/biz/ - Business & Finance

>>28843221
Well there's this. Entire reason why I started this was to see how much I get paid for risk in bitcoin versus the S&P. Protip: It's exceptionally well.
I can also answer what the correlation between the S&P and bitcoin is, long term, it's 0.255046. Year to date, it's 0.195139. Those are return-only so it isn't just both numbers going up = correlation.
Bitcoin's six year beta is 1.206101.
Bitcoin's year to date beta is 1.551627.
Bitcoin is approximately 5.1 times more volatile than the stock market long term.
Bitcoin is approximately 10.225 times more volatile than the stock market year to date.
When setting risk equal to each other, you get paid about 12.8 times more in bitcoin for the same risk as you do in the S&P long term.
Year to date, you're getting 0.754 times the return in bitcoin for the same risk as the stock market. Meaning YTD the risk adjusted return is actually better in stocks.
>>28843277
The values are daily values. I can't get much more granular than that yet (by the hour, minute, second etc) so instead I just take the open, high, low, and close each day then average them. My dataset is a collection of daily averages. The five year average is basically useless
>>28843453
You don't understand what I'm doing

>>28750355
This is a normal day for bitcoin. Read into standard deviation if you're not familiar with it.
Year to date, bitcoin's standard deviation of returns is 4.64%. This means that on any given day the price can move anywhere between -18% and +18% from the open (approximately). I also collect this data weekly since 2014. I have never seen a weekly move greater than 3.5 standard deviations, the standard deviation of weekly returns is 8%. Meaning in any given week the range of movement can be anywhere between -32% and 32% (approximately).
Distributions of returns are fat tailed but anyways. As I said I've never recorded a move >3.5 SD
The point is there's about a 68% chance that on any given day bitcoin will go up or down between 0% and -+4.64%. The daily candle is currently at -3.76%. This is completely typical.