fbpx
Tag

WAVES Archives - Coinscious

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

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.

Waves Dominates Again As Best Overall Crypto Performer In Past Month

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

Coinscious Market Report

by Coinscious Lab

January 7, 2019

Biggest
30d % Gain

  Waves (WAVES)
+99.69%

Biggest 30d %
Gain (Sector)

Data & Information
+51.21%

Biggest
30d % Loss

 Pundi X (NPXS)
-13.07%

Smallest 30d %
Gain (Sector)

Privacycoins
+0.34%

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 8, 2018 to January 6, 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, BCH, 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

Cryptocurrencies are holding on to their recovery, with bitcoin (BTC) off the lows and currently trading around $4,100, maintaining approximately the same level for the past two weeks. Other major cryptocurrencies have been performing well, with 45 out of the 51 cryptocurrencies that we examined up from their values 30 days ago. Outside of cryptocurrencies, the S&P 500 continued sliding downwards, down 3.84% from 30 days ago and closing last Friday at $2531.94.

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 8, 2018 to January 6, 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 waves (WAVES), with a total return of 99.69%. Waves was also the best performer in our report two weeks ago.

Also worth mentioning is Ethereum (ETH) the second largest currency by market cap at the moment, with total returns of 82.21%. This may be a result of the upcoming Constantinople hard fork, which will happen on block 7080000, around January 16, 2019. Constantinople is a non-contentious fork, meaning that the vast majority of the Ethereum community will be accepting the changes. The five Ethereum Improvement Proposals to be addressed are EIP 1234, EIP 145, EIP 1014, EIP 1052, and EIP 1283. Most notably, EIP 1234 will drop mining rewards per discovered block from three to two ETH, thus decreasing the supply of new ETH.

Pundi X (NPXS) was the weakest performing cryptocurrency, with total losses of 13.07%. Pundi X is a decentralized payment ecosystem that uses NPXS tokens on proprietary physical point-of-sale devices.

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. All sectors had positive total returns, with gains ranging from 8% to a little over 51% (excluding stablecoins). Out of all the sectors, data and information performed the best, with a total return of 51.21%. The data and information sector is composed of IOTA (IOTA), VeChain (VET), chainlink (LINK), and augur (REP).

Figure 2. Mean daily returns, historical daily volatility, total returns, maximum drawdown, and ex-post Sharpe ratio for each sector from December 8, 2018 to January 6, 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 8, 2018 to January 6, 2019.

Figure 3b. Price performance over time by sectors that had negative returns between December 8, 2018 to January 6, 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 0.34% over the observation period. As for the other sectors, they had high positive correlation with each other, ranging from 0.67 to 0.97. The S&P 500 had little correlation with any cryptocurrency sectors.

Figure 4. Correlation between daily returns of each sector from December 8, 2018 to January 6, 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 8, 2018 to January 6, 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 8, 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 8, 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.

Crypto Market Recovers: Waves Tops the Chart, Up By 203.50%

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

Coinscious Market Report – December 21, 2018


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 are planned to focus on metrics derived from a 30-day rolling window of data, this time from November 20, 2018 to December 20, 2018. In this report, we also provide analysis on bitcoin price movements from a technical perspective to see where the market as a whole may be headed in the near future.