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June 2019 Cryptocurrency Market Report

June 2019 Cryptocurrency Market Report

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

Overview

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

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

Cryptocurrency Market Developments in June 2019

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

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

Cryptocurrency Market Developments in June 2019

Performance

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

Cryptocurrency Market - Monthly Returns Over Past Year

Best and Worst Performers

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

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

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

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

Cryptocurrencies with the lowest total returns in June 2019
  • Tezos (XTZ) had the lowest total return in June 2019.
  • XTZ is a self-amending proof-of-work dApp platform with built-in mechanisms designed to remove the need to hard fork when implementing protocol amendments.

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

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

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

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

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

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

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

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

Risk vs. Return

Mean Daily Return vs. Daily Volatility

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

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

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

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

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

Value Comparison using CAPM

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

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

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

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

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

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

Correlations

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

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

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

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

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

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

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

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

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

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

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

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

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

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

APPENDIX A: Cryptocurrency Symbols & Names

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

Cryptocurrency Symbols and Names

APPENDIX B: Cryptocurrency Distribution Statistics

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

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

Cryptocurrency Distribution Statistics
Cryptocurrency Distribution Statistics

APPENDIX C: Cryptocurrency Performance Metrics

Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from June 1, 2019 to June 30, 2019, as well as from June 30, 2018 to June 30, 2019.  Rate of return and Alpha are shown as daily, non-annualized values. Beta is calculated using the Bitwise 100 to represent the market portfolio.

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

Cryptocurrency Performance Metrics
Cryptocurrency Distribution Statistics

APPENDIX D: Data Sources

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

The daily price data of cryptocurrencies in USD at 4:00 PM EST from June 30, 2018 to June 30, 2019 was used for our calculations.

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

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

Disclaimer

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

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

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

TERMINAL

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

SIGN-UP FREE: MARKET DATA API  |  ALERT API 

June 2019 Cryptocurrency Blockchain & Alert Signal Report

June 2019 Blockchain & Alert Signal Analysis

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

Overview

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

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

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

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

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

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

Blockchain Transaction

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

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

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

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

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

Alert Signal Analysis

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

APPENDIX A: Figures

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

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

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

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

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

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

APPENDIX B: Methodology

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

APPENDIX C: Alert System Statistics

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

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

 

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

 

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

Disclaimer

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

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

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

TERMINAL

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

SIGN-UP FREE: MARKET DATA API  |  ALERT API

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.

Cryptocurrency Triumphs & Troubles

By | News | No Comments

? U.S. Authorities Charge Leaders of ‘OneCoin’

FRIDAY, MARCH 8, 2019

United States prosecutors announced criminal charges against leaders behind OneCoin, a multibillion-dollar cryptocurrency pyramid scheme. Konstantin Ignatov, Ruja Ignatova, and Mark Scott were charged by the Southern District of New York for wire fraud, securities fraud and money laundering. An estimated $1.2 billion of investor money was laundered to at least 21 countries

SOURCE: NASDAQ


⏸  Fidelity May Delay Support for Ethereum

FRIDAY, MARCH 8, 2019

Fidelity Digital Assets (FDAS) advises support for ethereum (ETH) may be delayed due to the latest hard fork upgrades. FDAS quietly launched this quarter and is a new company created by investing giant, Fidelity Investments. FDAS president, Tom Jessop, says they want ether and other cryptocurrencies to be available but the process it’s easy. Bitcoin (BTC) is currently the only digital asset supported on the platform.

SOURCE: COINDESK


?? South Korea Establishes Task Force To Fight Crypto Fraud

FRIDAY, MARCH 8, 2019

South Korean’s Supreme Prosecutors’ Office(SPO) has created a new task force to protect consumers from fraud, crimes, money laundering, and other suspicious activities related to digital currencies. Cryptocurrency related crimes in the country have risen from 53 in 2016 to 4,500 in 2018. 

SOURCE: COINGEEK


⚙️ OKEx Lists Tron On C2C Market

THURSDAY, MARCH 7, 2019

Cryptocurrency exchange, OKEx, adds Tron (TRX) to its customer-to-customer (C2C) trading platform. The decentralized C2C platform allows users to trade assets directly with one another. In addition, users can place orders with self-selected exchange rates and pay using cryptocurrency or support fiat currencies.

SOURCE: COINGAPE


? eToro Launches Trading Platform & Wallet in the U.S.

THURSDAY, MARCH 7, 2019

eToro, the social investing and trading platform, officially announces the launch of  its fiat-to-crypto platform in the United States. The platform is already available in 140 countries worldwide and will now operate in 30 states and 2 territories in the US. Users will be able to use popular like CopyTrader to follow trading habits of individuals with a proven track record. eToro’s multi-signature wallet provide multi-coin support such as BTC, ETH, LTC, BCH, XRP and XLM

SOURCE: NEWSBTC


? SIX Teams Up With R3 Corda For New Digital Asset Exchange

THURSDAY, MARCH 7, 2019

The Swiss stock exchange, SIX, selects R3 Corda to provide its ucoming blockchain-based platform. It will use R3’s Corda Enterprise to power the Six Digital Exchange (SDX) platform to allow the issuing and trading digital assets, as well as tokenization of securities and non-bankable assets. 

SOURCE: FINEXTRA


? Coinbase Clarifies It Never Shared “Personally Identifiable” Customer Data

WEDNESDAY, MARCH 6, 2019

Coinbase is still in the hot seat since its acquisition of blockchain analytics firm, Neutrino. Tensions raised last Friday when Christine Sandler stated that the exchange’s previous analytics provider was “selling client data to outside sources” in her interview with Cheddar. A spokesperson from Coinbase has now advised Sandler misspoke and clarified the exchange never shared “personally identifiable information with any third-party blockchain analysis vendors.”

SOURCE: COINDESK


? Ripple Launches On Huobi’s OTC Platform

WEDNESDAY, MARCH 6, 2019

Cryptocurrency exchange, Huobi, now supports Ripple (XRP) on to its over-the-counter (OTC) platform which currently lists assets such as bitcoin, ethereum, tether, EOS, and Huobi Token. Huobi OTC aims to bridge the gap between fiat and digital assets, serving as an escrow for its users.

SOURCE: COINTELEGRAPH


? Swiss Stock Exchange Launches Ethereum ETP

WEDNESDAY, MARCH 6, 2019

Swiss’ SIX stock exchange launches its first ethereum-based exchange traded product (ETP) under the ticker AETH. Ethereum ETP, backed by startup Amun AG, is the second cryptocurrency-based ETP to be made available, with bitcoin ETP being the first. SIX plans to list a total of five crypto-based ETP’s which will also include ripple, bitcoin cash and litecoin. These collectively make up the Amun Crypto Basket Index  (HODL5).

SOURCES: BITCOIN.COM


? MakerDAO Holds Vote on Fee Hike for DAI

UPDATE: FRIDAY, MARCH 8, 2019

Votes are in! Users and holders of DAI in favour of increasing the DAI stability fee from 1.5% and 3.5%.

SOURCE: CRYPTOGLOBE

TUESDAY, MARCH 5, 2019

MakerDAO is asking token holders of ethereum-backed stablecoin, DAI, to vote on whether to go forth with the proposed increase in stability fees from 1.5% to 3.5%. MakerDAO’s founder, Rune Christensen, states the rationale behind the fee hike is because DAI’s dollar-peg is “almost at a breaking point”. Token holders can cast their votes here.

SOURCE: COINDESK


⚖️ Quadriga Gets 45-Day Extension from Court

TUESDAY, MARCH 5, 2019

The Canadian court has granted troubled crypto exchange, QuadrigaCX, a 45-day extension to allow for the continued search of $140 million worth of missing cryptocurrency. In addition, the court has appointed Peter Wedlake, a retired partner and senior vice president of audit firm Grant Thorton, to be the chief restructuring officer (CRO). The court has also ordered Amazon Web Services to overturn any data on the Quadriga platform originally created by Gerald Cotten, the former CEO.

SOURCE: COINDESK


☑️ Tron (TRX) Partners With Tether (USDT)

MONDAY, MARCH 4, 2019

Tron Foundation officially announces their newest partnership with Tether. The partnership will bring Tether’s USDT coin onto the TRON network by the end of Q2 2019, and allow the issuance of a TRC20-based USDT. This marks the first major cryptocurrency crossover and will allow TRX and Tether users to transact on the TRON network with access to a price-stable asset.

SOURCE: ETHEREUMWORLDNEWS


? Blockchain Watch: Hello Goodbye

FRIDAY, MARCH 8, 2019

Bitcoin whales moved a total of 9820 BTC, worth $38.4 million dollars.

THURSDAY, MARCH 7, 2019
WEDNESDAY, MARCH 6, 2019
TUESDAY, MARCH 5, 2019
MONDAY, MARCH 4, 2019

Bitcoin (BTC) and Stellar whales start off the week strong.

SUNDAY, MARCH 3, 2019

Ethereum whales are on the go, moving a total of 174, 450 ETH, worth $22.1 million dollars.

SOURCE: TWITTER


Images courtesy of Shutterstock

⚡️ Cryptocurrencies Go Live!

By | News | No Comments

?Bitcoin Finally in the Green After 6-Month Losses

FRIDAY, MARCH 1, 2019

Bitcoin (BTC), the world’s largest cryptocurrency by market cap, ends its 6-month losing streak; finally out of the red. It closed at $3,900 at the end of February. Even in this crypto winter, BTC’s bullish momentum show signs of recovery.

SOURCES: NEWSBTCCHEPICAP


? Ethereum Hard Forks Now Activated

THURSDAY, FEBRUARY 28, 2019

Ethereum (ETH), the second largest cryptocurrency by market cap, successfully implements system upgrades Constantinople and St. Petersburg. Originally planned for January, the Constantinople fork was delayed due to concerns about potential security vulnerabilities. Both forks officially took place at block number 7,280,000. The upgrades are intended to increase the network’s efficiency and will reduce miner block rewards from 3 to 2 ETH.

SOURCE: ETHEREUM WORLD NEWS


?Facebook & Telegram To Rollout Their Own Digital Currency

THURSDAY, FEBRUARY 28, 2019

Internet messaging giants like Facebook, Telegram and Signal, will be rolling out their own cryptocurrencies in next year. Their intent is to allow users to transfer money directly from their message platforms with the use of blockchain. The projects have been highly secretive and the question still remains whether the tech companies will fully control their cryptocurrency or if it there will be some form of decentralization.

SOURCE: NYTIMES


? Kraken Offers $100K Reward For Info On Quadriga’s Missing Funds

THURSDAY, FEBRUARY 28, 2019

Cryptocurrency exchange, Kraken, announced they are offering a $100,000 reward to anyone who can provide the best lead on the discovery of missing coins from recently collapsed Canadian crypto exchange, Quadrigacx. It is estimated that a total of $190 million USD of Quadriga’s client funds remain inaccessible.  Kraken’s official blog highlights what is known to-date and any new tips can be submitted: here.

SOURCE: COINTELEGRAPH


? Blockchain Watch: Ripple & Stellar On The Move

WEDNESDAY, FEBRUARY 27, 2019
  • Ripple: 50 separate transactions of 10M XRP each moved from Bittrex to Upbit. The total value of the transactions is equivalent to $159 million USD
  • Stellar22 separate transaction of  10M XLM each moved from Bittrex to an unknown wallet. The total value of the transactions is equivalent to $19 million USD. 

SOURCE: DAILYHODL


☑️ Ripple Now Listed on Coinbase Pro

TUESDAY, FEBRUARY 26, 2019

Users on crypto exchange, Coinbase Pro, can now buy and sell ripple (XRP) – the third largest cryptocurrency by market cap. Despite regulatory concerns, Coinbase stands its ground and makes XRP available to its users in the US (except New York), Canada, UK, supported EU nations, Singapore and Australia, with more jurisdictions to be added in the near future. Further developments can be found on Coinbase’s official blog post.

SOURCE: COINDESK


? Bitcoin & Ethereum Indices Now Live on Nasdaq

TUESDAY, FEBRUARY 26, 2019

Nasdaq’s integration of Brave New Coin‘s bitcoin liquid index (BLX) and ethereum liquid index (ELX) is now live. The real-time indices are available for clients using Nasdaq’s Global Index Data Service SM (GIDS). This move affirms Nasdaq’s optimism towards cryptocurrency with Adena Friedman, president and CEO, previously expressing it is a “tremendous demonstration of genius and creativity.”

SOURCE: COINTELEGRAPH


⚖️ US Government Retrieves & Returns Bitcoin to Bitfinex

MONDAY, FEBRUARY 25, 2019

The United States government has retrieved and returned 27.66270285 BTC (worth $104,000) to cryptocurrency exchange, Bitfinex. A total of 119,756 BTC were stolen during the hack of August 2016; the return represents only 0.023 % of this total.

SOURCE: COINDESK


Accurate Crypto Market Data Ultimately Leads to Winning Model

By | Coinscious Lab, Cryptocurrency | No Comments

The world’s most valuable resource is no longer oil but data. [1] This holds true even for the finance industry. The control that financial companies wield over their data gives them enormous power, and the abundance and quality of data they use changes the very nature of the competition. According to Bloomberg, the financial sector is adopting big data analytics to maintain a competitive advantage in the trading environment” [2]. Quantitative- and high-frequency trading are ubiquitous, indispensable tools in current times, and their full value in cryptocurrency trading are being realized. A key aspect that is still often overlooked in quantitative crypto-trading is the quality of the data being used to design sophisticated prediction models.

In this era of cryptocurrency trading, those with the most data of the highest quality will surely win. In algorithmic trading applications, accuracy is one of the best quality indicators of a data source. It determines the execution prices, the model’s behaviour, and the model’s ability to fit the market efficiently and effectively. In the extreme case, high frequency traders care about order-by-order data to simulate precise market-making algorithms. In order to accurately determine what and how much to trade at a low cost, traders desire the finest scales of accurate data with low latency.

Many algorithmic traders incorporate massive amounts of data into their algorithms to create better pricing models and leverage large volumes of historical data to backtest their trading algorithms. Particularly with recent advances in machine learning, the data-driven approach to modelling is being emphasized more than ever before. Market behaviours are learned from black box models that recognize patterns in big data. This means that the accuracy of the data affects what the model learns and predicts. Thus, the more accurate data you have, the better you can simulate execution quality in algorithms.

Available Sources of High Quality Crypto-Trading Data

There are several companies that provide cryptocurrency market data. Kaiko, CoinAPI, and Coinscious are three well-known crypto data vendors. Most of these companies offer live and historical trading, order books, and OHLCV1  (open, high, low, close, volume) cryptocurrencies. However, what remains unknown, until now, is the quality of data these companies claim to provide. Therefore, the key question is: which data vendor has the highest quality data for you to gain a competitive edge?

The Basics

A simple way to assess data quality is to compare the exchange’s OHLCV data with derived OHLCV data. In the analysis below, the hourly level OHLCV data is computed for December 2018 amongst different data vendors. The error rates were measured over eight well-known exchanges: Binance, Bittrex, Bitfinex, Bitstamp, Bitmex, Huobi Global, Okex, and Coinbase Pro.

Figure 1. OHLC error rates for Bitcoin (BTC), Ethereum (ETH), and Ripple (XRP)2. Given that our budget limits us to purchase just one dataset between Kaiko and CoinAPI, we chose the more expensive one: Kaiko’s data

Figure 2. OHLC error rates for OHLC error rates for four alternative coins (ADA, XLM, TRX, ZRX)

Coinscious data proves to be the most accurate among these data vendors for the top 3 coins (BTC, ETH, and XRP). In average, Coinscious data are 38% better than Kaiko’s data, where the relative errors on OHLC are 39%, 41%, 31%, and 37% respectively (see Figure 1). Similar results have also been shown using four alternative coins (ADA, XLM, TRX, ZRX). Surprisingly, even though Kaiko data is accurate for high and low prices, their open and close prices are quite divergent when compared to Coinscious and CoinAPI.

Error In Trading Volume

In Figure 3 and Figure 4, volume error rates over time reveal the dates when the higher error rates occur. The spike in volume error rates occurs in two scenarios; the first scenario occurs when the volume and volume error rates spikes simultaneously, whereas the second scenario occurs when the volume error rates spike, but volume does not. The former can be attributed to increased latency on exchanges as traffic increases, whereas the latter can be attributed to internal server issues.

Figure 3. Absolute error between exchange volumes versus data vendors’ volumes in December 2018 (the lower, the better). The errors were measured for BTC/USD, ETH/USD, and XRP/USD on the top 7 exchanges3.

Coinscious’ error rates remain relatively low compared to other vendors’ error rates. Overall, it is clear that Coinscious data has the lowest error rates with respect to volume data.

Figure 4. Absolute distance error between exchange volumes versus data vendors’ volumes in December 2018 (the lower, the better). The errors were measured for the following alternative coins: ADA/USD at Bittrex, XLM/USD, TRX/USD, and ZRX/USD at Bitfinex.

The volume quality for alternative coins (i.e., altcoins) was also considered. Eight altcoins were randomly selected from different exchanges, including NEO, TRON, XLM, EOS, LTC, ZRX, and ADA. From the figure above, CoinAPI does not perform well on volumes with respect to these altcoins.

Reason For Data Discrepancies Between Vendors

Now you must be wondering, if the exchange provides public API, why would you need to purchase data? Firstly, public APIs have limited histories of information they provide, and unless a trader has stored historical price data, they would need to gather it from a third-party source. Secondly, even though exchanges provide public APIs, aggregating and preprocessing all possible cryptocurrency pairs for different exchanges is cumbersome, and arguably the most tedious step in developing a trading system. This is especially the case as the data receiving intervals gets coarser as the number of requests for data grows. It is for these reasons that the aforementioned data vendors exist.

More importantly, why do discrepancies in the accuracies exist across different data vendors? There are several possible reasons. It could be due to downtimes of exchange APIs. Or, given the thousands of combinations of cryptocurrency exchanges and trade pairs, there exist API rate limits on all cryptocurrency exchanges, and therefore a large number of data collection clients and complicated infrastructure is required.

While many companies are collecting vast amounts of data across different exchanges and coins, the quality of the data may be hidden underneath the quantity of the data. Especially in this era of a data-driven finance world, success and risk can be heavily dependent on the data quality and the data operations environment. Obtaining the right trading tools and hiring talented traders can certainly help, but even then, tools and people cannot guarantee success if the data is flawed. The cryptocurrency finance market definitely could benefit from having more of data quality analysis in order to understand the granular level of datasets and where they can obtain them.

Footnotes

  1. Open, high, low, close, volume (OHLCV) prices.
  2. Given that our budget limits us to purchase just one dataset between Kaiko and CoinAPI, we chose the more expensive one: Kaiko’s data.
  3. Top 7 exchanges include: Binance, HuobiPro, Bitfinex, Bitmex, OKEx, Bitstamp, and Coinbase.

References

[1] “The world’s most valuable resource is no longer oil, but data”. The Economist, 6 May 2017, https://www.economist.com/leaders/2017/05/06/the-worlds-most-valuable-resource-is-no-longer-oil-but-data

[2] “3 ways big data is changing financial trading”. Bloomberg, 5 July 2017, https://www.bloomberg.com/professional/blog/3-ways-big-data-changing-financial-trading/