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Bottom Pickers

Only monkeys pick bottoms they tell me...undeterred, I back tested 25 popular market timing indicators on my Bloomberg terminal.  Pretty much everything gets blown out on the short side, so I focused mostly on finding long indicators. One of the top performers is a simple 20 day Rate of Change strategy.  The parameters I set... Continue Reading →

Bitcon Seasonality: All this has happened before. All this will happen again.

Bitcoin has very consistent seasonality. The chart below marks each year's annual high in green and each year's low in red - then plots those points within each year from 2010 - present (measured in number of days). The normal pattern is for lows to be set early in the year and highs set towards... Continue Reading →

“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.  

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... Continue Reading →

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