscious and its partners, directors, shareholders and employees may have a position in entities referred to herein or may make purchases and/or sales from time to time, or they may act, or may have acted in the past, as an advisor to certain companies mentioned herein and may receive, or may have received, a remuneration for their services from those companies.

Neither Coinscious or its partners, directors, shareholders or employees shall be liable for any damage, expense or other loss that you may incur out of reliance on any information contained in this report. Bitcoin price.