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 3799 times and has 81 replies
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

We started this thread by discussing 2 Bitcoin models, one of which is the stock to flow model, then started discussing over fitting of models. This is interesting as the stock to flow model looks like it may be breaking down which could be due to over fitting.

Jan 1, 2022 7:11:33 PM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

As mentioned in the email, here is the update for PlanB's models

1)Nov98K & Dec135K miss = FLOOR MODEL FAIL According to PlanB, misses like these have not happened last 10y. He thinks that Floor model is like 200 week moving average but with geometric instead of arithmetic mean. Geometric mean never increased <4.9% per month. So he could calculate BTC Aug-Dec. However Nov was only 3.7% and Dec 2.7%

2) Dec100K miss (Stock to Flow model) : PlanB has said earlier that if BTC<$100K Dec2021, then S2F is “off the rails” “invalidated” “dead”. He now believes that Key is that BTC $50K is still within 1 standard deviation band of S2F model (roughly $50K-$200K). If BTC stays within 1sd band for the next 2.5 yrs, he thinks S2F model is still valid and indeed useful.

I am glad that I took profit on Bitcoin at the 53,500 level based on TA (weekly Parabolic SAR) and only take PlanB and Ben Cowen models as reference.

Regards
James

Jan 3, 2022 5:35:04 PM       
Edit 3 times, last edit by ustonapc at Jan 4, 2022 1:23:29 AM
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

I want to know how you are getting along with the Tradestation backtesting.(is BTC/USD and ETH/USD available?)

If you look at the image, there is 47% difference between GBTC and BTC/USD and 100% difference between ETHE and ETH/USD for the past year. This makes any backtesting for GBTC and ETHE on P123 platform (when their data become available) not very meaningful due to their large discount to NAV. Cleo.one is also closing down in preparation for a new site later this year.

Regards
James

Attachment Crypto.png (24838 bytes) (Download count: 87)


Jan 4, 2022 3:27:43 PM       
Edit 1 times, last edit by ustonapc at Jan 4, 2022 3:33:01 PM
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Hi James,

Tradestation allows one to back test gbtc and ethe to their origin but not BTC/USD or ETH/USD. I agree that the discount/premium is a significant issue when back testing them

Scott

Jan 4, 2022 4:07:45 PM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

Here is an update for Coincident Capital, it appears they have suffered a large drawdown in December.

By the way, I just made a check and they are still closed for new subscription.

Regards
James

Attachment Coincident Capital 1.png (45637 bytes) (Download count: 72)


Attachment Coincident Capital 2.png (75083 bytes) (Download count: 71)


Attachment Coincident Capital 4.png (75652 bytes) (Download count: 71)


Jan 7, 2022 4:24:17 PM       
Edit 1 times, last edit by ustonapc at Jan 7, 2022 4:37:03 PM
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

James,

Thank you for the update. What was the drawdown?

Scott

Jan 8, 2022 12:28:25 PM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

I believe the drawdown for Coincident Capital in Dec is around 30% vs 20% for the HFR Cryptocurrency Index.

Regards
James

Attachment HFR Cryptocurrency Index Performance History 2020-2021.png (45007 bytes) (Download count: 53)


Jan 9, 2022 12:46:19 AM       
Edit 1 times, last edit by ustonapc at Jan 9, 2022 12:47:54 AM
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

This is an interesting site if you want to see a real-time prediction about the positions taken by known successful traders and whales.

https://btctools.io/stats/leaderboard

Regards
James

Jan 10, 2022 4:02:17 PM       
sgmd01
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

James,

what do you think of this article, “The Fed move means that people who were thinking of crypto as actual currency are going to get their bubble popped,” says Chen. “Many Bitcoin types were thinking that it is a currency and that it would replace traditional currencies. Well, not if the Fed, the European Central Bank, and other central banks have anything to say about it.”

https://time.com/nextadvisor/investing/crypto...-digital-currency-report/

If governments create their own digital currencies then why would we need bitcoin & others like it?

Scott

Jan 25, 2022 10:05:32 PM       
ustonapc
Re: Bitcoin (PlanB : Stock-to-Flow model and Ben Cowen : Algorithmic Regression Rainbow)

Scott,

I think it will depend on the future market acceptance of DeFi, (decentralized finance) which continues to favour cryptos vs CBDC (central bank digital currency).

Pls refer to this article for more information.

https://coinculture.com/au/markets/are-cbdcs-good-or-bad-for-crypto/

Regards
James

Jan 25, 2022 11:16:37 PM       
Posts: 82    Pages: 9    Prev 1 2 3 4 5 6 7 8 9 Next
 Last Post