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Crypto Market Report - Bitcoin SV Stays On Top

Bitcoin SV Stays On Top – Total Return of 232% In Past Month

By | Coinscious Lab, Data Analytics, Market Report | No Comments
Crypto Market Report - Bitcoin SV Stays On Top

Overview Bitcoin SV

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 May 11, 2019 to June 9, 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 good, with 44 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 slightly about $7900 at the time of writing. Bitcoin SV

Outside of cryptocurrencies, the S&P 500 is down 0.28% from 30 days ago and closed last Friday at $2873.34.

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 May 11, 2019 to June 9, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Crypto Market Risk vs. Return - Bitcoin SV Stays On Top

The best performer overall over the past month was Bitcoin SV (BSV), with a total return of 232.00%. Bitcoin SV was created last November after a hard fork to Bitcoin Cash. It aims to restore the original Bitcoin protocol, closely following the concept as described in Satoshi Nakamoto’s white paper.

The second and third best performing cryptocurrencies were Monacoin (MONA) and Chainlink (LINK), with total returns of 160.57% and 67.83% respectively.

Basic Attention Token (BAT) was the worst performing cryptocurrency, with total losses of 7.66%. Basic Attention Token is a digital advertising token used to connect advertisers, content publishers, and content users. It is intended to monetize and reward user attention while also providing advertisers with better ROI.

The second and third worst performing cryptocurrencies were Reputation (REP) and Bytecoin (BCN) with total losses of 5.89%  and 1.28% 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 May 11, 2019 to June 9, 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 Positive Return - Bitcoin SV

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 May 11, 2019 to June 9, 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 Negative Return - 2019-06-10

Figure 3 plots daily candlesticks of the prices of BTC and ETH, the two largest cryptocurrencies by market capitalization. We also show BSV the top performer this past month. 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 and Ethereum continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. In addition, the 50-day simple moving average for Bitcoin SV just crossed above the 100-day moving average in May. This is the start of a long-term bullish signal.

The RSI values of three cryptocurrencies crossed below the 70 overbought threshold from above at various times over the past month; a bearish signal that indicates that upwards momentum has ended. The RSI values are now in between 30 and 70, indicating that they are neither overbought or oversold.

For Bitcoin and Ethereum, the MACD line crossed below MACD signal line around the end of May, and in the case of Bitcoin SV, this just happened on June 8. This is known as a bearish crossover and can also be interpreted as a bearish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from May 11, 2019 to June 9, 2019.

Price of BTC at Bitstamp - 2019-06-10

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from May 11, 2019 to June 9, 2019.

Price of ETH at Bitstamp - 2019-06-10

Figure 3c. Price of Bitcoin SV (BSV) at Binance in USD from May 11, 2019 to June 9, 2019. BSV

Price of Bitcoin SV at Binance - 2019-06-10

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 May 11, 2019 to June 9, 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 - Bitcoin SV
Cryptocurrency List - 2019-06-10
Cryptocurrency List - 2019-06-10

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from May 11, 2019 to June 9, 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 price.

New 2019 High For BTC, But LINK Is the Bigger Winner

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 April 27, 2019 to May 26, 2019. LINK

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

Analysis

The performance of major cryptocurrencies over the past month was good, with only 44 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is on the rise and is currently trading slightly above $8700 at the time of writing.

Outside of cryptocurrencies, the S&P 500 is down 3.97% from 30 days ago and closed last Friday at $2826.06.

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 27, 2019 to May 26, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

LINK - Cryptocurrency Risk Return

The best performer overall over the past month was Chainlink (LINK), with a total return of 158.14%. Chainlink aims to be a reliable decentralized data oracle that provides data inputs for smart contracts.

The second and third best performing cryptocurrencies were Bitcoin SV (BSV) and Ether (ETH), with total returns of 73.03% and 59.78% respectively.

Reputation (REP) was the worst performing cryptocurrency, with total losses of 8.69%. Augur is a decentralized oracle and peer-to-peer protocol for prediction markets. Reputation is the cryptocurrency used by reporters during market dispute phases of Augur.

The second and third worst performing cryptocurrencies were Basic Attention Token (BAT) and USD Coin (USDC) with total losses of 7.29% and 4.40% 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 April 27, 2019 to May 26, 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. LINK

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 April 27, 2019 to May 26, 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 prices of Bitcoin ( BTC ) and Ether ( ETH ), the two largest cryptocurrencies by market capitalization. We also present the daily candlesticks of the price of Chainlink ( LINK ), the best performer of the past month. 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.

The RSI values of all three cryptocurrencies crossed below the 70 overbought threshold from above; a bearish signal that potentially indicates the end of upwards momentum.

Furthermore, for all three cryptocurrencies, the MACD line is about to cross, or has just crossed below MACD signal line approximately a week ago. This is known as a bearish crossover and can also be interpreted as a bearish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from April 27, 2019 to May 26, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from April 27, 2019 to May 26, 2019.

Figure 3c. Price of ChainLink ( LINK ) in USDT at Binance from April 27, 2019 to May 26, 2019. LINK

Binance LINK USDT

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 27, 2019 to May 26, 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.

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from April 27, 2019 to May 26, 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 price.

Building A Stronger Cryptocurrency Portfolio

By | Cryptocurrency | No Comments

With the cryptocurrency market still in its infancy, there are many windows of opportunity for the right investors. Crypto investors, both individual and institutional, want to succeed in this volatile marketplace by maximizing their profits with the lowest possible risk. However, with a plethora of assets to choose from, it’s not as simple as trusting biased opinions that voice optimism one day and skepticism the next. Instead, investors need to focus on researching the potential assets they’re investing in and understanding their risk profile to ensure success. Here, we introduce new analytics, tools and resources that help crypto investors easily identify valuable asset candidates that contribute to building a stronger cryptocurrency portfolio.

Understanding Risk-Return Tradeoff

Technical data may seem daunting perceive without the right know-how. A risk-return plot is a simple way to visually see an asset’s performance relative to its volatility. In the following example, we will examine a historical plot from our market report of the mean daily return versus daily volatility for the top 50 cryptocurrencies between February 28, 2019 to March 28, 2019.

Figure 1. Mean daily return against historical daily volatility from February 28, 2019 to March 28, 2019.

a) Comparing Similar Assets

Let’s say we wanted to consider a return level just above 1%, how do we determine which asset to consider adding to our portfolio?

In Figure 1, the red line (1) shows that there are four assets that have mean daily returns slightly above 1%: Litecoin (LTC), OmiseGO (OMG), Basic Attention Token (BAT), and Ontology (ONT). Although the assets may have similar daily return levels, they do not share the same behaviour.

Next, we look at the diagonal blue line (2) in figure 1 and see which asset falls on the left-most side. Assets towards the left of the plot represent assets with lower volatility. Therefore, among the assets that offer the same level of return, Litecoin is the least volatile and the best choice out of the four to add to our portfolio.

b) Investigating Outliers

Riskier assets are found in the top-rightmost corner of the risk-return plot. These outlier assets represent assets that offer the highest mean daily return but are also the most volatile.

In Figure 1, the green line (3) shows that Tezos (XTZ) stands out. Tezos is a self-amending proof-of-work dApp platform that removes the need to hard fork when implementing protocol amendments. Although, higher risk investments may have the highest potential return, there is no guarantee. We can use real-time analytics from our Coinscious Terminal to look at Tezos’ performance for a longer duration of time and determine whether it’s worth adding to our portfolio or if it’s too risky.

Figure 2. Tezos (XTZ) return and risk table from: https://terminal.coinscious.io

From the table in Figure 2, we see that in terms of return, Tezos offers positive returns with price changes – constantly growing from one day to three months. The same table also shows that in terms of risk, Tezos’ volatility over one month and one year are both relatively low, and its price sits on the higher end.

Based on the data above, Tezos looks to be a favourable asset to add to our portfolio. We can deepen our understanding of by looking at performance analytics, trend sentiments, and indicator analytics featured on Tezos’ individual asset page (Figure 3).

Figure 3. Tezos (XTZ) performance analytics, trend sentiments and indicator analytics from: https://terminal.coinscious.io/details/XTZ/en

Tezo’s overall one-year performance and risk analytics identify: Sharpe ratio, alpha, beta, r-squared, mean return and volatility values, maximum drawdown, Value at Risk (VaR), and expected shortfalls. Trend sentiments help gauge Tezos’ trend momentums and moving averages over long periods of time. Indicator analytics are useful for discovering which strategy works best for this asset under performance metrics like Sharpe ratio, win rate and profit factor.

Together, all this technical data objectively shows an asset’s performance compared to its risk, and helps crypto investors determine whether they are good candidates to add to their portfolio or risky investments to avoid.

Realizing Cryptocurrency’s Potential

Crypto investors know there’s a huge potential for profit. However, overcoming the risks requires effort and planning. Reading the whitepaper to understand the problem a project is attempting to solve, identifying the team behind-the-scenes, and determining the uniqueness and prospect of a potential asset are fundamental steps to take. However, they only represent the first phase of much bigger learning curve.

In order to make the most of their portfolio, crypto investors need to digest a lot of historical and real-time technical data to grasp the full tradeoff between risk and return. By providing direct access to our team’s analysis, tools and accurate data, we make it easy for crypto investors to have all the necessary means to succeed. In doing so, crypto investors no longer need to rely on biased opinions that favour currently hyped assets. Rather, they can focus on building stronger cryptocurrency portfolios by choosing valuable assets based on data-driven insights.

Learn More

Find out more about all the freely accessible tools and resources we highlighted in this article.

  • This helpful guide is extracted from our CTO & Co-Founder, Daniel Im, and his presentation “Crypto Market Analysis, Analysis Tools & Data.” Watch the full presentation to discover how to detect suspicious exchanges and learn how to backtest strategies:

REPORT SERVICE

  • Market Report: an analysis of recent historical performances of the top 50 assets to identify current cryptocurrency market trends. SUBSCRIBE NOW

TERMINAL

  • Coinscious Terminal: real-time analytics on the top 100 coins/tokens, 18 mainstream crypto exchanges, and top technical trading indicators

SIGN-UP NOW FREE:   MARKET DATA API   |  ALERT APIREPORT SERVICES

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.

Crypto Exchanges

How To Detect Suspicious Crypto Exchanges

By | Cryptocurrency | No Comments

The entire crypto market has been on a fast uptrend this past week with the recovery of bitcoin. For crypto traders, choosing the right crypto exchange platform to trade on is equally as important as choosing the right asset to have in your portfolio. With recent catchy news headlines about “suspicious exchanges” and “fake volumes,” the public has long speculated that exchanges have manipulated the crypto market. As easy as it is to be swayed by sensationalized headlines, how can crypto traders objectively look for suspicious exchanges by themselves?

Using Technical Data to Spot Abnormal Trends

In the following section, we will share examples of how to use our team’s tools and research – like our Coinscious Terminal and exchange reports – to learn how to detect suspicious exchanges on their own.

a) Real-time Analytics

We start by analyzing Figure 1 which shows huge spikes in Bitcoin volume and price pump that occurred on April 2, 2019.

Figure 1. Price of Bitcoin (BTC) in USD at Bitfinex on April 2, 2019 at 7 A.M. EST.

Crypto Exchanges

We can look at volume changes directly from our Coinscious Terminal for the top 18 mainstream exchanges. The data table in Figure 2, shows volume changes on April 2 for the top ten exchanges in blue. There are very drastic volume changes greater than 70% for all exchanges listed, except for Fcoin. Fcoin only had a 10% volume change, indicating that crypto traders should be wary of trading on this exchange as it is most likely faking its volume.

Figure 2. Top 10 crypto exchanges by ranked 24-hour volume on April 2, 2019 from: https://terminal.coinscious.io/exchange/

b) Historical Data

Next, we will analyze a plot of ETH/BTC daily volume for the same 18 crypto exchanges between January 16 to February 16, 2019 from our exchange report. In Figure 3, ZB is the only crypto exchange with an exchange volume curve that sticks out to the far-right. What exactly is going on here?

Figure 3. ETH/BTC pair daily volume for each exchange from February 16, 2019 to March 16, 2019 in USD.

Crypto Exchanges

We can further analyze this anomaly by using principal component analysis (PCA) and plotting exchanges based on the first two principal components, PC1 and PC2. From the plot in Figure 4, we can see several crypto exchanges clustered together at the bottom-left. These represent exchanges that are correlated with one another and hence, follow similar volume trends. Conversely, there are clear outliers like Binance, Fcoin, HitBTC, HuobiPro, OKEx, and ZB. These outlier exchanges have volume trends that diverge from the market mean.

Figure 4. PCA volume analysis for ETH/BTC. The biplot, where the two main principal components are used to represent the exchanges, allows us to identify clusters or groups of exchanges that might be correlated according to volume.

Crypto Exchanges

We can even take this one step further and use a more quantitative way of measuring, by looking at volume correlations between exchanges. In the green box in Figure 5, all the intersections coloured in bright orange means that these exchanges are positively correlated; they follow similar crypto market trend patterns.

Figure 5. Daily volume correlations between exchanges from January 16, 2019 to February 16, 2019 for ETH/BTC. 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.

Crypto Exchanges

The exchanges in the blue box, with intersections coloured in red and black are anti-correlated to the exchanges in the green box. Therefore, this means that bitFlyer, Fcoin, HitBTC, Zaif and ZB have volume trends that go against those exchanges in the blue box listed on the x-axis.

What’s really interesting are the exchanges in the yellow box. Some of these exchanges have no correlation to one another while others have negative correlations. An explanation for this may be due to different trading bot algorithms that run on each exchange. Since they have different algorithms, this creates no correlation or negative correlations between the exchanges.

c) Additional Research

This March, Bitwise Asset Management released a report to the SEC highlighting the problems and common misconceptions of crypto exchanges. Bitwise’s study reveals that “95% of volumes is fake and/or non-economic in nature, and that the real market for bitcoin is significantly smaller” [1].

By looking at the shape of trade size histogram distributions, they compare crypto exchanges that follow a natural exponential decay pattern (Figure 6a) versus suspect exchanges that have highly irregular shapes (Figure 6b). Their findings indicate that there are only 10 well-known exchanges that have actual volume including: Binance, Bitfinex, bitFlyer, Bittrex, Bitstamp, Coinbase, Gemini, Kraken, itBit, and Poloniex.

Figure 6a. Trade size histograms for well-known exchanges that show natural patterns

Crypto Exchanges

Figure  6b. Trade size histograms for suspect exchanges that show irregular patterns.

Crypto Exchanges

Developing Stronger Technical Skills

Technical data is crucial for understanding the nuances of the existing crypto market. All of the examples above demonstrate how simple it is to identify outliers and suspicious exchanges once crypto traders know how to read and interpret technical analyses. By providing direct access to our team’s analysis, tools and accurate data, we make it easy for crypto traders to have all the necessary means to succeed. In doing so, crypto traders no longer need to make decisions solely based on catchy headlines but rather, they can discover fairer and more reliable crypto exchanges based on objective data-driven insights.

Learn More

This helpful guide is extracted from our CTO & Co-Founder, Daniel Im, and his presentation “Crypto Market Analysis, Analysis Tools & Data.” Watch the full presentation to discover tools to help build stronger portfolios and learn how to backtest strategies.

Resources

Find out more about all the tools and resources we highlighted in this article:

REPORT SERVICE

  • Exchange Report: an analysis of recent historical volumes and prices of 18 mainstream exchanges to identify better or fairer cryptocurrency platforms. SUBSCRIBE NOW
  • Market Report: an analysis of recent historical performances of the top 50 assets to identify current cryptocurrency market trends. SUBSCRIBE NOW

TERMINAL

  • Coinscious Terminal: real-time analytics on the top 100 coins/tokens, 18 mainstream crypto exchanges, and top technical trading indicators

SIGN-UP NOW FREE:   MARKET DATA API   |  ALERT APIREPORT SERVICES

Reference

[1] Bitwise Asset Management. “Presentation to the U.S. Securities and Exchange Commission.” 2019, www.sec.gov/comments/sr-nysearca-2019-01/srnysearca201901-5164833-183434.pdf

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 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.

[VIDEO] Crypto Market Analysis, Analysis Tools and Data

By | Cryptocurrency, Videos | No Comments
This video is available to view with English, Chinese or Korean subtitles.

As part of this year’s Toronto Blockchain Week, Coinscious hosted Crypto Market Analysis & Insights.” During this record turnout event, we showcased speakers and panelists from a wide range of backgrounds –  cryptocurrency, blockchain, banking, government, legal and investment – to share their insights and unique perspectives on the current crypto market. This exciting opportunity allowed us to provide a wealth of knowledge to the general public which would otherwise only be reserved to members of those respective industries.

One important presentation from the evening, was by our CTO & Co-Founder, Daniel Im, who presented “Crypto Market Analysis, Analysis Tools and Data.” As a crypto data and analytics provider, our team has built a suite of tools and services to help cryptotraders, at all levels of trading, to maximize their strategies to obtain the highest returns. Challenges in the existing crypto market – like volatility and fake exchange volumes – can hinder strategies if cryptotraders do not have access to useful resources and accurate crypto data to overcome them.

In the video above, we share Daniel’s presentation as a chance to provide guidance to all cryptotraders on how to better determine: where to trade, what to trade and how to practice/backtest their trading strategies, all by simply using our data, tools and resources. For example, from our exchange reports, Daniel demonstrates how cryptotraders can identify outliers from technical data and shows ways to look for suspicious exchanges by using our volume correlation data. He also highlights how to use our market reports in conjunction with our Market & Trading Strategy Terminal to decide which coins/tokens to have in your portfolio based on risk versus return data and performance analytics.

Watch the full video to learn more about how to best pair our crypto data products and services with your trading needs. 

Check out the products and services we’ve highlighted:

REPORT SERVICE

  • Market Report: an analysis of recent historical performances of the top 50 assets to identify current cryptocurrency market trends. SUBSCRIBE NOW
  • Exchange Report: an analysis of recent historical volumes and prices of 18 mainstream exchanges to identify better or fairer cryptocurrency platforms SUBSCRIBE NOW

TERMINAL

  • Coinscious Terminal: real-time analytics on the top 100 coins/tokens, 18 mainstream crypto exchanges, and top technical trading indicators

DATA SERVICE

  • Market Data API: the most accurate and comprehensive raw crypto market VWAP, OHLCV, trade and order book data. Try our live stream API free. SUBSCRIBE NOW

Technical data is crucial for understanding the nuances of the existing crypto market. However, data is difficult to collect and interpret without the right resources and know-how. By providing direct access to our team’s research analysis, analysis tools and data, we make it easy for cryptotraders to have all the necessary means to succeed. We hope that through this video, cryptotraders can learn how to best apply these objective methods towards building a stronger portfolio. In doing so, cryptotraders no longer need to make decisions solely based on sentiments but rather, they can discover and improve existing strategies based on objective data-driven insights.

SIGN-UP NOW FREE:   MARKET DATA API   | REPORT SERVICES

Crypto Market Analysis & Insights

By | Events | No Comments

The long crypto winter is finally over and although the market is warming up, we are still far from turning growing interest into mass adoption. The recent downturn of December 2018 has damaged public confidence: the current mainstream media equates cryptocurrency with losses and scams. This type of misinformation puts a negative light on cryptocurrency and blockchain technology; innovations intended to positively impact lives everywhere. How can we succeed in reframing the mindset of those individuals who are disillusioned or have doubts about the market? Education is the key. Access to practical analysis and objective data is essential for laying the groundwork and shifting the collective mentality of crypto enthusiasts, investors, and sceptics alike from biased sentiments to rational decisions.

Toronto Blockchain Week

This April, Coinscious participated in Toronto Blockchain Week: an opportunity to celebrate how far cryptocurrency and blockchain technology has come and to demonstrate cutting-edge technical developments through seminars, workshops, panels, hackathons and networking events. Toronto is one of the leading global hubs for blockchain technology and it also serves as our home base.

As a data and analytics provider, we strive first and foremost to empower our users with the most accurate crypto data and in-depth resources to help them succeed. For Toronto Blockchain Week, our team took this exciting chance to connect experts from our network, in both fintech and blockchain industries, to educate and share their unique perspectives with the general public. Our team proudly presented “Crypto Market Analysis & Insights”, showcasing an evening line-up of presentations and panels to provide insights on the existing crypto market.

Our Strategic Advisor, Vikram, welcomes the audience and introduces the first round of presentations.

On the evening of April 24, 2019, we had a record turnout – a full house packed with familiar industry members as well as curious newcomers who all showed up for sushi, wine, and insights into the cryptocurrency scene. There were a total of six presentations and two panel discussions with speakers from a multitude of backgrounds including our very own CEO, Tom Bao, CTO, Daniel Im, and representatives of companies such as 3iQ (multi-cryptoasset investment fund manager), CIBC (bank), Highmark Global (health care), Osler (legal) and Rivemont (portfolio management firm). The event was moderated by our Strategic Advisor, Vikram Chopra.

CEO & Co-founder, Tom Bao, shares which crypto exchanges in Asia provide spot trading.

Tom, presented an “Overview of Crypto Institutions in Asia” highlighting current crypto exchanges and crypto funds. He shared the existing crypto exchanges in Asia that offer spot trading and derivative products (such as perpetual swap contracts and future contracts) and looked at their future objectives. Tom also discussed real performance results by active crypto funds and common trading strategies that they utilize: arbitrage, trend-following strategies, and traditional trading.

CTO & Co-founder, Daniel Im, begins his in-depth presentation focusing on where to trade, what to trade, and how to practice/backtest trade.

Daniel provided insights on “Crypto Market Analysis, Crypto Analysis Tools and Data” introducing tools that help build portfolios, showing ways to detect suspicious exchanges, and demonstrating how to backtest strategies; all simply through the use of products like our market report, exchange report, and Market & Trading Strategy dashboard. He demonstrated how the products and services developed by our team, allow users to take advantage of a purely objective approach towards bettering their trade strategies and ultimately, earning the highest return. With access to reliable resources, crypto trader no longer will feel the need to rely on hype and hearsay.

Highlights

Here’s a look at all the highlights from the night! Check out more photos on our Facebook page.

Martin LaLonde, Rivemont, discusses what the relationship is between the crypto market and retail investors.

Harpreet Geekee, Highmark Global, is a recognized expert in the blockchain and current adviser to the Canadian government on their blockchain strategy. Here, Harpreet spoke at length about how the long-term prognosis of both blockchain and crypto is positive.

Shaun Cumby, 3iQ, shares his experience on crypto trading and investment in North America and explains the long-term opportunities.

Our panelists discuss the “Future of the Crypto Market and What Are Possible Crypto Investment Strategies”

Thanks again to Toronto Blockchain Week, our expert speakers and panelists, and everyone who joined us! Our motivation to host the event was to provide attendees with a wealth of knowledge that can be applied to their existing trading practices and to reframe the mindsets all members of the crypto community by showcasing perspectives from government, banking, legal and investment points of view. It was a very successful evening, filled with many new connections and important insights. By having access to meaningful perspectives along with useful tools and analytics, we can begin educating and eliminating current misconceptions about cryptocurrency – ultimately, convert growing interest into mass adoption.

Bitcoin Prices Steadily Increase; Now Holding at $5,400

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

Bitcoin Cash
+55.64%

Biggest
30d % Loss

Maker (MKR)
-23.58%

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 March 30, 2019 to April 28, 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 has been good, with 31 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is trading around $5,400. Prices were as high as $5,500 earlier this week. Bitcoin broke above the $4,200 overhead resistance level on April 1 with a sharp jump to $5,000 and has been steadily increasing in value since then.

Outside of cryptocurrencies, the S&P 500 is up 3.72% from 30 days ago and closed last Friday at $2,939.88.

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 March 30, 2019 to April 28, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

The best performer overall over the past month was Bitcoin Cash (BCH), with a total return of 55.64%. Bitcoin Cash is an altcoin created after a hardfork to Bitcoin in August 2017. Bitcoin Cash has larger blocks than Bitcoin, and hence can theoretically process more transactions per second.

The second and third best performing cryptocurrencies were Basic Attention Token (BAT) and Binance Coin (BNB), with total returns of 80.40% and 37.59% respectively.

Maker (MKR) was the worst performing cryptocurrency, with total losses of 23.58%. Maker is a governance token as well as a utility token for the MakerDAO smart contract platform, which backs and stabilizes the value of Dai (DAI), a soft-pegged stablecoin.

The second and third worst performing cryptocurrencies were Waves (Waves) and Steem (STEEM) with total losses of 23.21% and 19.92% 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 March 30, 2019 to April 28, 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 March 30, 2019 to April 28, 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 prices of Bitcoin (BTC) and Ether (ETH), the two largest cryptocurrencies by market capitalization, as well as the top performer of the past month, Bitcoin Cash (BCH). 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.

However, for all three cryptocurrencies, the MACD line has crossed below the MACD signal line. This is known as a bearish crossover and could be interpreted as a bearish signal.

Finally, The RSI values of all three cryptocurrencies were in overbought territory above 70 but have since returned to below 70. Prices are typically expected to dip after being overbought, but momentum oscillators can also become oversold multiple times or remain oversold before actually reaching a bottom during a strong uptrend.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from March 30, 2019 to April 28, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from March 30, 2019 to April 28, 2019.

Figure 3c. Price of Bitcoin Cash (BCH) in USD at Bitstamp from March 30, 2019 to April 28, 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 March 30, 2019 to April 28, 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

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from March 30, 2019 to April 28, 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.

Investigating Crypto Exchange Price & Volume Patterns

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

Overview

Released monthly, this report aims to analyze and characterize cryptocurrency exchanges according to their volume for the past month, this time from February 16, 2019 to March 16, 2019.

Our universe of analysis uses public exchange data from 18 of some of the most popular exchanges1 (see Figure 1). Through analysis of the recent historical volume and price of individual exchanges we provide a framework for analysis where investors can identify better or fairer exchanges.

Using daily volume data from some of the most widely used cryptocurrency exchanges, we were able to cluster exchanges into three groups based on similarity in volume trends. Some of our findings include the following:

  • OKEx and HitBTC go against the market both in terms of volume correlation and price-volume correlation.
  • Although OKEx has reported the biggest traded volume between February 16, 2019 to March 16, 2019, PCA analysis separates it from the other top exchanges (i.e. Binance and HuobiPro), and shows a low correlation with the market in terms of traded volume.

Performance

Figure 1. Total monthly volume, mean daily volume, max daily volume, mean hourly volume and max hourly volume for each exchange from February 16, 2019 to March 16, 2019 in USD. Monitor exchange performance daily through our Market & Trading Strategy Dashboard: dashboard.coinscious.io

According to the public exchange data, OKEx has reported the biggest mean daily and hourly volume for the past month.

In the past month, OKEx took first place with a total of $28 billion traded between February 16 to March 16, compared to $25 billion for ZB (2nd) and $20 billion for Binance (3rd) (see Figure 1).

We chose ETH/BTC trading pair to analyze exchange volumes in more depth. ZB traded volume for ETH/BTC was the highest overall, following the trend described in our previous Exchange Report. However, OKEx took first place on March 5 when its volume changed from $78 million to $107 million in a single day. It remained at the top spot until March 12, when its volume dropped back down to $39 million; ZB retook first place. Interestingly, according to BeinCrypto, on March 5 ethereum’s price began to increase rapidly from $130 throughout the earlier part of the day, and reached a daily highly of $143.83 on March 6 [1].

Figure 2. ETH/BTC pair daily volume for each exchange from February 16, 2019 to March 16, 2019 in USD.

Observations

The cryptocurrency market was on an uptrend starting from the morning of Wednesday, April 3, 2019 – the price of BTC went up from $4,000 to $4,800. In fact, because of the BTC pump, we observed that there were huge volume changes for all exchanges except Fcoin; their volume changes remained low.

Figure 3a. Top 10 crypto exchange volume changes on April 3, 2019.

As you can see in Figure 3a, the top 10 exchanges have 1-day volume changes ranging between 73.35% to 315.18%. However, Fcoin is the only exchange with a much lower volume change of 9.25%.

Three days later, on the morning of Saturday, April 6, 2019, the market started to slow down and became tranquil. Again, we can observe this from 1-day volume changes in Figure 3b, where most of the exchanges’ volume changes decreased to around 22-60%. Nevertheless, Fcoin and HitBTC volume changes were up by 18% and 19% respectively.

Figure 3b. Top 10 crypto exchange volume changes on April 6, 2019.  

These strong indications reveal that Fcoin (and possibly HitBTC) is likely faking its volume. The next section delves into a deeper analysis and looks at which specific exchanges violate volume trends in comparison to all exchanges overall.

Analysis

In order to categorize exchanges and investigate their trends during the past month, we performed a dimensionality reduction analysis using PCA2 for ETH/BTC pair daily volume. By plotting crypto exchanges according to their first two principal components, we identified a cluster and some outliers (see Figures 3a and 3b). The two first principal components explain more than 80% of the variance in our data set and the relative position along the x- and y-axes indicate similarities between exchanges in terms of traded volume. Thus, exchanges clustered together present similar volume trends, while outliers, namely Okex, HuobiPro, Binance, Fcoin, HitBTC, and ZB, show trends that diverge from the market mean.

If we zoom in on the market mean, we can identify subgroups of exchanges that are closely related inside the market mean (Figure 3b).

Figure 3a. PCA Volume analysis for ETH/BTC. The biplot, where the two main principal components are used to represent the exchanges allows us to identify clusters or groups of exchanges that might be correlated according to volume.

Figure 3b. PCA Volume analysis excluding outliers in the first analysis.

To understand the meaning of the two principal components and characterize the outliers, we decided to look at correlation between exchanges. We used volume for the ETH/BTC pair to identify a general trend in the market and determine whether exchanges follow or are against the trend (see Figure 5). Although most exchanges show a similar trend (that is, they follow a similar daily volume trend), OKEx, Bitflyer, BigOne and HitBTC show a daily volume trend that goes against the market. Interestingly, ZB and Zaif follow the mean market trend this time. Also note that compared to the PCA biplot using daily volume data from January 16 to February 16, OKEx and ZB have swapped positions (see Figure 3 from the previous Exchange Report)

Figure 5a. Top 5 negative volume correlations

Figure 5b. Top 5 positive volume correlations

Figure 6. Daily volume correlations between exchanges from February 16, 2019 to March 16, 2019 for ETH/BTC. 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.

OKEx, in particular, shows negative correlations with all exchanges except for HitBTC and HuobiPro. This suggests that OKEx, Bitflyer, HitBTC and BigONE are acting against the market.

Again, Upbit and Bittrex show the highest correlation for all exchange pairs, suggesting that they share the same order book [2]. This was also noted in our previous Exchange Report.

To explore what other factors could contribute to the clustering in different groups after Volume PCA, we calculated the correlation between ETH/BTC price and volume for every exchange pair (see Figure 6).

Figure 7. Daily price-volume correlations between exchanges from February 16, 2019 to March 16, 2019 for ETH/BTC. 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.

OKEx and HitBTC stand out as exchanges with the highest negative correlation between ETC/BTC price and volume for all exchanges. This shows that not only their volume, but also their ETH prices go against the market. While most exchanges show a positive trend (higher volumes associated with higher prices), OKEx, HitBTC, HuobiPro and BigOne show a negative trend (higher volumes associated with lower prices, and vice versa).

Summary

Using daily volume data from 18 of some of the most widely used cryptocurrency exchanges and principal component analysis, we identified three clusters of exchanges sharing similar volume trends. We mainly looked at volume correlations and price-volume correlations. Our findings include:

  • Okex and HitBTC go against the market both in terms of volume correlation and price-volume correlation.
  • Although Okex has reported the biggest traded volume in the past month, PCA analysis separates it from the other top exchanges (i.e. Binance and HuobiPro) and shows a low correlation with the market in terms of traded volume.

Here, these findings are simple observations of possibly correlated variables. We share this from the point-of-view of something to look out for. Overall, our exchange analysis has proven useful to study patterns of volume and price activity in the market and identify potential manipulation, that could be confirmed using blockchain data.

Footnotes

1 The scope of this report does not cover futures contracts.

2 PCA is a technique that finds underlying variables that best differentiates your data points. In this article, we visualize and analyze along the two dimensions which the data points varies the most (see Appendix B).

APPENDIX A: Methodology

The daily volume of cryptocurrencies in USD at 4:00 PM EST from February 16, 2019 to March 16, 2019 was used for our volume ranking. Daily volume and price for the pair ethereum_bitcoin was used for the same time period for the PCA analysis and correlation analysis. Price and volume were normalized such that its distribution had mean value 0 and standard deviation of 1 in order to perform principal component analysis and calculate price-volume correlations. In subsequent reports, we may update our universe, sectors, methodology, and analysis to reflect new developments.

APPENDIX B: Terminology

  • 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.
  • PCA: A statistical procedure that uses an orthogonal transformation to convert a set of observations of possibly correlated variables into a set of values of linearly uncorrelated variables called principal components, in order to maximize the explained variance.

References

[1] T. (2018, December 11). Binance Losses Top Cryptocurrency Exchange Position to OKEX and ZB.Com. Retrieved from https://coingape.com/

[2] Lavere, M. (2019, February 13). Ethereum (ETH) Mining Reward Hits Lowest Ever.  Retrieved from https://ethereumworldnews.com/

[3] Bitking74. (2017, October 24). UPbit and Bittrex are sharing the same order book. This is a win win for both sides: bring some Korean liquidity to Bittrex, also the Korean users start with nicely filled order books from Bittrex. Go NEO. Neotrader [Online forum]. Retrieved from https://www.reddit.com/r/Neotrader/comments/78fztu/upbit_and_bittrex_are_sharing_the_same_order_book/

[4] J. (2018, September 18). Chinese Investor Loses 700,000 Yuan Due To Fcoin Crypto Manipulation. Retrieved from https://www.coindaily.co/

[5] Sillers, A. (2018, September 12). The evidence of OKex’s fraudulent behavior, which may point to HitBTC as well. Retrieved from https://www.chepicap.com/

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.

BTC Surges In Last 2 Weeks To $5,105; Now Holding At $5,000

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

Tezos (XTZ) 
+110.60%

Biggest
30d % Loss

Nano (NANO) 
-53.49%

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 March 16, 2019 to April 14, 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 has been good, with 41 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, finally breaks above the $4,200 overhead resistance level on April 1; BTC surges to $5105. Various other cryptocurrencies, including second and third largest cryptocurrencies ether (ETH) and XRP (XRP) also experienced large upwards movements on the same day.

Outside of cryptocurrencies, the S&P 500 is up 3.01% from 30 days ago and closed last Friday at $2907.41.

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 March 16, 2019 to April 14, 2019 Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

The best performer overall over the past month was Tezos (XTZ), with a total return of 110.60%. Tezos is a self-amending proof-of-work dApp platform that removes the need to hard fork when implementing protocol amendments.

The second and third best performing cryptocurrencies were Bitcoin Cash (BCH) and IOST (IOST), with total returns of 80.40% and 71.34% respectively.

Nano (NANO) was the worst performing cryptocurrency, with total losses of 53.49%. Nano is a low-latency payment platform designed for peer-to-peer transactions. The second and third worst performing cryptocurrencies were Maker (MKR) and Steem (STEEM) with total losses of 11.49% and 11.42% 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 March 16, 2019 to April 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.

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for cryptocurrencies with the lowest total returns from March 16, 2019 to April 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

Figure 3 plots daily candlesticks of the prices of Bitcoin ( BTC ) and Ether (ETH), the two largest cryptocurrencies by market capitalization, as well as the top performer of the past month, Tezos (XTZ). 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

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from March 16, 2019 to April 14, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from March 16, 2019 to April 14, 2019.

Figure 3c. Price of Tezos (XTZ) in USD at Bitfinex from March 16, 2019 to April 14, 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 March 16, 2019 to April 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.

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from March 16, 2019 to April 14, 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 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.