Analyzing ZEC Graphs, Charts, Stats November 2018

ZEC Median Fee in USD

ZEC Average Mining Difficulty

ZEC Inflation in %

ZEC NVT, this is an really interesting one that needs further discussion in my opinion. Here some epxlaination about NVT:

NVT Ratio (Network Value to Transactions Ratio) is similar to the PE Ratio used in equity markets.
When Bitcoin`s NVT is high, it indicates that its network valuation is outstripping the value being transmitted on its payment network, this can happen when the network is in high growth and investors are valuing it as a high return investment, or alternatively when the price is in an unsustainable bubble.

ZEC Kalichki NVT, similar to the above, again an interesting one:

Dmitry Kalichki created a much more responsive NVT variation. Standard NVT Ratio is simply the Network Valuation divided by the Transaction Value flowing through the blockchain and then smoothed using a moving average. What Dimitry did was to apply the moving average just to the volatile Transactions component only without smoothing the already stable Network Valuation component.

This produces a much more responsive chart. Responsive enough to use as a trading indicator.

This is probably the first trading indicator to use blockchain data instead of the basic price and volume data coming in from exchanges.

What is the ‘Sortino Ratio’

The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset’s standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset’s return and subtracts the risk-free rate, and then divides that amount by the asset’s downside deviation. The ratio was named after Frank A. Sortino.

BREAKING DOWN ‘Sortino Ratio’

The Sortino ratio is a useful way for investors, analysts and portfolio managers to evaluate an investment’s return for a given level of bad risk. Since this ratio uses the downside deviation as its risk measure, it addresses the problem of using total risk, or standard deviation, as upside volatility is beneficial to investors.

A ratio such as the Sharpe ratio punishes the investment for good risk, which provides positive returns for investors. However, determining which ratio to use depends on whether the investor wants to focus on standard deviation or downside deviation.

ZEC Sortino Ratio (90 days, LIBOR USD, 1m benchmark)

ZEC Sortino Ratio (90 days, zero returns benchmark)

ZEC Mining Profitability, we see it’s going down and down and further down …

ZEC Daily Block Size in bytes

ZEC Transactions Historical Chart

Some current common stats:

Transactions last 24 hours: 3,917
Average Transactions/hour: 163
Blockchain Size: 20.02 GB
Reddit Subscribers: 14,769
Current Difficutly: 38.877 M
Current Hashrate: 2.149 Ghash/s

ZEC Moving Correlations compared to BTC, ETH and XMR. It seems that ZEC moves more with ETH than with BTC, but that’s just my first opinion on this graph without checking it out further…

Correlation amongst assets is the degree to which they move in tandem. The values range between -1 and +1, where a value of -1 means that the returns move in opposite directions. A value of zero denotes no (linear) dependence between the assets.

Cryptocurrency Correlation Matrix 365 days

ZEC Annualized Volatility and Future Projection. This doesn’t look good … :frowning:

The volatility is a measure of the dispersion of returns. Shown above is a time-series of the annualized volatilities based on the previous 90 days of log returns calculated from volume weighted average daily prices. The historical volatility is calculated using the returns from the previous 90 days. The projection is an ARIMA process (autoregressive, integrated, moving-average) based on the historical data. To put the volatility of cryptocurrencies in perspective, the annualized historical, long-term average of realized volatility of the S&P 500 index is roughly 15%/year. The time axis is GMT.

Volatility of Cryptocurrency Returns

Cryptocurrency Volatility, Skewness, Kurtosis

Shown above are descriptive statistics of cryptocurrency returns, namely: standard deviation (aka volatility), skewness, and kurtosis of cryptocurrency returns. These statistics are moments of the probability density functions of cryptocurrency returns. Volatility is in units of %/day, and the skewness and kurtosis are dimensionless. A positive skewness means the peak of the distribution is shifted to the left (i.e. peak is towards a lower price) and a negative skewness means the peak is shifted to the right (i.e. peak towards a higher price). Kurtosis is a measure for how heavy the tails of the distribution are, and a larger kurtosis signifies a heavy-tailed distribution. For reference, a Gaussian distribution has a skewness of 0 and a kurtosis of 3.

Cryptocurrency Average Returns, 90 days.

annualized cryptocurrency returns based on the previous 90, 180, and 365 days. The returns are calculated from daily prices and then annualized. These returns are not adjusted for risk, unlike the Sharpe and Sortino ratios.

Cryptocurrency Sharpe Ratios 90 days

Sharpe ratios measure the excess return of an asset per unit of risk. The excess return is defined as the return of an asset minus the return of a benchmark asset. The risk is defined as the standard deviation of the returns. Note that this definition of risk also includes risk to the upside.

Cryptocurrency Sortino Ratios

Sortino ratios measure the excess return of an asset per unit of downside risk. The excess return is defined as the return of an asset minus the return of a benchmark asset. The risk is defined as the downside deviation of the returns since we are only concerned with risks related to losses. Note that this is an attempt to improve on the standard Sharpe ratios.

ZEC Probability Density Function of Returns

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ZEC Fiat and Exchange Volume, somehow the Bithumb numbers look suspect to me: