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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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Crypto Market Report - June 24, 2019

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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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Crypto Market Report - June 24, 2019

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Exchange Report: an analysis of recent historical volumes and prices of 18 mainstream exchanges to identify better or fairer cryptocurrency platforms Subscribe now

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