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.
Our universe of analysis includes 50 of some of the most widely used and traded cryptocurrencies. Please see Appendix A for the complete list.
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.
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.
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.
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.
Figure 3b. 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.
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.
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: 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.
Appendix D: Resources
- 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
- 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 | REPORT SERVICE
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.
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Coinscious Inc. builds artificial intelligence and data-driven insights for the cryptocurrency market. Coinscious delivers compelling, informative analytics to the cryptocurrency community and uncovers hidden insights and patterns from the data behind the scenes. Coinscious is focused on helping the cryptocurrency community make informed judgements through its services.
Coinscious was established in 2018 and in Canada, Europe and China. Coinscious uses sophisticated financial engineering and quantitative technologies, such as statistical modeling, machine learning, market structure, and risk management techniques, in order to facilitate the maturation of the cryptocurrency market through various data and analytic tools.