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06 juin 2019

Crypto Broker Weekly Rotation Report CW 23

Patrick Heusser

Patrick Heusser

Trader chez Crypto Broker AG

A propos de l'auteur

This is our Crypto Broker Weekly Rotation Report, directly from the Crypto Broker trading floor, with extensive insights into the crypto asset market, including quantitative data analysis, macro market comments, technical chart analysis, and rotation (sector) analysis. A PDF version of the report can be found at the bottom of this page.

In this report, we introduce new analysis on the altcoin futures basis analysis in section 2.

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Contents

1 Rotation Analysis

2 Altcoin Futures Basis Analysis

3 Top Ten Comparison

4 Volatility and Correlation Comparison

5 ETHBTC 4h Technical Chart Analysis

6 Market Capitalisation Overview

Glossary

1 Rotation Analysis

Same old same old in the altcoin futures space.

We have been seeing similar patterns as last week. Some altcoins are performing really well, but there is no broad push in this sector.

Having said that, though, our MACDs are still pointing toward increased strength in the altcoin space. It is a bit more pronounced for the rankings 2 to 10, but even for 11 to 50 we see no signs yet of a turnaround. The picture is similar on the advanced decline line for both segments. It is worth pointing out that the volatility inside the segments is cooling off (the grey line).

Bottom line: our call is still the same; slightly overweight altcoins versus bitcoin exposure.

 

2 Altcoin Futures Basis Analysis

This is a new section in our report, which focuses on the basis of the altcoin futures market. Our main focus will be on BitMEX and Kraken (Crypto Facility).

As far as today’s report is concerned, it will be difficult to compare the 7-day change numbers between the exchanges due to the fact that the numbers were taken over a month-end. Everything will be back in line for next week’s report. Unfortunately, however, this will happen every time the Rotation Report is created over a month-end.

What we can say is that the basis came in aggressively compared to last week. This is not only driven by the broader directional change of the market, but also due to the fact that the altcoin basis traded on very elevated levels over the past few weeks and months. We expect the basis to stabilise over the next few days, and, if anything, to widen again.

It is worth also noting the perpetual basis. It shows how much the perpetual price is trading above or below the index. The index is different for every exchange, but well documented. Normally, it is a weighted average of spot prices from several exchanges. LTC was showing some heavy pressure not only on the term basis, but also on the perpetual side. Keep an eye on that coin as its basis might snap wider quickly.

XBTUSD is usually the more stable basis. But over the past few weeks that basis has widened out to pretty extreme levels and stayed there for quite some time. Now, with the general market sentiment shift (the market is in more of a correction phase), we saw the basis tighten quickly to more normal levels.

Figure 1: Altcoin Futures Basis Overview

 

3 Top Ten Comparison

Table 1: Data source: Coinmarketcap; change to last week in parentheses

 

Table 2: Data source: Coinmarketcap; change to last week in parentheses

 

4 Volatility and Correlation Comparison

Figure 2: Volatility comparison; Data source: Coinmarketcap

 

Figure 3: Correlation comparison; Data source: Coinmarketcap

 

5 ETHBTC 4h Technical Chart Analysis

Figure 4: Data source: Bitfinex; Chartsystem: Tradingview

This pair is not giving us any hints as to where it might go next…

The price seems to be glued between the resistance and support zone. This has led to another liquidity pool just near where we are trading right now. The three pools are at 0.031000 / 0.032600 / 0.034350.

The Ichimoku cloud is still providing support for the pair. We almost managed to break out of the cloud to the upside. But having said that, we also started to turn bearish on the cloud. It is too early to tell if the prices will follow, as we are in a sideways consolidation, which has the effect of narrowing the cloud band.

We stated last week that we might push up to the liquidity pool just below the 0.033000 level. This is still on the cards, but for that we would need the Ichimoku cloud to turn bullish again. Around the June 10th we will run into the steep line of the cloud and if the price is not able to trend higher before that we will lose momentum to the upside.

We also mentioned last week that ETHBTC is demonstrating the least certainty for an altcoin rally. This is still the case, but since last week the altcoins have cooled off a bit.

 

6 Market Capitalisation Overview

Figure 5: Market capitalisation overview; Data source: Coinmarketcap

 

Glossary

Advance Decline Line – the Advance Decline Line shows the ratio of coins for which the market cap increased relative to the market cap of BTC for each day.
ATH – all time high (maximum lookback period of 730 days).
Data source – tables and charts are based on daily close prices provided by Coinmarketcap.
EWMA – exponentially weighted moving average.
MACD – moving average convergence/divergence is a popular technical indicator to identify trends in the underlying instrument. It consists of the MACD and signal line, and the area shown in the background. The MACD line (strong) is the difference of two exponential moving averages, which are defined by the first and second parameter of the indicator. The signal line (weak) is the exponential moving average of the MACD line defined by the third parameter. The area in the background illustrates the difference between the MACD line and the signal line.
Pearson Correlation – quantifies the linear relationship between two variables.
Spearman Correlation – quantifies the monotonic relationship between two variables. As such, the Spearman Correlation is based on the ranked values of each variable and is used to detect non-linear relationships between the two.

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