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February 13, 2018 01:11
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| # Index tracker and rebalancer | |
| ## Installation | |
| ``` | |
| npm install | |
| ``` | |
| ## Configuration and usage | |
| ``` | |
| node index.js | |
| ``` | |
| ## Index strategies | |
| ### Number of components of the index | |
| Hypothesis: | |
| * a top 10 can be maintained manually: the list of coins is quite consistent due to their current dominance or relative market stability - difficulty: easy; estimated maximum transaction per rebalancing: 13 | |
| * a top 20 can be maintained manually - the list of coins is quite consistent due to their current dominance or relative market stability - difficulty: easy; estimated maximum transaction per rebalancing: TBC - difficulty: TBC | |
| * a top 30 cannot be maintained manually - the diversity of coins entering and exiting the portfolio may cause more than 30 transactions per rebalancing | |
| Moving from one top to an other during a rebalancing is not restricted. | |
| ### Frequency | |
| * Estimated fees per week | |
| ### Index weighting | |
| #### Marketcap-weighted capping | |
| See [market-capitalization weighted index](http://www.ftserussell.com/research-insights/education-center/how-are-indexes-weighted) | |
| Methodology: | |
| * Retrieve the top X coins from the coinmarketcap.com API (https://api.coinmarketcap.com/v1/ticker/?limit=20&convert=USD) | |
| * Calculate the market cap of each coin (Price * Circulating Supply) | |
| * Sum the market cap of each coin | |
| * For each coin, divide the coin market cap by the total market cap. We will call this percentage the uncapped_weight. | |
| * Define an initial deposit (in fiat currency) that will be used to build the portfolio | |
| * Take the initial deposit and for each coin, redistribute it based on the corresponding uncapped_weight. | |
| Pros: | |
| * A cap-weighted index is a a self-rebalancing methodology as it reflects exactly how the markets behave | |
| Cons: | |
| * BTC or other currencies dominance due to no hard cap | |
| * Tends to give too much weight to securities the market has overvalued and too little weight to ones it has undervalued. As a result, true market value is skewed. | |
| #### Hybrid-market cap index | |
| ##### FTSE Russell | |
| This strategy defines a market cap ceiling. See [Single Level Company Capping - page 11](http://www.ftse.com/products/downloads/Capping_Methodology_Guide.pdf). | |
| This method is used by [Crypto20](http://crypto20.com) | |
| Methodology: | |
| * Any coin whose index weight is greater than y% is capped at y%. | |
| * The coin of the remaining index constituent coins are increased as a consequence of reducing the weights of the larger coins. | |
| * The weights of uncapped constituent coins are then checked and if they exceed y% they are also capped at y%. | |
| * This process is repeated until no company weight exceeds y%. | |
| Pros: | |
| * protects against a single coin dominating portfolio composition whether it be bitcoin now or another coin in future | |
| * provides broad market exposure with acceptable turnover | |
| and mitigates risk by more evenly weighting the tracked | |
| assets. | |
| ##### ICONOMI - BLX | |
| ##### COMBICOIN | |
| ##### TAAS FUND | |
| ##### BITTWENTY | |
| https://www.cnbc.com/2017/10/06/fundstrat-launches-five-indexes-to-track-bitcoin-and-other-digital-currencies.html | |
| ##### Bitwise HOLD 10 index | |
| https://www.bitwiseinvestments.com/index | |
| ### Portfolio rebalancing | |
| ### Index results / Steps List | |
| Partial units | |
| Cash amounts | |
| 1. ZAG Buy 6 units Buy 6.5062 units Spend $100.00 | |
| 2. VCN Buy 9 units Buy 9.2764 units Spend $300.00 | |
| 3. XAW Buy 23 units Buy 23.3918 units Spend $600.00 | |
| # Data | |
| # coinmarketcap USD | |
| API: https://coinmarketcap.com/api/ | |
| Methodology: https://coinmarketcap.com/faq/ | |
| # coingecko | |
| Methodology: Github activity | |
| * https://www.coingecko.com/buzz/understanding-coingecko-developer-metrics | |
| * https://www.coingecko.com/en/methodology | |
| No API available | |
| # cryptocompare USD | |
| API: https://www.cryptocompare.com/api/# | |
| # Exchanges | |
| See ccxt libraries - access to 90 exchanges APIs | |
| # Resources | |
| https://www.bitwiseinvestments.com/index | |
| https://btcmanager.com/investing-cryptocurrency-index-tracking/ | |
| https://github.com/aboutlo/crypto-index-fund | |
| https://www.bitwiseinvestments.com/index | |
| https://static.crypto20.com/pdf/c20-whitepaper.pdf?_ga=2.92950557.1013622623.1514504485-1579083509.1512601968 | |
| http://www.ftserussell.com/research-insights/education-center/how-are-indexes-weighted | |
| https://www.bitwiseinvestments.com/index | |
| https://steemit.com/cryptocurrency/@thorthur22/portfolio-reblancing-tool-using-google-sheets-quadruple-your-earnings | |
| https://btcmanager.com/investing-cryptocurrency-index-tracking/ | |
| https://techcrunch.com/2017/10/16/the-hold-10-index-is-a-passively-managed-fund-of-the-top-10-cryptocurrencies/ | |
| https://github.com/aboutlo/crypto-index-fund | |
| http://www.ftse.com/products/downloads/Capping_Methodology_Guide.pdf | |
| https://crypto-compare.github.io/index-comparison/ | |
| https://www.cnbc.com/2017/10/06/fundstrat-launches-five-indexes-to-track-bitcoin-and-other-digital-currencies.html | |
| Time keeps on slippin’: Laspeyre vs. Paasche indices | |
| http://www.ftserussell.com/research-insights/education-center/calculating-index-values | |
| # Biggest Gainers and Losers | |
| https://coinmarketcap.com/gainers-losers/ |
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