Bitcoin Risk Metric II

6 thg 2, 2022

Thesis: Bitcoin's price movements can be (dubiously) characterized by functional relationships between moving averages and standard deviations. These movements can be normalized into a risk metric through normalization functions of time. This risk metric may be able to quantify a long term "buy low, sell high" strategy.

This risk metric is the average of three normalized metrics:

1. (btc - 4 yma)/ (std dev)
2. ln(btc / 20 wma)
3. (50 dma)/(50 wma)

* btc = btc price
* yma = yearly moving average of btc, wma = weekly moving average of btc, dma = daily moving average of btc
* std dev = std dev of btc

Important note:
Historical data for this metric is only shown back until 2014, because of the nature of the 1st mentioned metric. The other two metrics produce a value back until 2011. A previous, less robust, version of metric 2 is posted on my TradingView as well.

25 thg 2, 2022

Phát hành các Ghi chú

Tidied up code.