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I have a strategy I wanted to try. Look at historical percentage difference between currencies. See if there is any patterns like, every time BTC drop 10%, LTC

I have a strategy I wanted to try. Look at historical percentage difference between currencies. See if there is any patterns like, every time BTC drop 10%, LTC drop 20%, or something like that... Find those patterns and trade on them. Do you know if people are doing this?

jmhyer123 8y ago
I've seen people try that and I've noticed the correlation myself. Around the end of last year (November/December 2017) it was possible to watch BTC jump 5-10% and jump over to ETH and catch the same wave 5-10 minutes later. The problem is those patterns quickly disappear as automated trading picks them up. The window goes from 5-10 minutes to seconds or less. Much harder to act in such a small window.
daleco 8y ago
All of these alt coins are tied to just few pairs (mostly BTC or ETH). When I was looking at the relationships in different instances (just eye balling, no statistical analysis), it seems that some the coins are just more or less volatile.
theptip 8y ago
The degree of coupling between assets is called "beta" - typically you're trying to reduce the coupling of one asset to another in your portfolio (explanation [1]) but you can definitely work the other way to make predictions. I'm not sure what the technical term is for a time-lag correlation though, since that's what you're really after; it's not an interesting correlation for your model if you don't have time to trade ETH on the BTC signal. [1]: https://www.quantopian.com/lectures/beta-hedging https://www.quantopian.com/lectures/beta-hedging