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Crypto Asset Price Forecasts and Price Driver Analysis
Overview
The Blockchain Investments Crypto Asset Price Forecasts (BICP) data feed offers predicted price and price driver analysis data for the top 100 crypto assets by market capitalization, covering approximately 95 percent of the market capitalization. Price forecast data is provided for the upcoming 7 days; the calculation is based on one-month, quarterly and one-year rolling historical datasets. Price driver analysis data provides measures of the following drivers of price: seasonal, trend, and remainder. The calculation is based on a one-year rolling historical dataset.
Delivery:
- Data is updated daily at 1:30 pm Central European Time. The forecast data is updated with data for the upcoming seven days and the price driver analysis data is updated with same-day data.
Note: Blockchain Investments & Co. is based in the Netherlands and observes Dutch public holidays. Inquiries made to the data vendor during the holidays will be addressed on the next business day.
Publisher
Blockchain Investments & Co. is a globally active thesis-driven crypto investment management fund and data provider, founded by a former employee of the European Central Bank (ECB) and is a member of INATBA, the International Association of Blockchain Applications, supported by the European Commission.
On a granular level, the company provides the following information for crypto assets: fundamental rating data using proprietary research models, descriptive data (including inner workings), sentiment data (bullish vs. bearish), correlation data (including USD and stock indexes), investment driven ratios, price prediction data using mathematical models and price driver composition data.
Blockchain Investments & Co. distinguishes itself by taking an in-depth, thesis-driven, knowledge based approach on the financial markets & technological fundamentals of crypto assets.
Coverage
Price forecast data is provided for the top 100 crypto assets by market capitalization, covering approximately 95 percent of the market cap. The upcoming seven days of data are included. The list of crypto assets included in the price forecast data can be downloaded here.
Price driver analysis data is provided for the top 100 crypto assets by market capitalization. The list of crypto assets included in the price driver analysis data can be downloaded here.
Both price forecast and price driver analysis data start from January 2015.
Data Organization
This product can be accessed via Quandl's Tables API.
To programmatically access individual tables in this product, you need the Quandl Code for the specific table you are interested in. The Quandl Codes for all tables in this product are listed in the following section.
There are two tables included in this product. Details as well as Quandl Codes are provided below.
| TABLE | QUANDL CODE | TABLE DESCRIPTION |
|---|---|---|
| Price Forecasts | BIC/PF | Predicted prices for the upcoming 7 days based on both 1-month and 1-year rolling historical datasets, calculated at 90, 95, and 99 percent confidence levels. |
| Price Driver Analysis | BIC/PD | Measures of the seasonal, trend, and remainder factors as price drivers. Based on a 1-year rolling historical dataset. |
Price Forecasts (BIC/PF)
The BIC/PF table contains the following columns:
| Column | Description | Type | Filter | Primary Key |
|---|---|---|---|---|
| name | Name of the crypto asset, e.g. Bitcoin | text | ||
| symbol | Symbol of the crypto asset, e.g. BTC for Bitcoin | text | ✅ | ✅ |
| date | Date to which the predicted price applies | date | ✅ | ✅ |
| last_price | Last confirmed daily price (USD) for the corresponding date. Last confirmed price values are stated once for a certain asset and date, using the previous day's price at the end of the day | double | ||
| forecast | Base price forecast value (USD) | double | ||
| low | Lower endpoint value of the confidence interval (USD) | double | ||
| high | Upper endpoint value of the confidence interval (USD) | double | ||
| confidence | Confidence level used in the calculation. Possible values are: , , (percent confidence), . in both the confidence and period columns indicates the last confirmed price (USD) on the date, after the day has closed (midnight UTC). | text | ✅ | ✅ |
| period | The time period on which the prediction is based. Possible values are: , , . in both the confidence and period columns indicates the last confirmed price (USD) on the date, after the day has closed (midnight UTC). | text | ✅ | ✅ |
| as_of_date | Published date/the date the prediction is calculated. | date | ✅ | ✅ |
Predicted values may be empty for crypto assets that are new. If there is no sufficient history (more than 30% of values are missing and interpolation is not possible), the predicted values are left blank. Over time, the values will be filled.
Price Driver Analysis (BIC/PD)
The BIC/PD table contains the following columns:
| Column | Description | Type | Filter | Primary Key |
|---|---|---|---|---|
| name | Name of the asset, e.g. Bitcoin | text | ||
| symbol | Symbol of the crypto asset, e.g. BTC for Bitcoin | text | ✅ | ✅ |
| date | Date | Date | ✅ | ✅ |
| seasonal | Percentage of one-year rolling price change attributable to seasonal activity | integer | ||
| trend | Percentage of one-year rolling price change attributable to trend activity | integer | ||
| remainder | Percentage of one-year rolling price change attributable to idiosyncratic activity | integer | ||
| period | The time period on which the analysis is based, going back from the date (1year) | text | ✅ | ✅ |
Frequently Asked Questions
What are cryptocurrencies?
Crypto assets or cryptocurrencies are digital representations of value, issued by private developers on a virtual peer-to-peer network and denominated in their own unit of account.
Why would I need price driver analysis data?
Crypto assets are a maturing new asset class, with prices driven both by market events and idiosyncratic movements. Price driver analysis data gives a better understanding of the drivers of price fluctuations by quantifying the changes that are due to seasonal, trend, and residual factors.
Methodology
What is the price prediction data based on?
Price prediction data is obtained using industry-proven exponential triple smoothing models that smooth minor deviations in previous information trends by identifying patterns of seasonality and confidence intervals. For each crypto asset, predicted prices are calculated based on one-month, quarterly and one-year rolling historical price datasets at several confidence levels (90, 95 and 99 percent). The prices are forecasted seven days into the future, and include the upper and lower bounds.
The prediction data has been tested for accuracy measurements, but due to the volatile nature of crypto assets, backtesting is still recommended.
To compare the results with your own research and dataset, the last confirmed price of the day has been included, as it might vary slightly according to the exchange volume and weighting used in calculations.
What is price driver analysis data?
Price driver analysis data is obtained by applying a time-series decomposition of the price data into 3 components: seasonal, trend, and remainder. Each of the resulting time-series quantifies the importance of the component to the total price fluctuation. The calculation is based on a one-year rolling historical dataset.
Seasonal: Patterns that repeat with a fixed period of time. For example, a crypto asset might be traded more during weekdays and less during weekends. This would produce data with a seasonality of 7 days.
Trend: The underlying trend of the metrics. An asset increasing in popularity should show a general trend that goes up.
Remainder: Also called "irregular", this is the residuals of the original time-series after the seasonal and trend components are removed.
What is the source for the price data?
Price data is sourced from over 250 exchanges and 19,000 crypto asset pairs. Outliers/anomalies are detected and excluded. The price data is a volume-weighted average, and all currency pairs are in sync when calculating the prices. The price data, with such a young market, will always differ from the prices published by other crypto asset data providers; this difference is negligible across the board. A conservative approach is taken for the volume data, checking for wash trading/order book manipulation.
Disclosure
Past performance is no guarantee for future results.
Please consider the investment objectives, risks, charges and expenses of the assets carefully before investing. There is no guarantee that any investment strategy will work under all market conditions, and each investor should evaluate their ability to invest for the long term, especially during periods of downturn in the market. Prior to investing, investors should carefully review the strategy’s / asset's relevant offering information. There are important differences in how the strategy is carried out in each of the crypto assets.
A separately managed account may (not) be suitable for investors. Please consider the investment objectives, risks and fees of a strategy carefully before investing. The views and opinions are those of the author or the investment team as of the date of preparation of this material and are subject to change at any time due to market or economic conditions and may not necessarily come to pass. Furthermore, the views may not be updated or otherwise revised to reflect information that subsequently becomes available or circumstances existing, or changes occurring after the date of publication. The views expressed do not reflect the opinions of all investment team members at Blockchain Investments & Co. or the views of the firm as a whole, and may not be reflected in all the strategies and products that the company offers.
All investments involve risks, including the possible loss of principal. The material contained herein has not been based on a consideration of any individual client circumstances and is not investment advice, nor should it be construed in any way as tax, accounting, legal or regulatory advice. To that end, investors should seek independent legal and financial advice, including advice as to tax consequences, before making any investment decision.
Non-subscribers can view a subset of the data for free. For more information about ways to access data, see the usage section.
The sample for BIC/PF and BIC/PD includes data for BTC, ETH, and LTC between 2019-09-27 to 2019-10-04.
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