fbpx
Tag

S&P 500 Archives - Coinscious

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

REPORT SERVICE

Crypto Market Report - June 24, 2019

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

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

Indicator Report: an analysis of performance, risk and return of top technical indicator strategies for BTC/USDT at daily, 4-hour and 30-minute intervals. Subscribe now

Blockchain & Alert Signal Report: an analysis of blockchain transactions statistics and correlations, and in-depth summary of alert system signals such as price pump/dump, volume spike/drop, and RSI. Subscribe now

Advanced Market Report: an analysis of current cryptocurrency market developments, comprehensive statistics and technical insights such as top/worst performances, risk-return tradeoffs, and correlations. Subscribe now

TERMINAL

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

SIGN-UP FREE:  MARKET DATA API  |  ALERT API  | REPORT SERVICE 

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

REPORT SERVICE

Crypto Market Report - June 24, 2019

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

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

SIGN-UP FREE:MARKET DATA API  |  ALERT API  | REPORT SERVICE 

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

REPORT SERVICE

Crypto Market Report - June 24, 2019

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

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

SIGN-UP FREE:  MARKET DATA API  |  ALERT API  | REPORT SERVICE

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.

REPORT SERVICE

Crypto Market Report - June 24, 2019

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

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

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.

Bitcoin Price Jumps Past $7,600

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

Bitcoin (BTC) 
+39.46%

Biggest
30d % Loss

Zilliqa (ZIL) 
-18.01%

Overview

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

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

Analysis

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

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

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

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

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

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

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

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

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

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

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

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

The indicators for all three cryptocurrencies share many common features.

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

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

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

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

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

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

APPENDIX A: Cryptocurrencies

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

APPENDIX B: Methodology

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

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

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

APPENDIX C: Terminology

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

Disclaimer

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

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

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

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

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

Bitcoin Cash
+55.64%

Biggest
30d % Loss

Maker (MKR)
-23.58%

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from March 30, 2019 to April 28, 2019.

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

Analysis

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

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

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

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from March 30, 2019 to April 28, 2019. Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

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

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

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

The second and third worst performing cryptocurrencies were Waves (Waves) and Steem (STEEM) with total losses of 23.21% and 19.92% respectively.

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrencies with the highest total returns from March 30, 2019 to April 28, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for cryptocurrencies with the lowest total returns from March 30, 2019 to April 28, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 3 plots daily candlesticks of the prices of Bitcoin (BTC) and Ether (ETH), the two largest cryptocurrencies by market capitalization, as well as the top performer of the past month, Bitcoin Cash (BCH). In addition, the following commonly used technical analysis indicators are shown:

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

The indicators for all three cryptocurrencies share many common features.

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

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

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

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

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

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

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from March 30, 2019 to April 28, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate

APPENDIX B: Methodology

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

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

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

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

APPENDIX C: Terminology

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

Disclaimer

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

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

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

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

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

Tezos (XTZ) 
+110.60%

Biggest
30d % Loss

Nano (NANO) 
-53.49%

Overview

Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from March 16, 2019 to April 14, 2019.

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

Analysis

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

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

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

Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from March 16, 2019 to April 14, 2019 Higher returns at a given level of risk, measured through historical daily volatility, indicates a better investment.

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

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

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

Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrencies with the highest total returns from March 16, 2019 to April 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for cryptocurrencies with the lowest total returns from March 16, 2019 to April 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate

Figure 3 plots daily candlesticks of the prices of Bitcoin ( BTC ) and Ether (ETH), the two largest cryptocurrencies by market capitalization, as well as the top performer of the past month, Tezos (XTZ). In addition, the following commonly used technical analysis indicators are shown:

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

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

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

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

APPENDIX A: Cryptocurrencies

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from March 16, 2019 to April 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.

APPENDIX B: Methodology

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

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

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

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

APPENDIX C: Terminology

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

Disclaimer

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

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

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

XTZ Performs Best (+73.77%); ADA Offers More Than Its Peers

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

Tezos (XTZ) 
+73.77%

Biggest 30d %
Gain (Sector)

Digital Content
+23.22%

Biggest
30d % Loss

Pundi X (NPXS) 
-16.06%

Smallest 30d %
Loss (Sector)

Stablecoins
-0.00%

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 28, 2019 to March 28, 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, BCN
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 45 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 around $4100, still in the sideways trend that began in November last year. However, it is also up 5.00% compared to 30 days ago.

Outside of cryptocurrencies, the S&P 500 has been relatively flat, only up 1.11% from 30 days ago and closing yesterday at $2815.44.

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

The best performer overall over the past month was Tezos (XTZ), with a total return of 73.77%. Tezos is a self-amending proof-of-work dApp platform that removes the need to hard fork when implementing protocol amendments.

Stakeholders vote for their preferred proposed protocol amendments through a formal and systematic process that has four discrete periods: the Proposal Period, the Exploration or “Testing” Vote Period, the Testing Period, and the Promotion Vote Period. The Tezos community successfully concluded the first round of voting, the Proposal Period, on March 20 and are currently in the Exploration period, casting votes to decide whether the winning proposal will move on to be deployed to the test network.

This news is significant because it is the first time that the self-amending upgrade process has been put into action. According to ​Tezos​, removing the need to hard fork in order to make protocol amendments is an important because “the suggestion or expectation of a fork can divide the community, alter stakeholder incentives, and disrupt the network effects that are formed over time. Because of self-amendment, coordination and execution costs for protocol upgrades are reduced and future innovations can be seamlessly implemented.” ​Tezos’ price went up in the days leading up to the end of the first voting period, so it is possible that growing enthusiasm and positive news about the protocol upgrade was the underlying cause. The success of the first vote also likely caused the subsequent 31% jump on March 20.

The second and third best performing cryptocurrencies were Cardano (ADA) and Basic Attention Token (BAT) with total returns of 55.14% and 39.56% respectively. Cardano is noteworthy in that it offered higher returns than its peers with similar levels of risk, including several other dApp platforms. 

Pundi X (NPXS) was the worst performing cryptocurrency, with total losses of 16.06%.

Figure 2a. Cryptocurrencies with the highest total returns from February 28, 2019 to March 28, 2019.

Figure 2b. Cryptocurrencies with the lowest total returns from February 28, 2019 to March 28, 2019.

Figure 3 shows various performance measures of the nine sectors as well as that of the S&P 500 for comparison and Figure 4 plots the performance over time of each sector. Performance between the sectors was all positive, except for stablecoins with a very small negative return. Total returns ranged from 0.00% (stablecoins) to 23.22% (digital content).

Figure 3. Mean daily returns, historical daily volatility, total returns, maximum drawdown, and ex-post Sharpe ratio for each sector from February 28, 2019 to March 28, 2019. Smaller 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 of sectors that had positive total returns between February 28, 2019 to March 28, 2019.

Figure 4b. Price performance over time of sectors that had negative total return between February 28, 2019 to March 28, 2019.

Figure 5 shows the correlation between the daily returns of each sector. The S&P 500 had little correlation with most cryptocurrency sectors except for stablecoins, which it had a 0.31 correlation with. Resources, consisting of Siacoin (SC) and Golem (GNT), was the least correlated with the others. Correlations between sectors were more varied and less highly positively correlated than observed in previous months.

Figure 5. Correlation between daily returns of each sector from February 28, 2019 to March 28, 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 28, 2019 to March 28, 2019 was used for our calculations.

The prices are the volume weighted average price of the cryptocurrency in USD at 4:00 PM EST each day across all exchanges where Coinscious has data.

To analyze performance by sector, the prices of constituent cryptocurrencies was normalized by dividing by the price on February 28, 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 28, 2019 and the daily 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.