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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

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.

Crypto Market Report - Bitcoin SV Stays On Top

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

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

Overview Bitcoin SV

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from May 11, 2019 to June 9, 2019.

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

Analysis

The performance of major cryptocurrencies over the past month was good, with 44 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is currently trading slightly about $7900 at the time of writing. Bitcoin SV

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

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

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from May 11, 2019 to June 9, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

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

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

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

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

The second and third worst performing cryptocurrencies were Reputation (REP) and Bytecoin (BCN) with total losses of 5.89%  and 1.28% respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from May 11, 2019 to June 9, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Cryptocurrency Positive Return - Bitcoin SV

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from May 11, 2019 to June 9, 2019 More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate

Cryptocurrency Negative Return - 2019-06-10

Figure 3 plots daily candlesticks of the prices of BTC and ETH, the two largest cryptocurrencies by market capitalization. We also show BSV the top performer this past month. In addition, the following commonly used technical analysis indicators are shown:

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

The 50-day simple moving averages for Bitcoin and Ethereum continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. In addition, the 50-day simple moving average for Bitcoin SV just crossed above the 100-day moving average in May. This is the start of a long-term bullish signal.

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

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

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

Price of BTC at Bitstamp - 2019-06-10

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

Price of ETH at Bitstamp - 2019-06-10

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

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

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from May 11, 2019 to June 9, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Cryptocurrency List - Bitcoin SV
Cryptocurrency List - 2019-06-10
Cryptocurrency List - 2019-06-10

APPENDIX B: Methodology

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

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

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

APPENDIX C: Terminology

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

Disclaimer

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

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

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

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

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

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from April 27, 2019 to May 26, 2019. LINK

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

Analysis

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

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

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

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from April 27, 2019 to May 26, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

LINK - Cryptocurrency Risk Return

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

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

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

The second and third worst performing cryptocurrencies were Basic Attention Token (BAT) and USD Coin (USDC) with total losses of 7.29% and 4.40% respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from April 27, 2019 to May 26, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate. LINK

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from April 27, 2019 to May 26, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate

Figure 3 plots daily candlesticks of the prices of Bitcoin ( BTC ) and Ether ( ETH ), the two largest cryptocurrencies by market capitalization. We also present the daily candlesticks of the price of Chainlink ( LINK ), the best performer of the past month. In addition, the following commonly used technical analysis indicators are shown:

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

The indicators for all three cryptocurrencies share many common features.

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

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

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

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

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

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

Binance LINK USDT

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from April 27, 2019 to May 26, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

APPENDIX B: Methodology

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

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

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

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

APPENDIX C: Terminology

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

Disclaimer

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

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

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

MKR Outperforms in Feb (86% Gains); ONT & BAT Take 2nd & 3rd

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

Coinscious Market Report

by Coinscious Lab

March 4, 2019

Biggest
30d % Gain

Maker (MKR)
+85.56%

Biggest 30d %
Gain (Sector)

Digital Content
+37.38%

Biggest
30d % Loss

Augur (REP)
12.71%

Biggest 30d %
Loss (Sector)

Stablecoins
-0.14%

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 February 2, 2019 to March 3, 2019.

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies, and groups them into sectors that reflect similar utility and valuation models. Through analysis of the recent historical performance of individual cryptocurrencies as well as their sectors, we provide a framework for analysis where investors can identify outperforming cryptocurrencies or sectors by comparing their performance relative to peers.

Sector
Constituent Coins/Tokens
Digital Cash BTC, BCH, BSV, LTC, BTG, DOGE, DCR, BCD, DGB
Privacycoins XMR, DASH, ZEC, XVG
DApp Platforms ETH, EOS, ADA, NEO, ETC, XEM, XTZ, QTUM, LSK, AE, ZIL, ICX, BTM, ETP
Resources SC, GNT
Payments and Settlements XRP, XLM, OMG, NPXS, MKR, PPT
Decentralized Exchanges BTS, ZRX, WAVES
Digital Content TRX, ONT, BAT, STEEM
Data and Information IOTA, VET, LINK, REP
Stablecoin USDT, TUSD, DAI

Analysis

The performance of major cryptocurrencies over the past month has been good, with 44 out of the 50 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market cap, is trading between $3800 and $4000. Despite having surpassed $4000 two weeks ago, giving many hope that this breakout was potentially the start of a new upwards trend, Bitcoin reached and was rejected by the $4250 resistance level. It continues the longstanding sideways trend that began in November last year.

Outside of cryptocurrencies, the S&P 500 has been performing well, up 3.59% from 30 days ago and closing last Friday at $2803.69.

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 February 2, 2019 to March 3, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

The best performer overall over the past month was Maker (MKR), with a total return of 85.56%.  To understand why Maker have outperformed other cryptocurrencies, we need to briefly explain how Maker works first. (For a  full explanation, see their whitepaper.)

MakerDAO is a smart contract platform that backs and stabilizes the value of Dai (DAI), a soft-pegged stablecoin. Unlike most other stablecoins, Dai is collateralized with Ether on the Ethereum blockchain rather than any fiat currency. On this platform, Maker serves multiple purposes:

  • Maker is a governance token that allows holders to vote on system settings
  • Maker is also a utility token that is burned as a fee when settling a Collateralized Debt Position (CDP), a smart contract whose purpose is to create Dai in exchange for collateral, which it then holds in escrow until the borrowed Dai is returned.
  • In the event that CDPs become undercollateralized, likely as a result of market crashes or other adverse events, automatic recapitalization through forced Maker dilution will happen i.e. Maker tokens will be created and sold on the market to raise money to recapitalize the system.

According to an article from MakerDAO’s blog in early February, there are 8200 unique addresses with a non-negligible Dai balance and in January, there were more than 7300 active addresses sending or receiving Dai. In addition, they reported 20% monthly growth in both holders and active addresses.

As the only token that can be used to pay the fee associated with creating Dai and using CDPs, an increase in adoption and demand for Dai means that there will also be additional demand for Maker. In addition, Maker is burned to pay the fee, thereby permanently decreasing the total supply of Maker available (unless more is created during forced Maker dilution for recapitalization). If adoption of Dai continues to grow, as MakerDAO has reported, then there are fundamental reasons to expect the price of Maker to continue to increase as well.

The second and third best performing cryptocurrencies were Ontology (ONT) and Basic Attention Token (BAT) with total returns of 63.94% and 58.31% respectively.

Ontology’s price surge coincides with an article from their blog posted on February 23 that announced the release of the Ontology Development Platform on Google Cloud Platform Marketplace. This makes Ontology one of the first public blockchains to have a development platform on the leading cloud provider marketplaces: Google Cloud, Amazon Web Services, and Microsoft Azure.

Basic Attention Token also benefited from positive news. An article from their blog posted on February 26 announced a partnership between Brave Software and the Tap Network. Brave Software is a privacy browser combined with a blockchain based digital advertising platform that uses Basic Attention Tokens to reward users for their attention. Tap Network is an advertising and data network that connects brands to reward consumers directly using blockchain. This partnership will allow Brave users to redeem Basic Attention Tokens for real-world rewards from over 250 000 brand partners in the TAP Network.

Augur’s reputation token (REP) was the worst performing cryptocurrency, with total losses of 12.72%. This is likely only a pullback from the exuberance that followed the unveiling of the Viel Platform on January 15.

Figure 2a. Cryptocurrencies with the highest total returns from February 2, 2019 to March 3, 2019

Figure 2b. Cryptocurrencies with the lowest total returns form February 2, 2019 to March 3, 2019

Figure 3. Mean daily returns, historical daily volatility, total returns, maximum drawdown, and ex-post Sharpe ratio for each sector from February 2, 2019 to March 3, 2019. Less negative maximum drawdowns and more positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 4a. Price performance over time by sectors that had positive returns between February 2, 2019 to March 3, 2019.

Figure 4b. Price performance over time by sectors that had negative returns between February 2, 2019 to March 3, 2019.

Figure 4 shows the correlation between the daily returns of each sector. Stablecoins had low to moderate positive correlation with other sectors. As shown in Figure 2, stablecoins continued to fulfill their intended purpose well by maintaining low volatility, mean daily returns of 0%, and a near zero total return of -0.14% over the observation period. The S&P 500 also had little correlation with any cryptocurrency sectors. As for the other sectors, they had high positive correlation with each other, ranging from 0.66 to 0.94, almost the same compared to 0.66 to 0.95 from two weeks ago. Digital content, the best performing sector, was the least correlated with the others.

Figure 4. Correlation between daily returns of each sector from February 2, 2019 to March 3, 2019. Correlation ranges between -1 and 1. Correlation close to 1 indicates a more positive relationship between the pair of cryptocurrency returns and correlation close to -1 indicates a more negative linear relationship. Correlation close to 0 indicates no linear relationship.

APPENDIX A: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from February 2, 2019 to  March 3, 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. If there was insufficient good quality data on a cryptocurrency’s value in USD, we would instead use the cryptocurrency’s value in USDT and apply a conversion rate to turn it to USD. If data was still insufficient, then we would find the volume weighted average price of the cryptocurrency in both BTC and ETH, then converted both into USD, and finally took the mean of those values. The conversion rates we use at a given time are the volume weighted average price of USDT, BTC, or ETH to USD at that specific time across all exchanges where Coinscious has data.

To analyze performance by sector, the prices of constituent cryptocurrencies was normalized by dividing by the price on February 2, 2019, then averaged. When calculating the daily returns using this averaged normalized price, it is equivalent to if each sector was represented as an equally weighted portfolio of its constituent cryptocurrencies formed starting February 2, 2019 and the returns of the portfolio were calculated. Returns used throughout this report refer to simple returns.

Daily closing price data of the S&P 500 index from Yahoo Finance was also used as a proxy to represent the US equity market. 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 B: Terminology

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

Disclaimer

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

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

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

Crypto Bear Market Continues & Remains Anti-Correlated with S&P

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

Coinscious Market Report

by Coinscious Lab

February 4, 2019

Biggest
30d % Gain

  Augur (REP)
+50.39%

Biggest 30d %
Gain (Sector)

Data & Information
+5.31%

Biggest
30d % Loss

 NEM (XEM)
37.86%

Biggest 30d %
Loss (Sector)

Resources
19.58%

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from January 5, 2019 to February 3, 2019.

Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies, and groups them into sectors that reflect similar utility and valuation models. Through analysis of the recent historical performance of individual cryptocurrencies as well as their sectors, we provide a framework for analysis where investors can identify outperforming cryptocurrencies or sectors by comparing their performance relative to peers.

Sector
Constituent Coins/Tokens
Digital Cash BTC, BCH, BSV, LTC, BTG, DOGE, DCR, BCD, DGB
Privacycoins XMR, DASH, ZEC, XVG
DApp Platforms ETH, EOS, ADA, NEO, ETC, XEM, XTZ, QTUM, LSK, AE, ZIL, ICX, BTM, ETP
Resources SC, GNT
Payments and Settlements XRP, XLM, OMG, NPXS, MKR, PPT
Decentralized Exchanges BTS, ZRX, WAVES
Digital Content TRX, ONT, BAT, STEEM
Data and Information IOTA, VET, LINK, REP
Stablecoin USDT, TUSD, DAI

Analysis

The performance of major cryptocurrencies over the past month has been lacklustre, 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 cap, has been trading between $3800 and $3400 without any major moves and is currently hovering around $3500. Outside of cryptocurrencies, the S&P 500 has been performing well, up 6.90% from 30 days ago and closing last Friday at $2706.53.

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 January 5, 2019 to February 3, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

The best performer overall over the past month was Augur’s reputation token (REP), with a total return of 50.39%. This was also the best performing cryptocurrency from our previous market report two weeks ago. The surge in price was attributed to the announcement of the Viel platform on January 15. Viel is a peer-to-peer trading platform for prediction markets and derivatives built on top of Augur, with the goal of making Augur easier to use and more ubiquitous by making transactions faster and cheaper.

NEM (XEM) was the worst performing cryptocurrency, with total losses of 33.31%. Ethereum (ETH) and ICON (ICX) were the second and third worst performers respectively, and all three are part of the dApp platform sector.

Figure 2 shows various performance measures of the nine sectors as well as that of the S&P 500 for comparison and Figure 3 plots the performance over time of each sector. Performance between the sectors was mostly negative with only data and information having positive total returns. Total returns ranged from -19.58% (resources) to 5.31% (data and information).

Data and information has been the best performing sector for three consecutive reports now, corresponding to a time period spanning two months. Reputation, the best performing cryptocurrency, is in the data and information sector, as well as ChainLink (LINK), IOTA (IOTA), and VeChain (VET).

Resources, the worst performing sector, is composed of Siacoin (SC) and Golem (GNT). This is a sector for platforms and tokens that facilitate markets for decentralized resources. In the case of these two tokens, the resources are cloud storage and computing power respectively.

Figure 2. Mean daily returns, historical daily volatility, total returns, maximum drawdown, and ex-post Sharpe ratio for each sector from January 5, 2019 to February 3, 2019. Less negative maximum drawdowns and more positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 3a. Price performance over time by sectors that had positive returns between January 5, 2019 to February 3, 2019.

Figure 3b. Price performance over time by sectors that had negative returns between January 5, 2019 to February 3, 2019.

Figure 4 shows the correlation between the daily returns of each sector. Stablecoins had moderate negative correlation with other sectors. As shown in Figure 2, stablecoins continued to fulfill their intended purpose well by maintaining low volatility, mean daily returns near 0%, and a near zero total return of -0.89% over the observation period. The S&P 500 also had little correlation with any cryptocurrency sectors. As for the other sectors, despite their varying performance, they had high positive correlation with each other, ranging from 0.66 to 0.95, but slightly lower compared to 0.77 to 0.97 from two weeks ago.

Figure 4. Correlation between daily returns of each sector from January 20, 2019 to February 3, 2019. Correlation ranges between -1 and 1. Correlation close to 1 indicates a more positive relationship between the pair of cryptocurrency returns and correlation close to -1 indicates a more negative linear relationship. Correlation close to 0 indicates no linear relationship.

APPENDIX A: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from January 5, 2019 to February 3, 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. If there was insufficient good quality data on a cryptocurrency’s value in USD, we would instead use the cryptocurrency’s value in USDT and apply a conversion rate to turn it to USD. If data was still insufficient, then we would find the volume weighted average price of the cryptocurrency in both BTC and ETH, then converted both into USD, and finally took the mean of those values. The conversion rates we use at a given time are the volume weighted average price of USDT, BTC, or ETH to USD at that specific time across all exchanges where Coinscious has data.

To analyze performance by sector, the prices of constituent cryptocurrencies was normalized by dividing by the price on January 5, 2019, then averaged. When calculating the daily returns using this averaged normalized price, it is equivalent to if each sector was represented as an equally weighted portfolio of its constituent cryptocurrencies formed starting January 5, 2019 and the returns of the portfolio were calculated. Returns used throughout this report refer to simple returns.

Daily closing price data of the S&P 500 index from Yahoo Finance was also used as a proxy to represent the US equity market. 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 B: Terminology

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

Disclaimer

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

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

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

Digital Cash in Crypto Market Plunges 14% While S&P Surges 11%

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

Coinscious Market Report

by Coinscious Lab

January 21, 2019

Biggest
30d % Gain

Augur (REP)
+
135.34%

Biggest 30d %
Gain (Sector)

Data & Information
+44.42%

Biggest
30d % Loss

 Bitcoin Cash (BCH)
-33.31%

Biggest 30d %
Loss (Sector)

Digital Cash
-13.81%

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 December 22, 2018 to January 20, 2019.

Our universe of analysis includes 51 of some of the most widely used and traded cryptocurrencies, and groups them into sectors that reflect similar utility and valuation models. Through analysis of the recent historical performance of individual cryptocurrencies as well as their sectors, we provide a framework for analysis where investors can identify outperforming cryptocurrencies or sectors by comparing their performance relative to peers.

Sector
Constituent Coins/Tokens
Digital Cash BTC, BCH, BSV, LTC, BTG, DOGE, DCR, BCD, DGB
Privacycoins XMR, DASH, ZEC, XVG
DApp Platforms ETH, EOS, ADA, NEO, ETC, XEM, XTZ, QTUM, LSK, AE, ZIL, ICX, BTM, ETP
Resources SC, GNT
Payments and Settlements XRP, XLM, OMG, NPXS, MKR, PPT
Decentralized Exchanges BTS, ZRX, WAVES
Digital Content TRX, ONT, BAT, STEEM
Data and Information IOTA, VET, LINK, REP
Stablecoin USDT, TUSD, DAI

Analysis

The performance of major cryptocurrencies over the past month has been mixed, with 12 out of the 51 cryptocurrencies that we examined up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market cap, has been confined between $3500 and $3900 since January 11, and is currently trading at the low end of that range around $3600. Outside of cryptocurrencies, the S&P 500 has been performing well, up 10.51% from 30 days ago and closing last Friday at $2670.71.

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 December 22, 2018 to January 20, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

The best performer overall over the past month was Augur’s reputation token (REP), with a total return of 135.34%. The surge in price can be attributed to the announcement of the Viel platform on January 15. Viel is a peer-to-peer trading platform for prediction markets and derivatives built on top of Augur, with the goal of making Augur easier to use and more ubiquitous by making transactions faster and cheaper. Reputation is in the data and information sector, as was the second best overall performer, ChainLink (LINK), which had a total return of 59.72%. Other cryptocurrencies in the data and information sector are IOTA (IOTA) and VeChain (VET).

Bitcoin Cash (BCH) was the worst performing cryptocurrency, with total losses of 33.31%. Bitcoin SV (BSV) was the second weakest, with total losses of  30.32%. Bitcoin Cash and Bitcoin SV both belong to the digital cash sector.

Cobra, the anonymous developer who founded Bitcoin.org, tweeted on January 18, “Bitcoin Cash is dead.” Cobra goes on to claim that Bitcoin Cash needs new leadership, otherwise it’ll be worth $0 in a few years. Cobra also tweeted about Bitcoin SV a little further back on January 7, saying, “Time to sell all my BSV. Worthless shitcoin.” Another high profile member of the cryptocurrency community, Vitalik Buterin, founder of Ethereum, was also critical of Bitcoin SV on Twitter and called it “a pure dumpster fire.”

The tweets don’t appear to coincide with any noticeably large drops in either Bitcoin Cash’s or Bitcoin SV’s prices. Rather, both of them had gradual declines over the past month that fit into a longer term downtrend. However, the negative attention as a result of these tweets is unlikely to present a good opportunity to reverse that downtrend anytime soon.

Several other cryptocurrencies in the digital cash sector, namely Dogecoin (DOGE), Bitcoin (BTC), Bitcoin Gold (BTG), and Bitcoin Diamond (BCD), also had negative returns over the past month.

Figure 2 shows various performance measures of the nine sectors as well as that of the S&P 500 for comparison and Figure 3 plots the performance over time of each sector. Performance between the sectors was mixed, with total returns ranging from -13.81% (digital cash) to 44.42% (data and information). Data and information was also the best performing sector in our previous market report from two weeks ago.

Figure 2. Mean daily returns, historical daily volatility, total returns, maximum drawdown, and ex-post Sharpe ratio for each sector from December 22, 2018 to January 20, 2019. Less negative maximum drawdowns and more positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate

Figure 3a. Price performance over time by sectors that had positive returns between December 22, 2018 to January 20, 2019

Figure 3b. Price performance over time by sectors that had negative returns between December 22, 2018 to January 20, 2019.

Figure 4 shows the correlation between the daily returns of each sector and quantifies some of what we visually observe from Figure 3. Stablecoins had moderate negative correlation with other sectors. As shown in Figure 2, stablecoins continued to fulfill their intended purpose well by maintaining low volatility and mean daily returns near 0%, and a near zero total return of -0.73% over the observation period. As for the other sectors, despite their varying performance, they still had high positive correlation with each other, ranging from 0.77 to 0.97. This is visible is Figure 3 from how sectors often moved up or down together on the same days. The S&P 500 had little correlation with any cryptocurrency sectors.

Figure 4. Correlation between daily returns of each sector from December 22, 2018 to January 20, 2019. Correlation ranges between -1 and 1. Correlation close to 1 indicates a more positive relationship between the pair of cryptocurrency returns and correlation close to -1 indicates a more negative linear relationship. Correlation close to 0 indicates no linear relationship.

APPENDIX A: Methodology

The daily price data of cryptocurrencies in USD at 4:00 PM EST from December 22, 2018 to January 20, 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. If there was insufficient good quality data on a cryptocurrency’s value in USD, we would instead use the cryptocurrency’s value in USDT and apply a conversion rate to turn it to USD. If data was still insufficient, then we would find the volume weighted average price of the cryptocurrency in both BTC and ETH, then converted both into USD, and finally took the mean of those values. The conversion rates we use at a given time are the volume weighted average price of USDT, BTC, or ETH to USD at that specific time across all exchanges where Coinscious has data.

To analyze performance by sector, the prices of constituent cryptocurrencies was normalized by dividing by the price on December 22, 2018, then averaged. When calculating the daily returns using this averaged normalized price, it is equivalent to if each sector was represented as an equally weighted portfolio of its constituent cryptocurrencies formed starting December 22, 2018 and the returns of the portfolio were calculated. Returns used throughout this report refer to simple returns.

Daily closing price data of the S&P 500 index from Yahoo Finance was also used as a proxy to represent the US equity market. 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 B: Terminology

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

Disclaimer

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

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

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