Data - Pulled from Coinbase Pro's API using the CBPRO library https://pypi.org/project/cbpro/
Motivation
- Shared interest in Crypto assets and their performance over time.
- We sought to understand how closely alternative crypto assets (Alt Coins) performed compared to Bitcoin.
- We also wanted to understand which alt coins performed as well, better or worse than Bitcoin historically.
- Finally, we wanted to analyze a crypto portfolio to a comparable portfolio made up of the S&P500 stocks.
Questions we wanted to answer:
- Where can we find reliable historical data on crypto assets dating back at least two years?
- Which alt coins performed best on a daily and cumulative basis?
- Which alt coin prices are most closely correlated to Bitcoin price?
- Which portfolio performed the best over the past 2 years? (slightly less due to data cleaning)
- Portfolio 1 - 50% BTC, 50% even distribution of the altcoins mentioned above.
- Portfolio 2 – 50% BTC, 25% ETH, 25% even distribution of remaining alt coins.
- Portfolio 3 – Totally even distribution of alt coins and BTC. 1/13th per coin.
- Portfolio 4 – Weighted Distribution based on the market cap percentage (of the total market cap of crypto) of each alt as of
09-18-2019. – This data was taken from https://www.coingecko.com/en - Portfolio 5 – No BTC or ETH – Just an even distribution of other alt coins.
- Portfolio 6 – S&P 500 Only, no crypto. Data extracted from https://finance.yahoo.com/
Where can we find reliable historical data on crypto assets dating back at least two years?
- We chose Coinbase due to the name recognition and probably the oldest data set in the United States.
- We also wanted to use a platform that has a readily available and quick to learn API. While this API may not be ideal, the documentation was clear enough, and got the job done.
Which alt coins performed best on a daily and cumulative basis?
- As seen from the plot below, Chainlink (LINK) outperformed all crypto alt coins we analyzed. A close second was Ether (ETH). Warning!! You may need to Alter your GitHub Appearance Settings to Default light to see the text for these images.
- As it is not super clear which line was which alt coin on the above line plot, we decided to make a visualization that made it more clear which one was the leader.This pie chart shows the overall performance in % gains over the past 2 years:
Which alt coin prices are most closely correlated to Bitcoin price?
- Unsurprisingly, all of the Alt Coins were fairly correlated to Bitcoin. As you can see here, most alt coins had a fairly strong .50-.80 positive correlation, with the exception of REPUSD, which only had a .40 positive correlation.
- Here is a different way to look at the correlation values:
Which portfolio performed the best over the past 2 years?
- In order to determine this we took the .cumprod() of daily returns.
- As you can see Portfolio 2 performed the best at about a 529% gain, over 2 Years! This is likely due the higher weighting of ETH as that was #2 in the overall cumulative gains.
- Portfolio 6 clearly was the laggard of the pack, at about 46% gains, which was the S&P 500.
