Cryptocurrency Trend Following


Shown above are daily cryptocurrency log returns calculated from volume-weighted average prices. A time-series model is fit to the set of returns and the projection along with 95% confidence interval (orange) is shown. The projection can be thought of as a stochastic process where 95% of the trajectories lie within the orange bars. The time-series model is attempting to fit an autoregressive or moving average model. In other words, the model assumes that past returns are indicative of future returns. Select a currency to display its returns and projection. The time axis is GMT. This chart is updated every daily. Informational purposes only.

BTC = Bitcoin, ETH = Ethereum, BCH = Bitcoin Cash, XRP = Ripple, LTC = Litecoin, DASH = Dash, XMR = Monero, XEM = NEM, ETC = Ethereum Classic, XLM = Stellar Lumens, ZEC = Zcash, NXT = Nxt, REP = Augur, LSK = Lisk, FCT = Factom.

Raw price data courtesy of Poloniex.
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