Great post I saw on bitcoinmarkets regarding historical stability that I thought people following this thread would appreciate:
Calculating Stability - MethodologyThis is the layout of my spreadsheet at present:
Column A - Date
Column B - Daily bitcoin close price (from coindesk)
Column C - LN(Column B)
Column D - Variance(Column C and previous 9 days)
Column E - 1 / Column D
What does this do then? It takes the log of the price of bitcoin, then the variance of that over the last 10 days to get a measure of the % fluctuation in bitcoin's price. The higher the value, the greater the volatility in price over those 10 days. But we want stability, so we take the inverse of that.
Charts
Charting price on a log axis against stability to 23rd July gives us the following:
It's quite clear that whenever we have a strong period of stability, a noticeable increase in price isn't too far behind.
(In my original post I accidentally said I'd used a 7 day variance, not 10. This changes the magnitude, but not the pattern:
Forecasts and Interpretation
We've identified 3 spikes (A, B and C) that appear to signal a coming increase in price. This chart shows how the price reacted following each of those spikes
,
,
Clearly there's a lot of variation in the level and timing of the price increase, which I've summarised in this nice little table
What to do from here?
I think I'll start updating the first chart on a regular basis showing daily stability, adding that into the daily discussion thread.
Once it looks like peak stability has been and gone I'll declare that as Day Zero, and will start tracking the price against previous days since peak stability.
No Cults
All of this is based on something occuring 3 times in a row. Please none of the "Days until bubble: Peak Stability Date + (67 or 100 days)" nonsense. This is not a guarantee that a bubble's on the way! I know it's a pattern that most of us want to see, but don't let that cloud your judgement. This is not a scientific fact, merely a pattern.
Improving the methodology?
I need to get my hands on OHLC or hourly data to improve my meaure of stability, which I believe /u/gergi[6] has supplied me with - I just need to find the time to extract that and update accordingly.
Anyway, I've given you my approach so you can all play around and see what patterns you find. Perhaps setting the variance to more or less than 10 days gives different results? Perhaps using a data source besides coindesk gives an alternative view? Go out there and see what you can uncover!
tl;dr
When we have price stability we see an increase in price shortly after. This ranges from +165% to +1610% and can take 67 to 100 days. This is based on 3 observations. A sustained price decrease has never followed stability. We are currently experiencing price stability.
http://www.reddit.com/r/BitcoinMarkets/comments/2bj278/an_analysis_of_stability_and_spikes/
