Bitcoin Market Value
| BTC Crypto | USD 98,465 28.50 0.03% |
| 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.
| 11/28/2023 |
| 11/22/2024 |
If you would invest 0.00 in Bitcoin on November 28, 2023 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 360 days. Bitcoin is related to or competes with Staked Ether, Cronos, Wrapped Bitcoin, XMR, Tether, Chainlink, and USD Coin. 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 | 2.75 | |||
| Information Ratio | 0.1885 | |||
| Maximum Drawdown | 18.26 | |||
| Value At Risk | (3.50) | |||
| Potential Upside | 6.41 |
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 | 0.171 | |||
| Jensen Alpha | 0.6849 | |||
| Total Risk Alpha | 0.3405 | |||
| Sortino Ratio | 0.2331 | |||
| Treynor Ratio | 1.54 |
Bitcoin Backtested Returns
Bitcoin appears to be very volatile, given 3 months investment horizon. Bitcoin secures Sharpe Ratio (or Efficiency) of 0.26, which signifies that digital coin had a 0.26% return per unit of risk over the last 3 months. By analyzing Bitcoin's technical indicators, you can evaluate if the expected return of 0.84% is justified by implied risk. Please makes use of Bitcoin's Mean Deviation of 2.2, downside deviation of 2.75, and Risk Adjusted Performance of 0.171 to double-check if our risk estimates are consistent with your expectations. The crypto shows a Beta (market volatility) of 0.47, which signifies possible diversification benefits within a given portfolio. 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 | 1.00 |
Perfect predictability
Bitcoin has perfect predictability. Overlapping area represents the amount of predictability between Bitcoin time series from 28th of November 2023 to 26th of May 2024 and 26th of May 2024 to 22nd of November 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 1.0 indicates that 100.0% of current Bitcoin price fluctuation can be explain by its past prices.
| Correlation Coefficient | 1.0 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 142.1 K |
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 |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.When determining whether Bitcoin offers a strong return on investment in its stock, a comprehensive analysis is essential. The process typically begins with a thorough review of Bitcoin's financial statements, including income statements, balance sheets, and cash flow statements, to assess its financial health. Key financial ratios are used to gauge profitability, efficiency, and growth potential of Bitcoin Crypto.Check out Bitcoin Correlation, Bitcoin Volatility and Investing Opportunities module to complement your research on Bitcoin. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
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.