Week of 25 March 2019: BTC and ETH rise on volume below the twelve-week average
When BTC posts a fifth consecutive weekly gain on below-average volume while both assets remain far below their 52-week highs, what can the data say about the advance?
BTC rose 2.82% to 4,103.95 and ETH 3.86% to 141.38, both closing in the upper third of their weekly ranges. Dollar volume was below the prior twelve-week average for both (0.95x for BTC, 0.57x for ETH). BTC is 58.82% below its 52-week high, ETH 83.16%.
What the data shows. BTC rose from 3,991.35 to 4,103.95 (+2.82%) and ETH from 136.12 to 141.38 (+3.86%). Both fell first: the weekly lows came in the same hour, 19:00 UTC on Monday 25 March (BTC 3,888.71, ETH 131.60), and both highs arrived on Saturday 30 March (BTC 4,140.00, ETH 145.89). The best day was Wednesday 27 March (BTC +2.26%, ETH +3.96%); the worst was Monday (BTC -1.38%, ETH -1.57%). BTC's largest hourly move was -1.14% in the hour starting 18:00 UTC on Monday, one hour before the low; ETH's was +1.84% on Friday 29 March. BTC closed at 85.7% of its weekly range and ETH at 68.4%, both in the upper third. Dollar volume was 0.72 billion for BTC and 0.21 billion for ETH, equal to 0.95 and 0.57 times their respective prior twelve-week averages. Hourly correlation between the two was 0.82, and the ETH/BTC ratio rose 1.01%.
What it does not show. Rising prices on below-average volume are consistent with a thin market, but the data cannot say who was buying, whether buying was new money or short positions closing, or what followed. No cause is visible in price candles, and no funding rates are present, so leverage cannot be judged.
What a careful desk would check. BTC's realised volatility — the size of the actual hourly swings scaled to a yearly figure — was 24.4%, and ETH's 35.0%, both modest. BTC's weekly return ranked at the 64th percentile of its 58 recorded weeks, ETH's at the 71st, so this was a slightly better-than-typical week. A desk would test whether the advance holds if volume stays this low, and would read the distance to the highs (58.82% for BTC, 83.16% for ETH) against a 2.82% weekly gain.
Ether against Bitcoin. ETH outperformed by 1.04 percentage points, yet its volume was far weaker relative to history (0.57x versus BTC's 0.95x). BTC's four prior weekly returns were all positive (1.71%, 2.88%, 1.66%, 0.26%), while ETH's were mixed (-1.14%, 3.65%, 2.44%, -1.86%), so ETH's catch-up is recent and thin.
What would change this reading
- If volume returns towards the prior twelve-week average while BTC holds above its close of 4,103.95, the week reads as broadening participation rather than a thin advance.
- If BTC closes a later week below its Monday low of 3,888.71, the run of positive weekly returns is broken.
- If the ETH/BTC ratio gives back this week's 1.01% gain while BTC holds its range, the outperformance reads as temporary.
- If realised volatility for BTC stays near 24.4%, position sizing drawn from this week assumes calm conditions only.
Terms
- realised volatility
- how much the price actually swung over a period, expressed as a yearly percentage
- close location
- where the closing price fell within the week's high-to-low range, as a percentage
- hourly correlation
- how closely two prices moved together hour by hour, from -1 to 1