The general purpose of the Tools is to assist in position taking. A common aspect of the Tools is that all are quantitative, i.e. no subjectivity is involved.
There are a number of Tools available (see below). Which of them you find interesting and use depend on a number of factors such as:
- Your trading style (trend follower, contrarian, spread trading, arbitrage, …)
- Quantitative and/or fundamental
- Time frame (short-, medium-, long-term)
- Risk appetite (conservative, risk-seeker)
Access the Tools
Some of the Tools are published daily, even on weekends as we are dealing with 24/7 markets. Other reports, where the results change less often, are published more infrequently.
The Tools are developed in-house and are proprietary. Results of the quantitative tools are presented, typically, in reports and are available to our members. The underlying processes, formulas and logic are however not publicly available.
As a member you are encouraged to discuss ideas of new Tools with us.
Available Daily Tools
The price cycle is divided into six Trend Phases; Bull, Warning, Weakness, Bear, Recovery and Strength. The current Trend Phase is determined for every Crypto Asset and presented in the chart.
Many members use Trend Phases as an allocation tool; allocating different percentages to assets in different phases. For instance; full allocation, 100%, in Strength and Bull, lower in Warning and Weakness, and possibly even lower in Bear.
Technically the model is quantitative, based on price and derivatives of price.
The index is calculated based on the presence of Crypto Assets in “positive” Trend Phases, i.e. Recovery, Strength and Bull. The chart shows the absolute index level and the rate of change of the index level. In order to provide a sense of the historical path to current time, it is plotted at multiple dates back in time.
The index is often used to qauge overbought and oversold situations for the entire universe.
This tool indicates the current short-term trend strength. Technically the model is based on a lowpass filter and a momentum trigger. The number in the chart is the difference between the filter and the trigger.
You could use it as a trading model; long the Crypto Assets with positive Trend Strength and short or flat those with negataive.
Remember the old saying among trend followers: “The trend is your friend.”
The drawdown chart shows the percent decline from the all-time-high.
This report shows which Crypto Assets that are overbought and oversold based on the one-month rolling rate of return (“RRoR”). The RRoR is normalized to make values directly comparable.
This comprehensive report covers one Crypto Asset. The report is based on daily data and is updated daily. The tickers are BTC/USD and [Altcoin]/BTC.
Explanations and comments to some of the items in the report:
- Rate of Change. %-change for a number of time windows.
- Drawdown. %-decline from all-time-high, ATH.
- Return and Risk Statistics are calculated over the last three months.
- Risk Statistics. Standard and Downside Deviation are measures of volatility.
- Standard Deviation shows dispersion around the mean and is annualized in the report.
- Downside Deviation only penalizes down days, as opposed to Standard Deviation that also includes up days. Downside Deviation is annualized.
- Trend and Oscillator Indicators. Most of the indicators are developed in-house, but some are available publicly, such as the Directional Movement, albeit somewhat modified here. Also, the Hi-Lo Range is basically an adapted traditional Stochastics.
- Trend Indicators. Show whether the price of the Crypto Asset is in an up (positive numbers) or a down (negative numbers) trend.
- Trend Phases. See Trend Phases above.
- Trend Strength. The difference between a lowpass filter and a momentum trigger.
- Cross-Over. A comparison between a short term and a long term filter.
- Directional Movement. Up and down strength in relation to the daily trading range.
- Oscillator Indicators. Signal potential overbought and oversold situations.
- Hi-Lo Range. Current price in relation to fixings in the near past.
- Momentum. Comparison between the strength of up versus down action.
- Gravity. Price weighted over the time window.
A few words about the charts:
- Price & Trend Phases. The chart shows the daily fixing price and color coded daily Trend Phase indications.
- Rolling Rate of Return. 1 month and 3 months rolling rate of returns.
- Indicators. Trend Strength and Gravity with Trigger are displayed.
- Trend Strength shows when the price of the Crypto Asset is in a short term up or down trend.
- Gravity oscillates and indicates overbought and oversold situations. Use it to sell high and buy low. The trigger helps. Gravity below trigger = stay short or flat, Gravity above trigger = maintain long. Caveat emptor – as it is an oscillator, Gravity indicates turning points well in range-bound markets, less so in trending situations.
- Volatility. Rolling 1 month Standard Devation and Downside Deviation, both annualized, are charted.
Available Non-Daily Tools
An extensive quantitative report analysing one Crypto Asset and comparing it to other assets. The report is based on monthly data and updated monthly.
Currently available for a number of assets, e.g. Bitcoin, ticker BTC/USD.
To gauge whether a Crypto Asset is suitable for trend following or contrarian strategies the autocorrelation chart could be your guide. The report displays 1-week autocorrelation and answers: is an up-week followed by an up-week?
The correlation report visualizes the correlation coefficient for pairs of Crypto Assets. The coefficient ranges from -1 (red, perfect negative correlation) to +1 (green, perfect positive correlation).
In general, in a portfolio setting, to achieve a positive diversification effect, you should combine cryptos (having positive expected return) with low/negative pair-wise correlation.
Doing double-sorts on price momentum? In this report you find 1-month return plotted against 3-month return.
Note: the tickers are [Altcoin]/BTC.
Looking for maximum return per unit of risk? Here is a classic – 12-month return shown against annualized 12-month standard deviation.
Note: the tickers are [Altcoin]/BTC.