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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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Coinscious Cryptocurrency Market Report - August 5, 2019

Bitcoin Climbs Amid Altcoins’ Failed Recovery

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 7, 2019 to August 4, 2019. Bitcoin

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 6 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 $11000 at the time of writing, and traded between $9500 and $13000 last month. BTC has made steady gains over the past six consecutive days.

Outside of cryptocurrencies, the S&P 500 is down 1.95% from 30 days ago and closed last Friday at $2932.05.

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 7, 2019 to August 4, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Bitcoin - Risk Return - August 5, 2019

The best performer overall over the past month was Huobi Token (HT), with a total return of 15.91%. Huobi Token can be used as payment in Huobi, one of the world’s oldest cryptocurrency exchanges. Huobi Token also had the highest Sharpe ratio of the cryptocurrencies analyzed.

The second and third best performing cryptocurrencies were Tezos (XTZ) and THETA (THETA), with total returns of 13.35% and 8.66% respectively. 

HyperCash (HC) was the worst performing cryptocurrency, with total losses of 44.80%. HyperCash is a cryptocurrency designed to facilitate cross-platform transactions.

The second and third worst performing cryptocurrencies were Komodo (KMD) and QTUM (QTUM) with total losses of 38.71%  and 36.82% 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 7, 2019 to August 4, 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.

HT, XTZ, THETA, DCR, USDC - Cryptocurrency Positive Returns

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 7, 2019 to August 4, 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

HC, KMD, QTUM, ZEC, OMG - Cryptocurrency Negative Returns

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 BTC and ETH continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. However, XRP’s moving averages showed a long-term bearish signal, with the 50-day moving average very recently crossing below the 100-day moving average.

The RSI for BTC, ETH, and XRP are between 30 and 70; neither overbought or oversold.

For all top three cryptocurrencies, the MACD line is above the MACD signal line and the histogram shows the gap increasing. This can be interpreted as a bullish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 7, 2019 to August 4, 2019.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 7, 2019 to August 4, 2019.

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

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

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

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 7, 2019 to August 4, 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 7, 2019 to August 4, 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 5, 2019
Cryptocurrency List - Bitcoin

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from July 7, 2019 to August 4, 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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June 2019 Cryptocurrency Market Report

June 2019 Cryptocurrency Market Report

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

Overview

June was an exciting month for cryptocurrencies. The price of Bitcoin, the first and largest cryptocurrency by market capitalization, crossed the $9000, $10000, and $11000 mark all in one month. Bitcoin last traded around the $11000 price level in March 2018 during the bear market that followed after peaking in December 2017. This year’s long bear market, dubbed by many as the “crypto winter” appears to be definitively over following cryptocurrency’s steady resurgence and the crossing of these major psychological thresholds by Bitcoin. 

Bitcoin rose 44.41% in June 2019, and most other cryptocurrencies that we analyzed had positive returns as well.

Cryptocurrency Market Developments in June 2019

Various developments related to new cryptocurrencies and blockchain projects may be responsible for the bullishness surrounding cryptocurrencies this month. In particular, these projects are led by high-profile organizations, raising the interest and demand for cryptocurrencies in general, as well as legitimizing the cryptocurrency space to previously unconvinced market participants.

Global risks and uncertainties may also be making cryptocurrencies more popular as a safe haven.

Cryptocurrency Market Developments in June 2019

Performance

Exhibit 1: Monthly returns of cryptocurrencies over the past year.

Cryptocurrency Market - Monthly Returns Over Past Year

Best and Worst Performers

Performance of cryptocurrencies across two different time frames – June 2018 to June 2019, and only June 2019 – are presented below. Cryptocurrencies that had the highest total returns, lowest total returns, and highest Sharpe ratio are highlighted. In addition, other metrics such as rate of return, alpha, and beta (relative to the Bitwise 100) are shown all as daily, non-annualized values.

Exhibit 2: Cryptocurrencies with the highest total returns in June 2019.

Cryptocurrencies with the highest total returns in June 2019.
  • ChainLink (LINK) had the highest total return in June 2019.
  • LINK is a decentralized data oracle designed to provide reliable real-world data inputs for smart contracts.
  • Recent positive developments for the cryptocurrency in June include an article by Google Cloud titled ““Building hybrid blockchain/cloud applications with Ethereum and Google Cloud” that mentioned LINK, and a new listing on cryptocurrency exchange, CoinbasePro.

Exhibit 3: Cryptocurrencies with the lowest total returns in June 2019.

Cryptocurrencies with the lowest total returns in June 2019
  • Tezos (XTZ) had the lowest total return in June 2019.
  • XTZ 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.

Exhibit 4: Cryptocurrencies with the highest total returns from June 2018 to June 2019.

Cryptocurrencies with the highest total returns from June 2018 to June 2019. 
  • In addition to being the cryptocurrency with the highest total return in the past year, LINK also had the highest total return over the past year. LINK beat out the next best cryptocurrency, Binance Coin (BNB) by a huge order of magnitude.
  • Bitcoin (BTC) was the third best performing cryptocurrency.

Exhibit 5: Cryptocurrencies with the lowest total returns from June 2018 to June 2019.

Cryptocurrencies with the lowest total returns from June 2018 to June 2019.
  • Pundi X (NPXS) had the lowest total return in the past year.
  • NPXS is a token used for payments and settlements. It is also integrated with their own physical point-of-sale devices.

Exhibit 6: Cryptocurrencies with the largest Sharpe Ratios in June 2019.

Cryptocurrencies with the largest Sharpe Ratios in June 2019
  • HyperCash (HC) had the best performance relative to its risk in June 2019 as measured by the Sharpe ratio.
  • HC belongs to an emerging class of cryptocurrencies called “sidechains” which facilitate the transfer of digital assets between other blockchains.

Exhibit 7: Cryptocurrencies with the largest Sharpe Ratios from June 2018 to June 2019.

Cryptocurrencies with the largest Sharpe Ratios from June 2018 to June 2019. 
  • ChainLink (LINK) had the best performance relative to its risk in the past year as measured by the Sharpe ratio.

Risk vs. Return

Mean Daily Return vs. Daily Volatility

Exhibits 8 and 9 present the risk versus return trade-off by plotting mean daily return versus historical daily volatility for various cryptocurrencies. Higher returns at a given level of risk, measured through historical daily volatility, indicate a relatively better investment.

Exhibit 8: Plot of mean daily return against historical daily volatility for individual cryptocurrencies in June 2019.

Cryptocurrencies June 2019 - Mean daily return vs historical daily volatility
  • ChainLink (LINK) had both the highest mean return and volatility overall.
  • The cluster of cryptocurrencies with close to 0% mean returns and volatility are stablecoins, including Tether (USDT), Paxos Standard Token (PAX), TrueUSD (TUSD), and USD Coin (USDC).

Exhibit 9: Plot of mean daily return against historical daily volatility for individual cryptocurrencies from June 2018 to June 2019.

Cryptocurrencies June 2018 to June 2019 - Mean daily return vs historical daily volatility
  • ChainLink (LINK) was identified earlier as having the best Sharpe ratio – here it can be visualized through LINK’s higher mean daily returns compared to other cryptocurrencies with a similar daily volatility.

Value Comparison using CAPM

Previously, we presented a comparison of risk versus return measured by the mean daily volatility and mean daily return, respectively. To build upon the idea of compensating investors sufficiently for a given level of risk, we apply the Capital Asset Pricing Model (CAPM) to determine what is the threshold required return for a cryptocurrency to be worth its risk.

We quantified the systematic risk of individual cryptocurrencies by calculating its beta over the past year. Higher positive betas indicate that the cryptocurrency is more volatile than the market, whereas negative betas indicate that the cryptocurrency moves against the market. The Bitwise 100 cryptocurrency index, a market capitalization weighted index of the top 100 cryptocurrencies, was used as a proxy for the market portfolio in beta calculations.

In Exhibit 10, we plotted individual cryptocurrencies’ beta versus expected return, which was calculated as the daily rate of return using data from June 2018 to June 2019, and assume that historic returns are a sufficiently good measure of future returns. In addition, using the risk-free rate and the expected returns of the Bitwise 100, we constructed a Security Market Line that represents the fair expected return that an investor should be compensated for a cryptocurrency with a given beta.

Using this model, cryptocurrencies above the Security Market Line are theoretically undervalued, and cryptocurrencies below the Security Market Line are overvalued.

Exhibit 10: Plot of the expected return against beta for individual cryptocurrencies and the Security Market Line, calculated with daily returns from June 2018 to June 2019.

Plot of the expected return against beta for individual cryptocurrencies and the Security Market Line, calculated with daily returns from June 2018 to June 2019.
  • Chainlink (LINK) is theoretically the most underpriced and would provide the best value, with its high expected return relative to its systematic risk.
  • Some other cryptocurrencies identified as being underpriced are Bitcoin SV (BSV), Binance Coin (BNB), Bitcoin (BTC), HyperCash (HC), Litecoin (LTC), Dogecoin (DOGE), and Basic Attention Token (BAT).

Correlations

Exhibits 11 to 16 show the overall and rolling 30-day correlation from the past year of the top three cryptocurrencies by market capitalization, the S&P 500 and VIX indices, the Chinese Yuan (CNY) and gold prices.

Correlation measures the linear relationship between two series and can range between -1 and 1. More positive correlations indicate a stronger positive linear relationship while more negative correlations indicate a stronger negative linear relationship. A correlation of 0 or close to 0 indicates little to no linear relationship. 

Exhibit 11: Correlation between BTC, XRP, ETH, VIX, S&P 500, CNY, and gold daily returns from June 2018 to June 2019.

Correlation between BTC, XRP, ETH, VIX, S&P 500, CNY, and gold daily returns from June 2018 to June 2019.
  • The top three cryptocurrencies by market capitalization, Bitcoin (BTC), Ether (ETH), and XRP (XRP), are highly positively correlated with each other.
  • Cryptocurrencies and the S&P 500 are slightly positively correlated.
  • Cryptocurrencies and VIX are slightly negatively correlated.
  • Gold and Bitcoin (BTC), as well as Gold and Ether (ETH) are slightly negatively correlated.
  • CNY has a stronger correlation with XRP (XRP) than with other cryptocurrencies, although it is still a relatively small number.

Exhibit 12: Rolling 30-day correlation between BTC, XRP, ETH daily returns.

Rolling 30-day correlation between BTC, XRP, ETH daily returns.
  • Correlations between the three pairs of cryptocurrencies examined rarely dipped below 0.5.
  • In general, Bitcoin (BTC) and Ether (ETH) were usually more positively correlated than other pairs.

Exhibit 13: Rolling 30-day correlation between BTC, XRP, ETH daily returns and S&P500 daily returns.

Rolling 30-day correlation between BTC, XRP, ETH daily returns and VIX daily returns.

Exhibit 14: Rolling 30-day correlation between BTC, XRP, ETH daily returns and VIX daily returns.

Rolling 30-day correlation between BTC, XRP, ETH daily returns and VIX daily returns.

Exhibit 15: Rolling 30-day correlation between BTC, XRP, ETH daily returns and CNY daily returns.

Rolling 30-day correlation between BTC, XRP, ETH daily returns and CNY daily returns.

Exhibit 16: Rolling 30-day correlation between BTC, XRP, ETH daily returns and gold daily returns.

Rolling 30-day correlation between BTC, XRP, ETH daily returns and gold daily returns.

APPENDIX A: Cryptocurrency Symbols & Names

Below is a complete list of all cryptocurrencies examined in this report as well as their symbol to full name mapping.

Cryptocurrency Symbols and Names

APPENDIX B: Cryptocurrency Distribution Statistics

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean, standard deviation (volatility), skewness, and kurtosis for each cryptocurrency’s daily returns from June 1, 2019 to June 30, 2019, and from June 30, 2018 to June 30, 2019. 

For cryptocurrencies where data did not reach all the way back to June 30, 2019, statistics were calculated only using as much historical data as was available.

Cryptocurrency Distribution Statistics
Cryptocurrency Distribution Statistics

APPENDIX C: Cryptocurrency Performance Metrics

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 June 1, 2019 to June 30, 2019, as well as from June 30, 2018 to June 30, 2019.  Rate of return and Alpha are shown as daily, non-annualized values. Beta is calculated using the Bitwise 100 to represent the market portfolio.

Empty values in the Jun-2018 to Jun-2019 Total Return column indicate that data on the cryptocurrency from June 2018 was not available, hence that metric could not be calculated. Furthermore, for those cryptocurrencies, the remaining metrics were calculated only using as much historical data as was available.

Cryptocurrency Performance Metrics
Cryptocurrency Distribution Statistics

APPENDIX D: Data Sources

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies. Cryptocurrencies were selected on the basis of being in the top 50 cryptocurrencies by market capitalization according to CoinMarketCap data where Coinscious also had USD pricing data.

The daily price data of cryptocurrencies in USD at 4:00 PM EST from June 30, 2018 to June 30, 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&P500 index and VIX volatility index was obtained from Yahoo Finance. Bitwise 100 index data was provided by Bitwise Asset Management. The 10-year US Treasury bill rate on June 30, 2018 from YCharts was used for calculations involving a risk-free rate. Chinese Yuan to US Dollar rates were obtained from FRED. Gold prices are the morning gold fixing prices in London at 10:30 am, also obtained from FRED.

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. Chainlink

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June 2019 Cryptocurrency Blockchain & Alert Signal Report

June 2019 Blockchain & Alert Signal Analysis

By | Blockchain & Alert Signal Report, Coinscious Lab, Data Analytics | No Comments

Overview

Released monthly, this report consists of the following two sections: 

  1. Blockchain transaction statistics and simple correlation analysis to Bitcoin (BTC)  price, and 
  2. Summary of alert system statistics from June 1, 2019 to June 30, 2019. 

Our blockchain transaction statistics are based on Coinscious’ blockchain data for BTC, Ethererum (ETH), and Tether (USDT). For our analysis, we filter out all transactions that are less than $100,000 USD, 25 BTC, and 750 ETH. Next, we compare the flow of transaction volumes in and out, as well as the transaction amounts throughout the month. We also visualize the net transaction trend using BTC daily price.

In our alert system summary, we look at signals produced by Coinscious’ alert system such as:

  • price pump and dump signals,
  • volume spike and drop signals, and 
  • relative strength indicator (RSI) signals at daily ticks. 

Here, we provide investigate statistics on BTC, ETH, and XRP for USD, CAD, and USDT currencies for different cryptocurrency exchanges. The summary statistics illustrates how often extreme events occur for each market. 

Blockchain Transaction

Figure 1. Price versus net transaction correlation for large-value outstanding transactions between June 1 to June 30, 2019.

Cryptocurrency Blockchain Transaction - Price versus net transaction correlation BTC, ETH, USDT

Figure 1 illustrates BTC price and blockchain transactions going in and out of cryptocurrency exchanges for BTC, ETH, and USDT.  

The first row in Figure 1 demonstrates that BTC price has steadily increased in June. The net USDT transactions into cryptocurrency exchanges are positive throughout June. Interestingly, we see a positive correlation between BTC price and ETH net transactions – the price of BTC rises when ETH net transaction is positive, and the price of BTC falls when ETH net transaction is negative. 

The third row in Figure 1 illustrates that USDT had the most active transactions in June, followed by BTC and ETH. However, even though ETH had the smallest number of transactions, its transaction size is the greatest, followed by BTC and USDT as shown in the second row of Figure 1. 

Alert Signal Analysis

a) Bitstamp { BTC, ETH, XRP } / USD

Figure 2. Price pump and dump signals, volume spike signals, and RSI (14) signals at Bitstamp for BTC/USD, ETH/USD and XRP/USD between June 1 to June 30, 2019.

Blockchain - Price pump and dump signals, volume spike signals, and RSI (14) signals at Bitstamp for BTC/USD, ETH/USD and XRP/USD between June 1 to June 30, 2019.

BTC/USD trading pair at Bitstamp had a total of 53 price pump signals and 48 price dump signals.  The average price change was -0.20% within 15 minutes, and the maximum and minimum price changes were 3.76% and -4.04%, respectively. 

ETH/USD trading pair had a total of 40 price pump signals and 47 price dump signals. The average price change was -0.08%, and the maximum and minimum price changes were 1.80% and -3.45%, respectively. 

XRP/USD trading pair had a total of 51 price pump signals and 52 price dump signals. The average price change was -0.20%, and the maximum and minimum price changes were 3.24% and -5.92%. In comparison, the average and maximum price changes for XRP/USD were similar to BTC/USD. However, the largest price dump was 2.00% lower.  

In the second and third column of Figure 2, we can see that both BTC and ETH had higher volume spikes than XRP. RSI (14) on daily tick had several oversold signals (at 30), but did not trigger any overbought signals (at 70).

b) Kraken { BTC, ETH, XRP } / CAD

Figure 3. Price pump and dump signals, volume spike signals, and RSI (14) signals at Kraken for BTC/CAD, ETH/CAD and XRP/CAD between June 1 to June 30, 2019.

Blockchain - Price pump and dump signals, volume spike signals, and RSI (14) signals at Kraken for BTC/USD, ETH/USD and XRP/USD between June 1 to June 30, 2019.

BTC/CAD trading pair at Kraken had a total of 19 price pump signals and 40 price dump signals.  The average price change was -0.13% within 15 minutes, and the maximum and minimum price changes were 5.58% and -9.54%, respectively. 

ETH/CAD trading pairhad a total of 22 price pump signals and 46 price dump signals. The average price change was 0.15%, and the maximum and minimum price changes were 5.08% and -5.00%, respectively. 

XRP/CAD trading pair had a total of 21 price pump signals and 47 price dump signals. The average price change was close to zero percent (-0.03%), whereas the maximum and minimum price changes were 4.28% and -8.06%, respectively.  

Overall, BTC/CAD, ETH/CAD, and XRP/CAD trading pairs at Kraken had were more extreme minimum and maximum price changes than respective USD trading pairs at Bitstamp. 

c) Binance { BTC, ETH, XRP } / USDT

Figure 4. Price pump and dump signals, volume spike signals, and RSI (14) signals at Binance for BTC/USDT, ETH/USDT and XRP/USDT between June 1 to June 30, 2019.

Blockchain - Price pump and dump signals, volume spike signals, and RSI (14) signals at Binance for BTC/USD, ETH/USD and XRP/USD between June 1 to June 30, 2019.

APPENDIX A: Figures

a) BTC/USD price pump and dump at Bitstamp between June 1 to 30, 2019.

Blockchain - BTC/USD price pump and dump at Bitstamp between June 1 to 30, 2019.

b) BTC/USD volume spike & drop at Bitstamp between June 1 to 30, 2019.

Blockchain - BTC/USD volume spike and drop at Bitstamp between June 1 to 30, 2019.

c) BTC/USD RSI(14) signal at Bitstamp between June 1 to 30, 2019.

Blockchain - BTC/USD RSI(14) signal at Bitstamp between June 1 to 30, 2019.

APPENDIX B: Methodology

  • Price pump and dump calculations: calculated based on if the price goes above or below the upper and lower Bollinger bands and the price surpasses the rolling highest value over 6 hours.
  • Volume spike and drop calculations: calculated based on if the volume goes above or below exponential moving average of volume over 10 days.
  • RSI overbought and oversold calculations: calculated based RSI(14) indicator, and used 30 and 70 values for overbought and oversold threshold.

APPENDIX C: Alert System Statistics

Summary of alert system statistics between June 1 to 30, 2019.

BITSTAMP BTC/USD ETH/USD XRP/USD
# Price Pump Signal 53 40 51
# Price Dump Signal 48 47 52
Avg. Price Change  (15min)  -0.20 -0.08 -0.20
Max. Price Change (15min) 3.76 1.80 3.24
Min. Price Change  (15min) -4.04 -3.45 -5.92

 

KRAKEN BTC/CAD ETH/CAD XRP/CAD
# Price Pump Signal 19 22 21
# Price Dump Signal 40 46 47
Avg. Price Change  (15min)  -0.13 0.15 -0.025
Max. Price Change (15min) 5.58 5.08 4.28
Min. Price Change  (15min) -9.54 -5.0 -8.06

 

BINANCE BTC/USDT ETH/USDT XRP/USDT
# Price Pump Signal 56 38 56
# Price Dump Signal 45 44 45
Avg. Price Change  (15min)  -0.24 -0.12 -0.20
Max. Price Change (15min) 2.77 1.85 3.18
Min. Price Change  (15min) -4.87 -3.46 -6.29

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. Chainlink

TERMINAL

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

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June 2019 Cryptocurency Indicator Strategy Report

June 2019 Indicator Strategy Analysis

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

Overview

We applied seven different types of indicator strategies that are commonly used to analyze cryptocurrency market charts. Among the seven indicator types, we experimented over various parameters as shown below.

INDICATOR  PARAMETER TYPE PARAMETER VARIATIONS
Moving Average Crossover (SMA) Short and Long term EMA period1 (1,10), (1,20), (5,10), (5,20)
Exponential Moving Average Crossover (EMA) Short and Long term EMA period (1,10), (1,20), (5,10), (5,20)
Moving Average Convergence Divergence (MACD) Short and Long term EMA period2 (5,10), (7,14), (12,26)
Relative Strength Index (RSI[14]) Oversell & overbought levels3 (30,70), (20,80), (10,90)
Rate of Change (ROC) Oversell & overbought levels4 (25,4)
Bollinger Bands (BB)
William Fractals (Fractals)

We traded BTC/USDT at cryptocurrency exchange, Binance, using the indicator strategies above from June 1, 2019 to July 7, 2019.  For SMA, EMA, MACD and RSI, we used crossover signals for open and close rules. For ROC, the open and close rules are 25 and 4, respectively. Meanwhile, for BB, the open and close rules are when the price crosses the upper band and when the price crosses the moving average (MA), respectively. The details of all indicator strategy rules can be found on our Coinscious Terminal.

Indicator Strategy Performance On Daily BTC/USDT Market

Figure 1 shows the daily mean return versus daily volatility plot over the indicators. We observe that MACD (5,10) produces the largest mean daily return while having relatively lower daily volatility. On the other hand, MACD (12,26) offers the worst return. This illustrates that the performance of MACD can vary based on the short and long MA parameters. 

Figure 1. Plot of mean daily return against historical daily volatility for individual BTC/USDT indicators from June 1, 2019 to July 7, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Cryptocurrency Indicator - Mean daily returns vs historical daily volatility BTCUSDT indicator (Daily)

SMA (5,10) is the second best performing indicator with 0.75% returns. Together, SMA (5,10), EMA (1,10), and SMA (1,10) form a cluster around daily returns between 0.6~0.8% daily volatility of 4.0%. Finally, EMA (5,10), SMA (5,20), SMA (1,20), and ROC form another cluster near daily return of 0.0% and daily volatility of 0.0%. The cumulative return plot in figure 2 shows that these indicator strategy did not trade at all; these indicators did not trigger any open signals.

Figure 2. Plot of the total cumulative return of BTC/USDT indicators from June 1, 2019 to July 7, 2019 using daily ticks.

Cryptocurrency Indicator - Total Cumulative Return (Daily)

From figure 2, we also observe that MACD (5,10), the top performing indicator, produces a cumulative return of 48%. The second and third highest cumulative returns are EMA (5,10) and SMA (5,10) with 32% and 28% total returns, respectively.  Note that, even though SMA (5,10) had a higher mean daily return than EMA (5,10), EMA (5,10) outperforms SMA (5,10) in terms of total return. Similarly, MACD (7,14) has a higher mean daily return but lower cumulative return compared to both EMA (5,10) and SMA (5,10).

Indicator Strategy Performance On 4-Hour BTC/USDT Market

We conduct the same experiment again, this time on 4-hour BTC/USDT price data. We observe that the highest mean daily return was still MACD indicator. Figure 3 reveals that all three MACD indicators performed well:   MACD (12,26), MACD (7,14) and MACD (5,10) offered daily returns of 0.12%, 0.10% and 0.10%, respectively. Also, all SMA indicators, except SMA (1,20), provided daily returns of 0.11%. 

Figure 3. Plot of mean daily return against historical daily volatility for individual BTC/USDT indicators from June 1, 2019 to July 7, 2019 using 4-hour tick data.

Cryptocurrency Indicator - Mean daily returns vs historical daily volatility BTCUSDT indicator (4-Hr)

When we compare BTC/USDT trading in daily versus 4-hour tick, we consistently see that best SMA indicators outperform the best EMA indicators. 

When we look at RSI indicators, RSI (20,80) gives positive 0.02% mean daily returns while RSI (30,70) gives negative 0.02% mean daily returns. Note, we did not trade using any RSI signals on the daily tick data. We traded using RSI signals on the 4-hour tick data.

Both BB and Fractals give moderate returns with less volatility than other MA-based indicators in both daily and 4-hour tick trading.

When we look at the cumulative return plot for 4-hour tick data, we see that trading immediately starts on June 1, 2019 (figure 4), whereas trading only begins from June 11, 2019 using daily tick data. Nevertheless, the best total return we get from the 4-hour trading chart is 37% with MACD (12,26), which is lower than the best return from daily trading chart in Figure 2.  

Figure 4. Plot of the total cumulative return of BTC/USDT indicators from June 1, 2019 to July 7, 2019 using 4-hour ticks.

Cryptocurrency Indicator - Total Cumulative Return (4-Hr)

Indicator Strategy Performance On 30-Minute BTC/USDT Market

Finally, we conduct the same experiment once more, this time on 30-minute BTC/USDT price data. Overall, the performance results are negative. All indicator strategies, except SMA (1,10), produce negative daily returns (Figure 5) as well as negative cumulative returns (Figure 6). Surprisingly, SMA (1,10) is the only indicator with positive returns: 0.6% mean daily return and 4.0% total return. 

Figure 5. Plot of mean daily return against historical daily volatility for individual BTC/USDT indicators from June 1, 2019 to July 7, 2019 using 30-minute tick data.

Cryptocurrency Indicator - Mean daily returns vs historical daily volatility BTCUSDT indicator (30-min)

Figure 6. Plot of the total cumulative return of BTC/USDT indicators from June 1, 2019 to July 7, 2019 using 30-minute ticks. 

Cryptocurrency Indicator - Total Cumulative Return (30-min)

Summary

  • Under the assumption that we did not know Bitcoin price would increase in June, both MACD and SMA indicators provide positive signals and we are able to make cumulative returns of 48%.
  • Overall, SMA indicators outperformed EMA indicators in both daily trading and 4-hour trading.
  • Trading based on 30-minute or less with listed indicator signals results in the worst performance – negative daily and cumulative 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. Chainlink

TERMINAL

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

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Coinscious - Cryptocurrency Market REport - July 22, 2019

Altcoins Suffer Significant Losses With Slight Pullback from BTC

By | Coinscious Lab, Data Analytics, Market Report | No Comments
Coinscious - Cryptocurrency Market Report - July 22, 2019 Altcoins

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 June 22, 2019 to July 21, 2019. Altcoins

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 examine are up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is currently trading slightly above $10000 at the time of writing, and traded between $9500 and $13000 last month.

Outside of cryptocurrencies, the S&P 500 is up 1.06% from 30 days ago and closed last Friday at $2976.61.

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 June 22, 2019 to July 21, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment. Altcoins

Altcoins Risk Vs Return

The best performer overall over the past month was ChainLink (LINK), with a total return of 52.62%. ChainLink aims to be a reliable decentralized data oracle that provides data inputs for smart contracts. 

The second and third best performing cryptocurrencies were Huobi Token (HT) and Decred (DCR), with total returns of 18.51% and 1.55% respectively. Huobi Token (HT) also had the highest Sharpe ratio of the cryptocurrencies analyzed.

EOS (EOS) was the worst performing cryptocurrency, with total losses of 39.86%. EOS is the token for the EOS.IO blockchain protocol, a smart contract platform and decentralized operating system built with business applications in mind.

The second and third worst performing cryptocurrencies were Waves (WAVES) and Bitcoin Diamond (BCD) with total losses of 36.36%  and 35.52% 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 June 22, 2019 to July 21, 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. Altcoins

Altcoins - LINK, HT, DCR, BTC, PAX

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 June 22, 2019 to July 21, 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.

Altcoins - EOS, WAVES, BGD, BTM, DASH

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 BTC, ETH, and XRP continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. XRP’s 50-day moving average looks like it could possibly move below the 100-day moving average sometime in the near future, so that is a potential bearish signal to prepare for.

The RSI for BTC, ETH, and XRP are between 30 and 70; neither overbought or oversold.

For all top three cryptocurrencies, the MACD line is below the MACD signal line but looks like they could potentially cross above soon, which would be a bullish signal. XRP looks the closest to achieving this bullish crossover.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from June 22, 2019 to July 21, 2019.

Price of Bitcoin (BTC) in USD at Bitstamp from June 22, 2019 to July 21, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from June 22, 2019 to July 21, 2019.

Price of Ether (ETH) in USD at Bitstamp from June 22, 2019 to July 21, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from June 22, 2019 to July 21, 2019.

Price of XRP (XRP) at Bitstamp in USD from June 22, 2019 to July 21, 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 June 22, 2019 to July 21, 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.

Top 50 Cryptocurrencies Altcoin List
Top 50 Cryptocurrencies Altcoin List

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from June 22, 2019 to July 21, 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. Chainlink

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Coinscious Cryptocurrency Market Report - July 8, 2019 - Chainlink

ChainLink Outshines With 203% Returns In One Month

By | Coinscious Lab, Data Analytics, Market Report | No Comments
Coinscious Cryptocurrency Market Report - July 8, 2019 - Chainlink LINK ZIL

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 June 8, 2019 to July 7, 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. Chainlink

Analysis

The performance of major cryptocurrencies over the past month was mixed, with 26 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 above $11000 at the time of writing, having oscillated between $10000 and $12000 last week.

Outside of cryptocurrencies, the S&P 500 is up 3.59% from 30 days ago and closed last Friday at $2990.41.

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 June 8, 2019 to July 7, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment. Chainlink

Chainlink - Cryptocurrency Risk Return

The best performer overall over the past month was ChainLink (LINK), with a total return of 202.94%. ChainLink aims to be a reliable decentralized data oracle that provides data inputs for smart contracts. ChainLink also had the second highest Sharpe ratio of the cryptocurrencies analyzed, beat only by Huobi Token (HT).

The second and third best performing cryptocurrencies were HyperCash (HC) and Qtum (QTUM), with total returns of 115.05% and 55.76% respectively.

Zilliqa (ZIL) was the worst performing cryptocurrency, with total losses of 27.54%. Zilliqa is a public blockchain platform. Its specialty is that it is designed to handle high transaction rates that scale linearly with network size.

The second and third worst performing cryptocurrencies were Augur’s Reputation (REP) and Nano (NANO) with total losses of 22.73%  and 21.19% 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 June 8, 2019 to July 7, 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 - LINK Positive Performers, HC, QTUM, BTC, NEO

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 June 8, 2019 to July 7, 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 - Negative Positive Performers, ZIL, REP, NANO, LSK, WAVES

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, Ether, and XRP continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal.

The RSI values of Bitcoin and Ether crossed briefly above the 70 overbought threshold and dipped below again. XRP’s RSI stayed between 30 and 70, neither overbought or oversold, for the entire past 30 days.

For all top three cryptocurrencies, the MACD line crossed below the MACD signal line towards the end of June. This is known as a bearish crossover and could have been interpreted as a bearish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from June 8, 2019 to July 7, 2019.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from June 8, 2019 to July 7, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from June 8, 2019 to July 7, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from June 8, 2019 to July 7, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from June 8, 2019 to July 7, 2019. Chainlink

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from June 8, 2019 to July 7, 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 June 8, 2019 to July 7, 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 - July 8, 2019 - Chainlink
Cryptocurrency List - July 8, 2019 - Chainlink
Cryptocurrency List - July 8, 2019 - Chainlink

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from June 8, 2019 to July 7, 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. Chainlink

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Practice Trading & Backtesting Cryptocurrency Strategies

Practice Trading & Backtesting Cryptocurrency Strategies

By | Cryptocurrency | No Comments

There was a time, in the not-so-distant past, when there existed only one cryptocurrency: Bitcoin. Since the emergence of Bitcoin in 2009, there are not hundreds, but thousands of cryptocurrencies available today. Crypto investors, both individual and institutional, want to succeed in this volatile marketplace by maintaining a strong portfolio and investing in assets that will maximize their profits at the lowest possible risk. In order to properly analyze risks and profitability, crypto investors need performance metrics to measure and evaluate their trading strategies. Here, we introduce new analytics, tools and resources that help crypto investors practice trading and backtesting to optimize their strategy’s potential.

Good Performance Benchmarks

Most crypto investors track cryptocurrencies based on their price. However, if you have a plethora of cryptocurrencies in your portfolio, it is not always easy to track them individually. Instead, benchmarks and indices are useful tools for tracking the performance of multiple cryptocurrencies based on a predefined set of metrics. Benchmarks are intended to be simple, transparent, flexible to changes, easy to understand and can be applied to measure the performance of any portfolio in comparison. We will analyze the performance of two cryptocurrency benchmarks more closely: CCi30 and Bitwise 10. 

Cryptocurrency Index 30 (CCi30) is one of the oldest indexes in the cryptocurrency space – its starting value is January 1, 2015. CCi30 is based on the top 30 cryptocurrencies by market capitalization to measure overall growth, daily and long-term movement of the blockchain industry. 

Bitwise 10 Large Cap Crypto Index (Bitwise 10) tracks the total return of the 10 largest cryptocurrency assets. These assets are measured and weighted by free-float and 5-year inflation-adjusted market capitalization.

What Do You Get In Return?

Timing is everything. When you enter the cryptocurrency market, results in different rates of return on your investment. Let’s explore three different scenarios. 

If you entered the cryptocurrency market in January 2017, CCi30 and Bitwise 10 benchmarks show that your return rates lie between 500-750% in profits (Figure 1a). In contrast, if you entered the market in January 2018, your return rates lie between 70-80% in losses (Figure 1b). Finally, if you entered the market in January 2019, your return rates lie between 10-20% in profits (Figure 1c). 

Figure 1a. Performance of CCi30 and Bitwise 10 benchmarks if investor entered the cryptocurrency market in January 2017. Return rates lie between 500-750% profit. 

Cryptocurrency Backtesting: Benchmark Return CCi30 BITX

Figure 1b. Performance of CCi30 and Bitwise 10 benchmarks if investor entered the cryptocurrency market in January 2018. Return rates lie between 70-80% loss. 

Cryptocurrency Backtesting: Benchmark Return CCi30 BITX

Figure 1c. Performance of CCi30 and Bitwise 10 benchmarks if investor entered the cryptocurrency market in January 2019. Return rates lie between 10-20% profit. 

Cryptocurrency Backtesting: Benchmark Return CCi30 BITX

Putting It To The Test

We tried a simple experiment starting January 1, 2019 to determine how profitable we will be compared to cryptocurrency benchmarks CCi30 and Bitwise 10. In the first week, we invested in 5 cryptocurrencies based on one of the two strategies below. After one week, we sold all 5 cryptocurrencies. We repeated this process every two weeks by selecting another set of 5 cryptocurrencies. 

Strategy 1

In our first strategy, Strategy 1, we choose the top 5 cryptocurrencies with the largest total returns in the past 30 days, found readily in our biweekly Market Reports. For example, in our latest market report from June 24, 2019 (Figure 2), the top 5 cryptocurrencies are Hypercash (HC), MonaCoin (MONA), Bitcoin SV (BSV), GXChain (GXC), and Bytom (BTM). Total returns in the past 30 days is also available in real-time through our Coinscious Terminal

Figure 2. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrencies with the highest total returns from May 25, 2019 to June 23, 2019. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Crypto Report - HyperCasH HC, MONA, BSV, GXC, BTM

Strategy 2

In our second strategy, Strategy 2, we choose the top 5 cryptocurrencies based on Sharpe ratios from the past 30 days, found in our Advanced Market Reports. The Sharpe ratio is 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.

Will We Profit?

We ran our experiment every two weeks for three months. Now, let’s look at how our strategies, Strategy 1 and Strategy 2, perform when compared to cryptocurrency benchmarks CCi30 and Bitwise 10. 

Figure 3 shows that if we entered the cryptocurrency market on January 1, 2019, based on CCi30 and Bitwise 10 benchmarks, our rate of return lies between 10-20%. In comparison, the strategies from our experiment are much more profitable. By using Strategy 1, we yield an 80% return rate while Strategy 2 yields a 50% return rate. 

Figure 3. Cumulative return rates for CCi30 and Bitwise 10 benchmarks, Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019. 

Cryptocurrency Backtesting: Benchmark Return CCi30 BITX Benchmark

We can look at performances of Strategy 1 and Strategy 2 through additional plots such as 30-day rolling Sharpe ratio versus time; 30-day volatility versus time; and drawdowns versus time. 

In figure 4a, we see that the 30-day rolling Sharpe ratio constantly decreases for Strategy 2 between the beginning of February to mid-March. This is helpful to perceive as we may consider changing our strategy if the Sharpe ratio continues to decline even further. 

Figure 4a. 30-day rolling Sharpe ratio for Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019. 

Cryptocurrency Backtesting: 30-day rolling Sharpe ratio for Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019.

Figure 4b. 30-day rolling volatility for Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019.

Cryptocurrency Backtesting: 30-day rolling volatility for Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019.

Figure 4c. Drawdowns for Strategy 1 and Strategy 2 between January 1, 2019 to March 30, 2019.

Cryptocurrency Backtesting: Drawdown

Practice Makes Perfect

Crypto investors are risk takers who know there’s a huge potential for profit. In order to make the most of their portfolio, crypto investors need access to high-quality historical and real-time technical data to backtest, evaluate, and optimize their trading strategies. 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 on their own or through our backtesting services. In doing so, crypto investors can adequately manage a strong, profitable portfolio that has one, hundreds, or even thousands of cryptocurrencies.

Learn More

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

TERMINAL

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

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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 Market Report - June 24, 2019

Bitcoin Surpasses $11K While HyperCash Soars With 211% Returns

By | Coinscious Lab, Data Analytics, Market Report | No Comments
Crypto Market Report - HyperCash Tezos

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 May 25, 2019 to June 23, 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 39 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 around $11000 at the time of writing, having just surpassed $10000 late last week.

Outside of cryptocurrencies, the S&P 500 is up 4.40% from 30 days ago and closed last Friday at $2950.46.

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 25, 2019 to June 23, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

Cryptocurrency Risk Return HyperCash Bitcoin

The best performer overall over the past month was HyperCash (HC), with a total return of 211.43%. With its high daily returns and low volatility, HyperCash also has the highest Sharpe ratio of all cryptocurrencies analyzed. HyperCash belongs to an emerging class of cryptocurrencies called sidechains, which facilitate the transfer of digital assets between other blockchains.

The second and third best performing cryptocurrencies were Monacoin (MONA) and Bitcoin SV (BSV), with total returns of 158.17% and 153.07% respectively.

Tezos (XTZ) was the worst performing cryptocurrency, with total losses of 20.44%. 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 worst performing cryptocurrencies were Waves (WAVES) and Nano (NANO) with total losses of 10.13%  and 8.58% 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 25, 2019 to June 23, 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.

Crypto Report - HyperCasH HC, MONA, BSV, GXC, BTM

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 25, 2019 to June 23, 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

Crypto Report - XTZ, WAVES, NANO, ICX, REP

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, Ether, and XRP continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal.

The RSI values of Bitcoin crossed and is currently above the 70 overbought threshold. Ether’s RSI also briefly crossed above the 70 overbought threshold before dipping below again. XRP’s RSI stayed between 30 and 70, neither overbought or oversold, for the entire past 30 days.

For all top three cryptocurrencies, the MACD line crossed above MACD signal line between one to two weeks ago. This is known as a bullish crossover and can also be interpreted as a bullish signal.

Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from May 25, 2019 to June 23, 2019.

Price of Bitcoin (BTC) in USD at Bitstamp from May 25, 2019 to June 23, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from May 25, 2019 to June 23, 2019.

Figure 3b. Price of Ether (ETH) in USD at Bitstamp from May 25, 2019 to June 23, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from May 25, 2019 to June 23, 2019.

Figure 3c. Price of XRP (XRP) at Bitstamp in USD from May 25, 2019 to June 23, 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 May 25, 2019 to June 23, 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
Cryptocurrencies
Cryptocurrencies

APPENDIX B: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from May 25, 2019 to June 23, 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.