Released bi-weekly, this report aims to identify broad trends in the cryptocurrency market. In order to reflect the latest developments in this fast-paced and volatile market, the reports plan to focus on metrics derived from a 30-day rolling window of data, this time from July 20, 2019 to August 18, 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 examined are up from their values 30 days ago. Bitcoin (BTC), the largest cryptocurrency by market capitalization, is currently trading slightly above $10300 at the time of writing, and traded between $9500 and $12000 last month.
Outside of cryptocurrencies, the S&P 500 is down 2.95% from 30 days ago and closed last Friday at $2888.86.
Figure 1 presents the risk versus return trade-off over the past 30 days by plotting mean daily return versus historical daily volatility for various cryptocurrencies.
Figure 1. Plot of mean daily return against historical daily volatility for individual cryptocurrencies from July 20, 2019 to August 18, 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 19.10%. 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 best performing cryptocurrencies were Huobi Token (HT) and IOST (IOST), with total returns of 11.92% and 7.43% respectively.
Bitcoin Gold (BTG) was the worst performing cryptocurrency, with total losses of 50.77%. Bitcoin Gold is a fork of Bitcoin created in August 2017, aimed at fixing the perceived issue of miner centralization in the original Bitcoin.
The second and third worst performing cryptocurrencies were Bytom (BTM) and Tronix (TRX) with total losses of 42.83% and 40.79% respectively.
Figure 2a. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the highest total returns from July 20, 2019 to August 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.
Figure 2b. Mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each of the five cryptocurrencies with the lowest total returns from July 20, 2019 to August 18, 2019 More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.
Figure 3 plots daily candlesticks of the prices of Bitcoin (BTC), 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 continue to stay above the 100-day moving averages, a continuation of a long-term bullish signal. However, Ether and XRP’s moving averages showed a long-term bearish signal, with the 50-day moving average below the 100-day moving average.
The RSI for Bitcoin, Ether, and XRP are between 30 and 70; neither overbought or oversold. XRP briefly dipped into oversold territory a couple days ago but has since bounced back.
For all top three cryptocurrencies, the MACD line is below the MACD signal line. However, the histograms shows the gap decreasing, and the MACD lines may cross the MACD signal lines soon, which would be a bullish signal.
Figure 3a. Price of Bitcoin (BTC) in USD at Bitstamp from July 20, 2019 to August 18, 2019.
Figure 3b. Price of Ether (ETH) in USD at Bitstamp from July 20, 2019 to August 18, 2019.
Figure 3c. Price of XRP (XRP) at Bitstamp in USD from July 20, 2019 to August 18, 2019.
Appendix A: Cryptocurrencies
Below is a complete list of all cryptocurrencies examined in this market report. In addition, we present the mean daily returns, historical daily volatility, total returns, and ex-post Sharpe ratio for each cryptocurrency from July 20, 2019 to August 18, 2019. More positive Sharpe ratios are more desirable. The Sharpe ratio is calculated with the 10 year US Treasury bill rate as the annual risk-free rate.
Appendix B: Methodology
The daily price data of cryptocurrencies in USD at 4:00 PM EST from July 20, 2019 to August 18, 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.
Appendix D: Resources
Market Report: an analysis of recent historical performances of the top 50 assets to identify current cryptocurrency market trends.
Exchange Report: an analysis of recent historical volumes and prices of 18 mainstream exchanges to identify better or fairer cryptocurrency platforms.
Indicator Report: an analysis of performance, risk and return of top technical indicator strategies for BTC/USDT at daily, 4-hour and 30-minute intervals.
Read More: June 2019 Indicator Strategy Analysis
Blockchain & Alert Signal Report: an analysis of blockchain transactions statistics and correlations, and in-depth summary of alert system signals such as price pump/dump, volume spike/drop, and RSI.
Read More: June 2019 Blockchain & Alert Signal Analysis
Advanced Market Report: an analysis of current cryptocurrency market developments, comprehensive statistics and technical insights such as top/worst performances, risk-return tradeoffs, and correlations.
Read More: June 2019 Cryptocurrency Market Analysis
Coinscious Terminal: real-time analytics on the top 100 coins/tokens, 18 mainstream crypto exchanges, and top technical trading indicators.
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.
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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.