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Topic: [DCX] The Digital Currency Index Project - page 2. (Read 5467 times)

full member
Activity: 230
Merit: 100
August 05, 2013, 08:09:32 AM
#25
When prices change, the market cap and % of Index change as well. The market cap should be calculated by price * outstanding shares.
full member
Activity: 218
Merit: 100
August 05, 2013, 07:44:48 AM
#24
It would be cool if you also display relative price difference for each security in this index.

For example, currently it is down: -4.61%, but to see what happened I need to go to btct.co, and as it uses different time reference, it isn't easy to see how change is explained.
Hi killerstorm,

Exactly right. There is currently no reference to what is exactly causing the index deviation and you have to look for it manually. I am working on this as we speak, thanks a lot.


done Cool

full member
Activity: 218
Merit: 100
August 05, 2013, 05:45:56 AM
#23
DCX and Smidge.Com A (re-post from Smidge.Com thread)

I would like to clarify that Smidge.Com A is not an ETF on the DCX index and does not map or try to map its performance in any way.

  • DCX is a reference index that displays the performance of the securities with the highest market cap, to provide an indication of "The Market"
  • Smidge.Com A is a fund that I actively manage myself, that invests into a broad range of securities and aims to beat "The Market"
full member
Activity: 218
Merit: 100
August 05, 2013, 05:45:24 AM
#22
It would be cool if you also display relative price difference for each security in this index.

For example, currently it is down: -4.61%, but to see what happened I need to go to btct.co, and as it uses different time reference, it isn't easy to see how change is explained.
Hi killerstorm,

Exactly right. There is currently no reference to what is exactly causing the index deviation and you have to look for it manually. I am working on this as we speak, thanks a lot.
legendary
Activity: 1022
Merit: 1033
August 05, 2013, 04:30:33 AM
#21
It would be cool if you also display relative price difference for each security in this index.

For example, currently it is down: -4.61%, but to see what happened I need to go to btct.co, and as it uses different time reference, it isn't easy to see how change is explained.
full member
Activity: 218
Merit: 100
August 04, 2013, 01:27:21 PM
#20
Up for almost 48 hours, nice recovery today with +2.86%.

The forces of the market at work... beautiful Smiley


full member
Activity: 218
Merit: 100
August 04, 2013, 01:03:22 PM
#19
Cool idea but not sure why are you calling it currency index?
It looks more like "The BTCT Mining Index" Smiley
Hi EskimoBob,

Currently, it is more or less a Mining Index. But it is made up of the securities that reflect our market. This may change over time as new business models get implemented, for it is a very long term project.
legendary
Activity: 910
Merit: 1000
Quality Printing Services by Federal Reserve Bank
August 04, 2013, 11:24:38 AM
#18
Cool idea but not sure why are you calling it currency index?
It looks more like "The BTCT Mining Index" Smiley

full member
Activity: 218
Merit: 100
August 04, 2013, 07:56:29 AM
#17
Added change in percent to previous day's close (currently +1.01% to yesterday).
full member
Activity: 218
Merit: 100
August 04, 2013, 02:39:59 AM
#16
Hi dexX7,

Yay, I really support this. Smiley

I played a bit around with the Laspeyres formula and I'm not sure, if this is correct: I took BTCGARDEN, LABCOIN, ACTIVEMINING, COGNITIVE, ASICMINER-PT (no BASIC because split and simplicity...) and used the current number of issued shares as basis. This is not ideal, but I don't have data on historical numbers of issued shares and this is experimental anyway.

The share prices were grouped into 1 hour groups for each asset and I calculated the index output like this:

p0 = BTCGARDEN pricen * 2000000 + ... + ASICMINER-PT 1 hour pricen * 26006
p1 = BTCGARDEN pricen +1 * 2000000 + ... + ASICMINER-PT 1 hour pricen +1 * 26006

index value = p1 / p0 * 100.


Highly interesting. I need a more flexible charting engine (ClarkMoody style would be awesome), plus focus on getting historical data in there as a priority.


Brainstorming:

  • Exclude company held shares
     
  • Get historical outstanding share data
     
  • Which assets should be included?
     
  • What is a more realistic model for a representation of the market?
     
  • Fetch data from other exchanges
     


I don't have a very financial background and to be honest, I'm not even sure, where this leads, but one thing is for sure: it's time for the next level! A general overview of the Bitcoin markets is only the beginning and this thread by Smidged is the initial experiment to accomplish this. Cheesy

Any input and discussion is very welcomed.

I think historical data is a quick win, plus I received the suggestion to add Moving Averages.
Get data from other exchanges would increase the number of price fixings (=liquidity).

legendary
Activity: 1106
Merit: 1026
August 03, 2013, 06:25:59 PM
#15
Yay, I really support this. Smiley

I played a bit around with the Laspeyres formula and I'm not sure, if this is correct: I took BTCGARDEN, LABCOIN, ACTIVEMINING, COGNITIVE, ASICMINER-PT (no BASIC because split and simplicity...) and used the current number of issued shares as basis. This is not ideal, but I don't have data on historical numbers of issued shares and this is experimental anyway.

The share prices were grouped into 1 hour groups for each asset and I calculated the index output like this:

p0 = BTCGARDEN pricen * 2000000 + ... + ASICMINER-PT 1 hour pricen * 26006
p1 = BTCGARDEN pricen +1 * 2000000 + ... + ASICMINER-PT 1 hour pricen +1 * 26006

index value = p1 / p0 * 100.


Here are the results:

Daily, 1H groups with volume weighted average price


Daily, 1H groups with 1H closing price


Daily, 1H groups with line on close


So basically the Laspeyres formula can be used to track down changes in market cap and a steady value around 100 means that there is not much price fluctuation.



I also created market capitalization charts. Those represent simply the sum of the market capitalization of the above mentioned assets:

Daily combined market cap


Daily combined market cap with line on close



Brainstorming:

  • Exclude company held shares
     
  • Get historical outstanding share data
     
  • Which assets should be included?
     
  • What is a more realistic model for a representation of the market?
     
  • Fetch data from other exchanges
     


I don't have a very financial background and to be honest, I'm not even sure, where this leads, but one thing is for sure: it's time for the next level! A general overview of the Bitcoin markets is only the beginning and this thread by Smidged is the initial experiment to accomplish this. Cheesy

Any input and discussion is very welcomed.
full member
Activity: 218
Merit: 100
August 03, 2013, 02:12:02 PM
#14
Added CIPHERMINE to the index with a weight of currently 6.86% (about 542k LTC/15k BTC mkt cap)

https://www.litecoinglobal.com/security/CIPHERMINE
full member
Activity: 218
Merit: 100
August 03, 2013, 10:53:22 AM
#13
The basic question is, should the index describe the market 1:1 (market cap weighted) or should it regard all included stocks as equal...

There could be more than one basic question; one might be what sort of description would be most useful? For some people, equal weighted would probably be more useful, while for others some type of fundamental weighting might also be useful. For some ETFs, for example, it's earnings weightings that count.

I agree that it should focus on usefulness for the community.

...I see the index like a portfolio of securities and that is how it should behave...

I'm not sure I follow. Any index can behave like a portfolio of securities; there's more than one way to build a portfolio, and more than one way to have an index behave like a portfolio.

What I mean by this is that individual securities should not behave like they have a "distorted" value because we equal weight them. A compromise could be capping the security's weight at a certain percentage.

...long run, where we ideally want to have several more or less equal sized stocks competing along lots of small ones...

Why would that be ideal?

Because the index would be more diversified and not tied to one or a few security's performance, creating less overall volatility.

Edit: One solution could be to set a maximum weight that an individual security can have in the index (in the DAX, that is 10%, but there are 30 securities in there altogether). I think 25% would be enough. Thoughts?

Caps like that, although arbitrary, seem like at least one good way of helping an index provide more of a glimpse into something other than just its largest one or two constituents. If you're coming at it from the standpoint of how an index should behave, and you believe it should be market weighted, then a cap like that would be all wrong, but on the other hand it could make it more useful.

Thanks a lot for your input. I think the ideal setup for the BTC world lies somewhere in between. I am looking forward to discussing this further down the road and making the necessary adjustments.
full member
Activity: 218
Merit: 100
August 03, 2013, 10:32:52 AM
#12
(I've put this in the FAQ above)

Some input about variance and reference points:

smidge: in which intervals are p1 and p0 calculated? this seems to be critical, because if you do the calc.. well, let's say every new trade, the difference is very small (as only one number changes) and the result oscillates very close to 100
dexX7 very good question, i currently plan on setting the interval to daily
as you described, the variance would be too low
smidge: would you then take the end of day (or whatever interval) price of each asset or some averaged value?
dex the last price of the day would be used as reference for the next
sr. member
Activity: 316
Merit: 250
August 03, 2013, 08:48:11 AM
#11
this seems pretty cool nice work
sr. member
Activity: 330
Merit: 255
August 03, 2013, 08:37:28 AM
#10
The basic question is, should the index describe the market 1:1 (market cap weighted) or should it regard all included stocks as equal...

There could be more than one basic question; one might be what sort of description would be most useful? For some people, equal weighted would probably be more useful, while for others some type of fundamental weighting might also be useful. For some ETFs, for example, it's earnings weightings that count.

...I see the index like a portfolio of securities and that is how it should behave...

I'm not sure I follow. Any index can behave like a portfolio of securities; there's more than one way to build a portfolio, and more than one way to have an index behave like a portfolio.

...long run, where we ideally want to have several more or less equal sized stocks competing along lots of small ones...

Why would that be ideal?

Edit: One solution could be to set a maximum weight that an individual security can have in the index (in the DAX, that is 10%, but there are 30 securities in there altogether). I think 25% would be enough. Thoughts?

Caps like that, although arbitrary, seem like at least one good way of helping an index provide more of a glimpse into something other than just its largest one or two constituents. If you're coming at it from the standpoint of how an index should behave, and you believe it should be market weighted, then a cap like that would be all wrong, but on the other hand it could make it more useful.
full member
Activity: 218
Merit: 100
August 03, 2013, 08:07:26 AM
#9
Hi DrGregMulhauser,

The index is calculated using the Laspayres method. It is also used to calculate the traditional indices like DOW, DAX etc.

(Side note: Laspeyres -- not Laspayres -- method. Also, most major indices are market cap weighted, but the Dow is price weighted.)

Both fixed! Thank you.

Since the disadvantages of market cap weighted indexes are well known, have you considered an equal weighted index? Just a-wundrin'...

The basic question is, should the index describe the market 1:1 (market cap weighted) or should it regard all included stocks as equal, ignoring their market cap? I chose the previous for DCX, because I see the index like a portfolio of securities and that is how it should behave. As stated above, I think it is the best setup for the long run, where we ideally want to have several more or less equal sized stocks competing along lots of small ones.

Edit: One solution could be to set a maximum weight that an individual security can have in the index (in the DAX, that is 10%, but there are 30 securities in there altogether). I think 25% would be enough. Thoughts?

sr. member
Activity: 330
Merit: 255
August 03, 2013, 07:46:55 AM
#8
The index is calculated using the Laspayres method. It is also used to calculate the traditional indices like DOW, DAX etc.

(Side note: Laspeyres -- not Laspayres -- method. Also, most major indices are market cap weighted, but the Dow is price weighted.)

Since the disadvantages of market cap weighted indexes are well known, have you considered an equal weighted index? Just a-wundrin'...
full member
Activity: 218
Merit: 100
August 03, 2013, 06:47:19 AM
#7
102.7 seems to be a hard resistance today! Let's make a snapshot of it for the archives... Wink


full member
Activity: 218
Merit: 100
August 03, 2013, 05:31:36 AM
#6
Anyone have a realistic description of all relevant securities out there with their number of shares and market cap? I am currently only accumulating data from btct.co. The goal would be to create a waterproof composition of the index to really have it reflect and be regarded as "The Market".
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