Index | Recent Threads | Who's Online | Search

Posts: 82    Pages: 9    Prev 1 2 3 4 5 6 7 8 9 Next
Last Post
New Thread
This topic has been viewed 3794 times and has 81 replies
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Ole,

Just sell at the opening of the next business day unless VIX is again 7.5% higher than previous close (thus daily rebalancing).

Regards
James

Nov 26, 2021 11:35:49 AM       
test_user
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Ole,

Just sell at the opening of the next business day unless VIX is again 7.5% higher than previous close (thus daily rebalancing).



Thanks!

Nov 26, 2021 11:50:29 AM       
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

James,

Thank you very much for all of your suggestions. I haven't invested in crypto yet but this conversation has encouraged me to consider how much risk I'm comfortable with taking (i.e. if I'm comfortable with bitcoin at 10x then why not use leveraged etfs at 2x or 3x first). One might say that crypto has the advantage of being uncorrelated however cryptos lack of correlation also makes it much more challenging to have any idea as to its direction.

Scott

Dec 1, 2021 7:20:50 PM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

The reason I put 10% of my networth in bitcoin is because it provides the best risk adjusted return of all asset classes.

As stated in the chart, the max drawdown of a 10% bitcoin + 90% cash is less than 10% with 40% annualized return (from Jan 2012 - Nov 2021). If you have a mix of 20% GBTC and 80% TLT (like what we talked about before), the max loss is less than 25% with a 70% annualized return. If you compare to a longer time period, holding 100% bitcoin is about as risky as holding 100% Netflix or Apple or Amazon as a single stock.

Therefore, I don't think you should see bitcoin as 10X risker than stocks or more risky than holding 3X leveraged ETFs (which I don't invest in).

Regards
James

Attachment Bitcoin Risk Adjusted Return.png (107605 bytes) (Download count: 68)


Dec 1, 2021 10:01:39 PM       
sevensisters
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)


The reason I put 10% of my networth in bitcoin is because it provides the best risk adjusted return of all asset classes.


I agree. At the same time, however, bitcoin is a sleeping pill compared to Solana :-)

Attachment chart.jpg (96596 bytes) (Download count: 46)


Dec 3, 2021 5:12:04 AM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Florian,

Grayscale just launched a trust on Solana a few days ago but it it not yet tradeable OTC.

I have bought/sold some Solana through my account at Binance. It is more volatile than Bitcoin and due to its relative shorter history more difficult to find a suitable technical tool to trade longer term.

Regards
James

Dec 3, 2021 5:26:32 AM       
sevensisters
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Hi James and all,

I would advise anybody to stay away from Grayscale. They charge a 2% annual fee for each of their trusts.

If you buy and stake Solana, there is no fee involved and on top of it you get staking rewards of 7% APR.

Best regards,
Florian

Dec 3, 2021 6:23:29 AM       
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

James,

Thank you for the chart. It's a nice way to model the risk. I appreciate how Plan B noted on the graphic that the history of Bitcoin is far more brief than the other assets (i.e. less history = less reliable risk/return ratio). I've been testing software to back-test crypto but haven't found any that I like. I'm currently looking into the back-tester at Tradestation. Have you used it before?

Florian,

Have you back-tested any crypto strategies and if so then where did you test them?

All,

Has anyone modeled buying crypto like an index fund (i.e. putting funds into the top 10 or 20 crypto and letting it ride)?

Thank you

Scott

Dec 3, 2021 10:17:05 AM       
sevensisters
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Hi Scott,

I haven't backtested any crypto strategies. The safest bet is the 'buy and hold' strategy. Trying to trade crypto is foolish due to the high volatility.

You should think about blockchains in terms of network effects. The more people are using a blockchain, the more valuable the network becomes. When the internet took off, nobody could directly benefit from TCP-IP; in crypto you have a direct monetary relation because the network is both the blockchain and the associated tokens running on the chain; the more the blockchain is used, the more valuable are the associated tokens.

Cheers

Dec 3, 2021 10:28:59 AM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

You can backtest crypto strategies at this site.

https://cleo.one/crypto/

If you want to hold a basket of cryptos, there are a lot of crypto hedge funds that you can copy with a fee (or manually copy yourself that rebalance less frequently) at ICONOMI.

This site rates all the strategies at ICONOMI.

https://stephenreid.net/iconomi

Pina Criptohold is rated the top strategy and it currently holds a basket of 11 coins with Avalanche at 40%.

Regards
James

EDIT: Yuval : If you are reading this, pls consider adding the historical data for GBTC and ETHE to P123 so that we can backtest them. Thanks again for your help in advance.

Dec 3, 2021 10:34:05 AM       
Edit 1 times, last edit by ustonapc at Dec 3, 2021 10:37:17 AM
Posts: 82    Pages: 9    Prev 1 2 3 4 5 6 7 8 9 Next
 Last Post