Bitcoin Market Value
| BTC Crypto | USD 63,636 2,352 3.84% |
| Symbol | Bitcoin |
Bitcoin 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Bitcoin's crypto coin what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Bitcoin.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Bitcoin on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Bitcoin or generate 0.0% return on investment in Bitcoin over 30 days. Bitcoin is related to or competes with Dogecoin, Bitcoin Cash, Litecoin, Ethereum Classic, Monero, Arweave, and Bitcoin SV. Bitcoin is peer-to-peer digital currency powered by the Blockchain technology.
Bitcoin Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Bitcoin's crypto coin current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Bitcoin upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.95 | |||
| Information Ratio | 0.1884 | |||
| Maximum Drawdown | 16.75 | |||
| Value At Risk | (4.67) | |||
| Potential Upside | 9.35 |
Bitcoin Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bitcoin's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bitcoin's standard deviation. In reality, there are many statistical measures that can use Bitcoin historical prices to predict the future Bitcoin's volatility.| Risk Adjusted Performance | 0.137 | |||
| Jensen Alpha | 0.6906 | |||
| Total Risk Alpha | 0.3793 | |||
| Sortino Ratio | 0.219 | |||
| Treynor Ratio | 3.01 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bitcoin's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Bitcoin Backtested Returns
Bitcoin appears to be very volatile, given 3 months investment horizon. Bitcoin secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that digital coin had a 0.23% return per unit of risk over the last 3 months. By analyzing Bitcoin's technical indicators, you can evaluate if the expected return of 0.79% is justified by implied risk. Please makes use of Bitcoin's Downside Deviation of 2.95, risk adjusted performance of 0.137, and Mean Deviation of 2.46 to double-check if our risk estimates are consistent with your expectations. The crypto shows a Beta (market volatility) of 0.23, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Bitcoin's returns are expected to increase less than the market. However, during the bear market, the loss of holding Bitcoin is expected to be smaller as well.
Auto-correlation | -0.01 |
Very weak reverse predictability
Bitcoin has very weak reverse predictability. Overlapping area represents the amount of predictability between Bitcoin time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bitcoin price movement. The serial correlation of -0.01 indicates that just 1.0% of current Bitcoin price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.01 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 9.2 M |
Bitcoin lagged returns against current returns
Autocorrelation, which is Bitcoin crypto coin's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Bitcoin's crypto coin expected returns. We can calculate the autocorrelation of Bitcoin returns to help us make a trade decision. For example, suppose you find that Bitcoin has exhibited high autocorrelation historically, and you observe that the crypto coin is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Bitcoin regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Bitcoin crypto coin is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bitcoin crypto coin is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bitcoin crypto coin over time.
Current vs Lagged Prices |
| Timeline |
Bitcoin Lagged Returns
When evaluating Bitcoin's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bitcoin crypto coin have on its future price. Bitcoin autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Bitcoin autocorrelation shows the relationship between Bitcoin crypto coin current value and its past values and can show if there is a momentum factor associated with investing in Bitcoin.
Regressed Prices |
| Timeline |
Some cryptocurrency investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. However, unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Bitcoin in the overall investment community. So, suppose investors can accurately measure the crypto's market sentiment. In that case, they can use it for their benefit. For example, some tools provided by cryptocurrency exchanges to gauge market sentiment could be utilized to time the market in a somewhat predictable way.
Pair Trading with Bitcoin
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bitcoin position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bitcoin will appreciate offsetting losses from the drop in the long position's value.Moving together with Bitcoin Crypto Coin
| 0.94 | DOGE | Dogecoin | PairCorr |
| 0.85 | BCH | Bitcoin Cash | PairCorr |
| 0.89 | LTC | Litecoin | PairCorr |
| 0.86 | ETC | Ethereum Classic | PairCorr |
Moving against Bitcoin Crypto Coin
| 0.87 | SIB | SIB | PairCorr |
| 0.66 | GRIN | GRIN | PairCorr |
| 0.62 | CLO | CLO | PairCorr |
The ability to find closely correlated positions to Bitcoin could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bitcoin when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bitcoin - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bitcoin to buy it.
The correlation of Bitcoin is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bitcoin moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bitcoin moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bitcoin can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Bitcoin Correlation, Bitcoin Volatility and Investing Opportunities module to complement your research on Bitcoin. Note that the Bitcoin information on this page should be used as a complementary analysis to other Bitcoin's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Comparator module to compare the composition, asset allocations and performance of any two portfolios in your account.
Bitcoin technical crypto coin analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, crypto market cycles, or different charting patterns.