This process is very important for every trader and should be done by everyone for all the underlyings they are going to use because it allows us to really know what we are dealing with and how to deal with it.
The Futures in question is the BITCOIN.
This Future also has a much more traded micro contract than its big brother.
Full contract:
https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/bitcoin.contractSpecs.html
Micro contract:
https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/micro-bitcoin.contractSpecs.html
GENERAL SPECS
NATURE OF THE INSTRUMENT
First of all we will analyze the nature of the instrument: breakout or reversal.
To do this I use some codes written by me and I run them on the underlying on different Timeframes. It’s a simple stop and reverse code.
I add the “+” sign with 1 positive result and remove the “+” sign if there is a positive result in the opposite nature with fewer results.
Here are the results for individual timeframes:
From the analyzes, the Bitcoin is the result of a purely Breakout nature so in the future we will focus on strategies based on this nature.
VOLUME ANALYSIS
I first analyze the daily volumes via TradingView and Tradestation. I use a 200-period average on the volumes to calculate them.
Entire contract: Daily volumes..
We have an average of 8,000 contracts per day.
Entire contract: Intraday volumes..
As you can see, the volumes are not very high, but they allow adequate volumes at certain times. However, the major contracts can be found around 8 in the morning to 15 in the afternoon (exchange time)
With more analysis we might find some bias interested in these volumes …
Micro contract: Daily Volumes..
As you can see we have an average of double the contracts, about 15,000, for the younger brother which makes it much more liquid and tradable.
Micro contract: Intraday Volumes..
Here, too, the analysis is not contradicted, we have many more contracts and therefore more likely to be executed at the price we want.
MONETARY EXCURSION
Having done this, I move on to the movement of the instrument on a monetary basis. This step is very important for the future strategy writing and risk calculation. To do this I use a small indicator that I wrote that multiplies the range of the candle by its BigPointValue.
I have done this on several timeframes. Here are the results:
As I said previously, these metrics are very important because they allow us to calculate the riskiness of the underlying and use appropriate stoplosses for our strategies. For example, we should not use a stoploss of $ 200 for a strategy that is on the market for more than one day on this underlying.
RETURNS: DAILY, WEEKLY AND MONTHLY
Now let’s move on to analyzing price behavior in relation to hours, weeks and months.
To do this, I use some strategies written by me and then analyzing the results through software or through some sites that offer these services.
Here are the behaviors I was able to analyze for this futures:
Intraday:
This data is obtained from the analysis of long operations made at the opening of the candle and closed at the close. In this way with the extracted data and the interpretation we can obtain the trend of the future during the day …
As you can see we have a strong bearish bias in the last hours of the day and a bullish bias until 12 the following day.
Weekly:
These data are obtained using a strategy with daily bars that enters at the opening of the candle in the long position and exits at the close of the same candle.
You can see a strong bearish bias on Thursday which ends on Friday.
Day of the month:
These charts are derived from the same strategy as above.
Monthly:
CORRELATION
In this part we look at the correlations between the data. I used the data provided by my broker ( Tradestation ) and used a python script to interpret it.
Hourly data:
Daily data:
PERFORMANCE
This section shows the performance data in relation to the years.
Finished analysis! In the future, I intend to add more information and graphs to my analysis to provide you with further insights and advice. I hope it helps you to better develop your strategies!