Breaking down “Bitcoin Drawdowns”

A Quick Analysis of Historical Drawdowns for Bitcoin (BTCUSD)

“Bitcoins vs Sh*tcoins”: An Apples-to-Apples comparison

Given the sudden influx of new money that has been chasing "cheap Altcoins", to a new investor Bitcoin's ~$15,000 price tag may appear unaffordable compared to an Altcoin priced at ~$1. So the aim is to remove the "unit bias" of each Altcoin by repricing them using the same current Total Coin Supply as Bitcoin.  

“Double Momentum Balls” for Cryptocurrencies: A relative performance chart

Given the recent volatility in cryptos, the chart below gives a good snapshot and overview of the relative performance of the top 40 crypto-currencies/assets. 

Bubble Trouble! Exploring an “LPPL” model for Bitcoin

A Log-Periodic Power Law (LPPL) model is used to see  whether the price action for Bitcoin follows a log-periodic oscillation model for a speculative bubble and predicting its subsequent "crash". 

When holding Bitcoin is not enough: Mean Variance Optimization for a Cryptocurrency Portfolio

Mean Variance Optimization is performed on a test basket of 15 cryptocurrencies to create an optimal portfolio that lies on the Efficient Frontier.  Several practical portfolio scenarios are examined.

A Monte Carlo simulation of Bitcoin price modeled as a fractional Brownian Motion.

Bitcoin (BTC/USD) price is modeled as a stochastic process following a fractional Brownian motion (fBm) demonstrated via a Hurst exponent (H) to try and measure the long term memory in the time series. Monte Carlo simulations were performed on this model to extend historical data and forecast Bitcoin price. Out of sample simulation results showed accuracy was to within ~10% of current prices.  The 180 day (6 month) most probable (median) forward looking Bitcoin price prediction is ~USD14,211 by May 2018 and implying upside risk of ~95%. In addition, within this time frame Quantile risk/loss estimates show that there is only a 5% tail-end risk of a drop back to the ~$2000 price level (or a ~70% price drop).

Metcalfe’s Law & Bitcoin (again…)

Metcalfe's Law  This puppy never gets old and I came across Metcalfe's law (that the value of a network is proportional to the square of the nodes/users in the network) being mentioned again regarding Bitcoin on CNBC  with a Hedge Fund Guru Tom Lee forecasting $25,000 price for Bitcoin! (He used the Bitcoin adoption rate...

“No Pain, No Gain!” The Ulcer Index for Cryptos…

TheMartin Ratio for Cryptocurrencies. A question that is often asked is: "Given the very high volatility in cryptocurrencies ( 30 day standard deviation ranges have historically been between 60~600%!) which one is a better investment on a relative risk-return basis?"