Week of 27 August 2018: Bitcoin rises 8.99% and Ether 7.75% in a shared rebound
When two assets rebound together after a stretch of falling weeks, how much of that rebound can a week of price data actually establish about a change in trend?
BTC rose from 6,700.00 to 7,302.01 (+8.99%) and ETH from 274.17 to 295.41 (+7.75%), with both closing in the upper third of their weekly ranges. Both set their lows early on Monday 27 August; BTC's close sat at 93.8% of its weekly range. The two assets moved closely together (hourly correlation 0.87), and volume ran above the prior twelve-week average for both.
What the data shows. Both lows came at 03:00 UTC on Monday 27 August: 6,646.50 for BTC and 271.59 for ETH. The highs arrived at the other end of the week, with BTC reaching 7,345.45 on Sunday 2 September and ETH 302.00 on Saturday 1 September. The path in between was not a straight climb: BTC's worst day, Thursday 30 August, still lost 0.69%, and ETH's worst day, Wednesday 29 August, lost 2.38%. BTC's best day was Monday itself (+3.11%) and ETH's was Saturday 1 September (+5.06%). BTC dollar volume was 2.07 billion dollars and ETH's was 0.58 billion, at 1.15 and 1.14 times their prior twelve-week averages. BTC's close sat at 93.8% of its weekly range and ETH's at 78.3%, so both finished near their highs rather than giving back gains late.
What it does not show. A single strong week cannot establish that the prior declines are over. BTC's four preceding weekly returns were -14.45%, -10.19%, 2.68% and 3.43%; ETH's were negative in all four (-12.35%, -22.23%, -5.83%, -8.36%). The data contains no information on who was buying or whether positions were short covering. Funding rates are absent for this week, so the cost of holding leveraged positions cannot be read here.
What a careful desk would check. Both return percentiles rest on only 28 weeks of history, so BTC's 82nd percentile and ETH's 79th percentile carry little weight; a percentile needs a much longer base to mean much. BTC still closed 37.72% below its 52-week high and ETH 74.51% below its own, so a large distance to recover remains. Realised volatility was 40.4% for BTC and 65.4% for ETH annualised, and ETH's largest hourly move (3.40%) was well above BTC's (2.23%), so ETH's path was the rougher of the two despite the smaller weekly gain.
What would change this reading
- If a later week closes back below BTC's weekly open of 6,700.00, this rebound reads more as a pause than as a turn.
- If BTC holds above its high of 7,345.45 while volume falls back towards the prior twelve-week average, the move has follow-through rather than being a single-week surge.
- If ETH begins falling faster than BTC, the close correlation of 0.87 has broken and the two legs of this rebound separate.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- percentile
- the share of past weeks with a lower value; here the base is only 28 weeks, so the reading is imprecise
- close location
- where the week's close sits between its low and its high, as a percentage