Mechanics of analyzing micro fluctuation

This is not financial advice. Do your own research before investing. Note, for those coming from reddit, this is a copy and paste of the post on Reddit.

When I create a grid bot, I try to choose an asset that fluctuates the most. Long term trend is important, too, but I care more about how violently the price fluctuates about some mean value. We can look at charts, EMA, Bollinger Bands, etc. and try to visually determine this, or we can do some basic quantitative analysis. Maybe there’s an indicator for these sort of stuff, but how I do it is, I take the 6 hour closing price of an asset (which I fetch from Binance database) and compute the fluctuation about the mean.

I can go into the technical details, but basically I use a technique called a Savitzky-Golay filter from signal processing field to smooth out the fluctuation (parameters are chosen empirically and I don’t want to go into too much details here). I then subtract this filtered price from the original price, and divide the difference by the filtered price.

When you do that, you get a plot that looks like the below (ETH-USDT for example):

On the top figure, red is the filtered “smooth” price, and the blue is the actual 6 hr closing price obtained from Binance. The bottom figure shows essentially the difference between the blue and red curve, divided by the red curve (and then multiplied by 100 to convert it into percent). I did this analysis for the assets (in USDT) I can find via Binance candle stick client data (I hope Pionex will eventually provide a public API to allow access to their exchange data, directly). I compute the variance of the fluctuation over the past month and get the following (in increasing order):

busd-usdt 36th, avg. fluc.: 0.01%
pax-usdt 94th, avg. fluc.: 0.02%
eth-btc 2th, avg. fluc.: 0.87%
bch-btc 14th, avg. fluc.: 0.88%
ftt-btc 32th, avg. fluc.: 0.89%
ltc-btc 9th, avg. fluc.: 0.94%
link-eth 10th, avg. fluc.: 0.98%
dash-btc 47th, avg. fluc.: 0.98%
ltc-eth 9th, avg. fluc.: 1.03%
xlm-eth 16th, avg. fluc.: 1.06%
xlm-btc 16th, avg. fluc.: 1.15%
xmr-btc 27th, avg. fluc.: 1.19%
aave-eth 26th, avg. fluc.: 1.27%
zec-btc 58th, avg. fluc.: 1.28%
nano-btc 110th, avg. fluc.: 1.31%
neo-btc 33th, avg. fluc.: 1.32%
link-btc 10th, avg. fluc.: 1.32%
nano-eth 110th, avg. fluc.: 1.35%
bnb-btc 3th, avg. fluc.: 1.39%
bnt-btc 77th, avg. fluc.: 1.39%
lrc-eth 112th, avg. fluc.: 1.4%
yfi-btc 76th, avg. fluc.: 1.41%
aave-btc 26th, avg. fluc.: 1.42%
snx-btc 50th, avg. fluc.: 1.43%
xmr-usdt 27th, avg. fluc.: 1.44%
bch-usdt 14th, avg. fluc.: 1.45%
xmr-eth 27th, avg. fluc.: 1.46%
dot-btc 6th, avg. fluc.: 1.46%
xlm-usdt 16th, avg. fluc.: 1.48%
xtz-btc 31th, avg. fluc.: 1.48%
btc-usdt 1th, avg. fluc.: 1.5%
mkr-btc 48th, avg. fluc.: 1.5%
eos-eth 24th, avg. fluc.: 1.51%
eos-btc 24th, avg. fluc.: 1.54%
eth-usdt 2th, avg. fluc.: 1.54%
bnb-eth 3th, avg. fluc.: 1.58%
doge-btc 18th, avg. fluc.: 1.61%
lrc-btc 112th, avg. fluc.: 1.62%
waves-btc 79th, avg. fluc.: 1.62%
zrx-btc 71th, avg. fluc.: 1.65%
doge-usdt 18th, avg. fluc.: 1.65%
ltc-usdt 9th, avg. fluc.: 1.66%
atom-btc 30th, avg. fluc.: 1.67%
waves-eth 79th, avg. fluc.: 1.68%
ren-btc 91th, avg. fluc.: 1.69%
dash-usdt 47th, avg. fluc.: 1.7%
zrx-eth 71th, avg. fluc.: 1.7%
egld-btc 44th, avg. fluc.: 1.72%
ada-btc 5th, avg. fluc.: 1.74%
uma-btc 73th, avg. fluc.: 1.75%
algo-btc 37th, avg. fluc.: 1.77%
iost-btc 99th, avg. fluc.: 1.81%
sushi-btc 59th, avg. fluc.: 1.82%
comp-btc 49th, avg. fluc.: 1.83%
mkr-usdt 48th, avg. fluc.: 1.84%
grt-btc 52th, avg. fluc.: 1.85%
ada-eth 5th, avg. fluc.: 1.85%
rune-btc 57th, avg. fluc.: 1.89%
omg-btc 92th, avg. fluc.: 1.92%
zec-usdt 58th, avg. fluc.: 1.94%
zen-btc 115th, avg. fluc.: 1.94%
egld-usdt 44th, avg. fluc.: 1.94%
qtum-eth 93th, avg. fluc.: 1.95%
comp-usdt 49th, avg. fluc.: 1.96%
ftt-usdt 32th, avg. fluc.: 1.96%
yfi-usdt 76th, avg. fluc.: 1.96%
zen-eth 115th, avg. fluc.: 1.96%
uni-btc 8th, avg. fluc.: 1.96%
link-usdt 10th, avg. fluc.: 1.97%
rvn-btc 68th, avg. fluc.: 2.01%
bnt-usdt 77th, avg. fluc.: 2.01%
iost-eth 99th, avg. fluc.: 2.02%
eos-usdt 24th, avg. fluc.: 2.03%
bal-btc 150th, avg. fluc.: 2.04%
bnb-usdt 3th, avg. fluc.: 2.04%
neo-usdt 33th, avg. fluc.: 2.05%
nano-usdt 110th, avg. fluc.: 2.05%
snx-usdt 50th, avg. fluc.: 2.05%
trx-eth 20th, avg. fluc.: 2.05%
aave-usdt 26th, avg. fluc.: 2.06%
celo-usdt 97th, avg. fluc.: 2.1%
uni-usdt 8th, avg. fluc.: 2.1%
waves-usdt 79th, avg. fluc.: 2.1%
xtz-usdt 31th, avg. fluc.: 2.12%
atom-usdt 30th, avg. fluc.: 2.15%
dot-usdt 6th, avg. fluc.: 2.17%
trx-btc 20th, avg. fluc.: 2.17%
ada-usdt 5th, avg. fluc.: 2.18%
sol-btc 25th, avg. fluc.: 2.2%
stx-btc 75th, avg. fluc.: 2.23%
iost-usdt 99th, avg. fluc.: 2.23%
rvn-usdt 68th, avg. fluc.: 2.23%
zrx-usdt 71th, avg. fluc.: 2.25%
ksm-btc 34th, avg. fluc.: 2.32%
uma-usdt 73th, avg. fluc.: 2.33%
stx-usdt 75th, avg. fluc.: 2.35%
zil-btc 55th, avg. fluc.: 2.4%
lrc-usdt 112th, avg. fluc.: 2.4%
trx-usdt 20th, avg. fluc.: 2.41%
icx-btc 64th, avg. fluc.: 2.41%
ftm-btc 84th, avg. fluc.: 2.42%
ren-usdt 91th, avg. fluc.: 2.43%
algo-usdt 37th, avg. fluc.: 2.45%
qtum-usdt 93th, avg. fluc.: 2.45%
sushi-usdt 59th, avg. fluc.: 2.45%
dgb-usdt 82th, avg. fluc.: 2.47%
rsr-btc 81th, avg. fluc.: 2.47%
grt-usdt 52th, avg. fluc.: 2.48%
band-usdt 159th, avg. fluc.: 2.49%
zil-eth 55th, avg. fluc.: 2.49%
icx-eth 64th, avg. fluc.: 2.51%
vet-eth 21th, avg. fluc.: 2.51%
vet-btc 21th, avg. fluc.: 2.52%
ont-eth 74th, avg. fluc.: 2.55%
nmr-usdt 180th, avg. fluc.: 2.55%
bat-btc 63th, avg. fluc.: 2.56%
ksm-usdt 34th, avg. fluc.: 2.57%
omg-usdt 92th, avg. fluc.: 2.58%
xem-btc 38th, avg. fluc.: 2.63%
knc-btc 121th, avg. fluc.: 2.64%
cvc-usdt 153th, avg. fluc.: 2.68%
rune-usdt 57th, avg. fluc.: 2.68%
crv-btc 100th, avg. fluc.: 2.69%
near-usdt 56th, avg. fluc.: 2.7%
bal-usdt 150th, avg. fluc.: 2.71%
knc-eth 121th, avg. fluc.: 2.72%
sol-usdt 25th, avg. fluc.: 2.73%
inj-usdt 197th, avg. fluc.: 2.76%
srm-usdt 178th, avg. fluc.: 2.76%
ont-btc 74th, avg. fluc.: 2.78%
zen-usdt 115th, avg. fluc.: 2.78%
icx-usdt 64th, avg. fluc.: 2.82%
vet-usdt 21th, avg. fluc.: 2.87%
fil-btc 11th, avg. fluc.: 2.91%
dodo-usdt 101th, avg. fluc.: 2.92%
zil-usdt 55th, avg. fluc.: 2.96%
oxt-usdt 182th, avg. fluc.: 2.98%
xem-usdt 38th, avg. fluc.: 2.98%
reef-usdt 142th, avg. fluc.: 2.99%
knc-usdt 121th, avg. fluc.: 3.04%
bts-usdt 176th, avg. fluc.: 3.06%
cake-usdt 45th, avg. fluc.: 3.08%
rsr-usdt 81th, avg. fluc.: 3.08%
avax-usdt 35th, avg. fluc.: 3.08%
ftm-usdt 84th, avg. fluc.: 3.15%
rlc-usdt 266th, avg. fluc.: 3.17%
luna-btc 19th, avg. fluc.: 3.19%
ont-usdt 74th, avg. fluc.: 3.25%
crv-usdt 100th, avg. fluc.: 3.26%
tomo-usdt 193th, avg. fluc.: 3.31%
kava-btc 146th, avg. fluc.: 3.31%
sxp-usdt 162th, avg. fluc.: 3.35%
theta-usdt 12th, avg. fluc.: 3.37%
fil-usdt 11th, avg. fluc.: 3.41%
mft-usdt 163th, avg. fluc.: 3.43%
sand-usdt 125th, avg. fluc.: 3.47%
lto-usdt 188th, avg. fluc.: 3.48%
bat-usdt 63th, avg. fluc.: 3.49%
luna-usdt 19th, avg. fluc.: 3.52%
theta-btc 12th, avg. fluc.: 3.53%
jst-usdt 173th, avg. fluc.: 3.54%
coti-usdt 175th, avg. fluc.: 3.61%
ant-usdt 134th, avg. fluc.: 3.62%
iris-usdt 267th, avg. fluc.: 3.65%
matic-btc 60th, avg. fluc.: 3.67%
theta-eth 12th, avg. fluc.: 3.68%
ckb-usdt 98th, avg. fluc.: 3.75%
mana-btc 69th, avg. fluc.: 3.82%
kava-usdt 146th, avg. fluc.: 3.89%
btt-usdt 23th, avg. fluc.: 3.93%
rose-usdt 166th, avg. fluc.: 4.01%
alice-usdt 186th, avg. fluc.: 4.01%
matic-usdt 60th, avg. fluc.: 4.04%
hbar-usdt 43th, avg. fluc.: 4.05%
xvs-usdt 114th, avg. fluc.: 4.06%
akro-usdt 268th, avg. fluc.: 4.08%
enj-btc 53th, avg. fluc.: 4.09%
celr-btc 143th, avg. fluc.: 4.19%
mana-usdt 69th, avg. fluc.: 4.24%
enj-eth 53th, avg. fluc.: 4.25%
enj-usdt 53th, avg. fluc.: 4.27%
celr-usdt 143th, avg. fluc.: 4.41%
hnt-usdt 89th, avg. fluc.: 4.44%
ogn-usdt 132th, avg. fluc.: 4.52%
vtho-usdt 136th, avg. fluc.: 4.55%
dego-usdt 315th, avg. fluc.: 4.58%
ankr-usdt 80th, avg. fluc.: 4.66%
skl-usdt 127th, avg. fluc.: 4.72%
axs-usdt 252th, avg. fluc.: 4.87%
chz-usdt 42th, avg. fluc.: 5.67%
hot-usdt 41th, avg. fluc.: 5.73%
one-usdt 574th, avg. fluc.: 5.82%
one-btc 574th, avg. fluc.: 5.89%
chr-usdt 295th, avg. fluc.: 6.18%

Note, the ranking next to the pair name (“th”) is the market cap ranking according to the coinmarketcap API. As you can see, busd and paxg are the least fluctuant (obviously, since they’re both pegged to USD). BTC is a big boy so it doesn’t fluctuate much either. The most fluctuant are smaller cap coins like ONE and CHR. No surprise here, but at least you won’t have to rely on your “gut feelings” and “intuitions” when choosing the asset.

Obviously, you don’t want to invest in dog s**t coins so don’t just go off by the fluctuation %, but also look at trade volumes (liquidity) and longer term prospect as well.

In the next blog entry, I might talk about how to compute the Pearson correlation across assets and how to use that information as a strategy to predict the next pumping coin. I’ll probably post here first, then post on reddit.

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