5 million rows of data inventory of Crypto's three-year bull market

KingData ·2022-06-16

Source: LUCIDA
Since 2020, the entire cryptocurrency market has experienced a huge bull market, and this bull market wave has also brought huge gains in assets under many tracks and hot spots, including thousands or even 10,000 coins.

LUCIDA is a quantitative hedge fund in the field of Crypto. As the market slowly turns bearish, we will make a complete review of this entire bull market. Through mining massive data, we will discover market rules and learn from history. In addition, LUCIDA will publish a series of investment research articles. This article is the first of the entire series: "5 million rows of data inventory three-year bull market"

Data acquisition and preprocessing

The first step is to obtain data. We obtained data on all the top 3,000 coins by market capitalization from CoinMarketCap, totaling more than 5 million rows.

The data of the top 3000 coins by market capitalization

Each currency has seven Columns: Date (date), Open (opening price), High (highest price), Low (lowest price), Close (closing price), Volume (volume), MarketCap (market value).

Columns for each currency

For subsequent analysis, we preprocessed the data:
Modify outliers, fill in empty values
Remove stablecoin assets
Remove anchored assets such as wBTC and renBTC
Remove assets that were largely pinned due to poor market depth
Remove the currencies with too small market value and too low liquidity (most of them are outside the 1000 market value)

NFT assets not counted

In the end, there are 952 coins that meet our statistical criteria.
The highest increase is 960,000 times!
We took the period from January 1, 2020 to May 24, 2022 as the statistical period, and found the top 100 currencies with the highest increase, as follows:

Top 100 coins with the highest increase in this bull market

The highest increase is Shiba Inu, with an increase of 96482030.32% (you have counted the order of magnitude, 960,000 times), and the current market value ranks 19th.

Bull Markets Don’t Just Buy Anything Can Outperform the Market

Let's calculate the median of the largest increase, which is 2002.23%.
If we use BTC as an index, then the beta return is 1259.27%, compared to the median alpha return of 2002.23%, the beta return does not underperform the alpha return much.

Therefore, the truth may not be as everyone thinks, "buy in the bull market can outperform the broader market". From the data point of view, when purchasing small currency assets, it is necessary to choose the currency and timing carefully. If the currency selection and timing are not done well, the income may not be as good as holding BTC.

Can't choose the time to buy small currency? Then watch the big cake and buy small coins!

Next, let's calculate the "start time", "end time" and "duration" of the maximum increase in all currencies. The essence of this is to discuss the timing of buying small coins, "when to buy the bottom?", "when to escape the top?".

The above picture is the "frequency of the start time of the largest increase", the x-axis is time, and the y-axis is the frequency. The bars in the picture indicate when the currencies bottomed out. The bottoming time is concentrated in March 2020 and July 2021, that is, bottoming out after the "312" and "519" massacres.

The second picture is "Frequency of the end time of the largest increase". The x-axis is time, and the y-axis is frequency. The bars in the picture indicate when the currencies peaked. Most of the peaking time is concentrated in April 2021 and November 2021, which is basically the same as the peaking time of Bitcoin.

Therefore, from a statistical point of view, it is rare for small currencies to go independent. In fact, it depends on the face of the big pie. If you are not sure about the trend of small currencies, it is better to look at the big pie and buy small coins.

Time is your best friend

Next, the frequency of the time interval is counted. The time interval is based on the maximum increase, "the time when the highest price appears" - "the time when the lowest price appears", and then the frequency is counted.

We found that the high points in the histogram are concentrated within 20 days and around 400 days, that is to say, the peaking of the currency can be roughly divided into two categories:

  1. The opening is a high point
  2. The highest point after one year
    If you want to enjoy the high returns of the bull market, holding the position for a long time (more than 1 year) may be the most correct choice.

Even in a big bull market, you have to be mentally prepared to "cut in half", and you may even be trapped for a year
After calculating the profit, let's calculate the risk next.

The first is to calculate the maximum retracement. The maximum retracement here refers to the "maximum retracement that occurred during the maximum increase", or the "maximum retracement during the bull market process", not the maximum retracement of the bear market.

The average and median of the maximum drawdown are 50.63% and 57.02%, respectively. That is to say, even in a big bull market, you should be mentally prepared to cut in half and withstand relatively large floating losses.

Also, the median maximum drawdown was 31 days, the average was 43 days, and the longest maximum drawdown occurred 322 days. That is to say, in a bull market, you will be trapped for more than a month on average, and may even be trapped for one month. year.

When Bitcoin trades sideways at a high level or stagnates at a high level, it is a good opportunity for small currencies to buy low and sell high or lighten their positions
Next we count when the biggest drawdowns usually occur.
The figure below shows the frequency of the start of the largest retracement. The two obvious peaks in the figure are concentrated in August 2020 and February-April 2021.

In August 2020 and February-April 2021, during these two time periods, the trend of Bitcoin (index) showed a high-level sideways or high-level stagnation, that is to say, in a bull market, when Bitcoin (index) showed In the state of high-level sideways or high-level stagflation, small currencies usually have a relatively large retracement, which is also due to the "high elasticity" characteristics of small currencies.

A new high after a high-level giant shake, or a flashback before the market goes bearish, run fast
The maximum retracement does not mean the end of the bull market. As mentioned above, the first end of the bull market occurred in April 2021, which is 2 months later than the largest retracement that occurred intensively in February 2021.
Therefore, it is not accidental that small currencies have fallen sharply at high levels. It is usually a sign before peaking. Even if the price hits a new high, it is mostly a trap, not an opportunity.


Through the data, we have analyzed the bull market in the past three years from the perspective of return and risk. From the data, we have extracted some views, some of which are in line with our old cognition, and some of which have subverted our cognition. Or let us have a new understanding of the market, the data will allow us to re-understand the market from a more objective and higher latitude perspective.

This article is relatively general. In addition to this article, around this bull market, we will write more investment research reports from the perspective of "secondary market investment" and "data", including but not limited to:

Analysis of different tracks (underlying infrastructure track, NFT track, DEFI track, SOCIALFI track, GAMEFI track, DAO track, and research on the rotation laws of the track)

Different ecological analysis (ETH ecology, POLKADOT ecology, SOLANA ecology, etc…)
Small currency strategy analysis (multi-factor currency selection, timing strategy, enhancement strategy, hedging strategy)
Performance Analysis of Investment Institutions

© The copyright of this article belongs to KingData, and can't be reproduced and used without KingData's permission.