{"uuid":"77fa4be5-6027-4149-665d-7d2988eb3254","categoryUuid":"169d7f2a-19b7-4672-7e38-c092a658c9c7","data":{"meta":{"name":"On-chain Trading Models"},"configs":[{"meta":{"content":"# On-chain Trading Models\n\nThis dashboard explores the use of on-chain data to build trading models. On-chain data can be used to predict market turns and momentum shifts, as well as overall market sentiment. \n\nFor example, we show how metrics such as realized and unrealized profits can reflect market sentiment, and how high fees can indicates positive market momentum among other economic behaviors.\n\nWe will showcase five trading strategies, one of them which uses machine learning. These strategies all have a long-term momentum bias and seek to enter the market during the periods of higher momentum and exit during uncertain bearish trends."},"uuid":"c036ee38-16f1-4c6e-a2cb-393ed717d213","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"content":"##Tracking Market Momentum\n\n---\n\nResearch Report [here](https://insights.glassnode.com/the-week-onchain-week-06-2024/) - Dashboard [here ](https://studio.glassnode.com/dashboards/signal-btc-tracking-market-momentum)\n\nPublished February 5th, 2024\n\n---\nThis long-only strategy aims to identify positive market momentum by combining different factors from our four on-chain risk factor categories:\n\n🟢 Market Activity: Using network activity and adoption to identify periods of growth.\n- [Exchange inflows](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=transactions.TransfersVolumeToExchangesSum)\n- [Miner Revenues](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=mining.RevenueSum) \n\n🔵 Market Profitability: Identifying periods where investor unrealized profit is increasing.\n- [Supply in profit](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=supply.ProfitSum)\n- [AVIV Ratio](https://studio.glassnode.com/workbench/cointime-mvrv-aviv)\n- [Short-Term Holder MVRV](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=market.MvrvLess155)\n\n🔴 Spending Behavior: Studying periods when traders sell-off their holdings.\n- [SOPR Momentum](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.SoprAccountBased)\n- [Realized Profit/Loss Ratio](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.NetRealizedProfitLoss)\n\n🟠 Wealth Distribution: Considering the balance and transfer of wealth between old and new holders.\nConditions\n- [SLRV Ribbons](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=supply.SthLthRealizedValueRatio)\n\n---\n\nThis chart will turn light blue when 4-of-8 conditions are positive indicating positive momentum. Conversely, the chart will turn orange when less than 4-of-8 conditions are positive, indicating negative momentum.\n\nThe black curve presents the number of triggered indicators (indexed to 8). Each colored bar is associated with a concept listed above and will activate when both input conditions are\n\n"},"uuid":"cfeb8c91-7a05-4406-965c-cb76d5a55175","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"content":"##How the model works\n\n---\n\n- The model invests when oscillator is 4 or above\n\n- The model sells and stays out of the market when oscillator is 3 or less \n\n---\n\nEach portfolio starts with $1,000 invested on January 1st, 2014. The benchmark remains static, while the model portfolio trades according to the strategy, assuming a 0.1% BPS trading fee."},"uuid":"e1c8ddff-4865-4b11-bf06-5e0702049050","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"4cc396b7-28f0-481f-42b8-0eb1538194e2"},"uuid":"e9a7fde9-b49d-4fa6-8b83-ad5b1a9f8bd2","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"refUuid":"09bdb1b8-b789-47b6-642b-8dab8061a46f"},"uuid":"aa9c9145-94b2-40d8-8ac3-05ffd7c5c29a","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"content":"##Short-term Holder Realized Profit \u0026 Loss\n\n---\n\nResearch Report [here](https://insights.glassnode.com/the-week-onchain-week-34-2023/) - Dashboard [here](https://studio.glassnode.com/dashboards/signal-btc-realized-profitloss-momentum) \n\nPublished August 21st, 2023\n\n---\n\nThis long-only model looks only at short-term traders and their realized profits. The goal of the model is to identify momentum and inflection points by following traders who are quick to react to market conditions.\n\nShort-Term Holders (STHs) are active throughout the market cycle and are likely to react to market volatility due to recency bias regarding their cost basis. Around market extremes, wealth often transfers as investors take profits near tops or capitulate near bottoms, increasing the proportion of wealth held by STHs. \n\n🟢 Realized Profit: Accelerates during market rallies as recently acquired coins become profitable.\n\n🔴 Realized Loss: Accelerates during market corrections, causing recent acquirers to panic sell."},"uuid":"b488b3e4-5d30-4aa2-a03c-1ae5651e00a8","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"content":"##How the model works\n\n---\n\n- The model invests when the momentum oscillator is positive\n\n- The model sells and stays out of the market when the momentum oscillator is negative\n\n---\n\nEach portfolio starts with $1,000 invested on January 1st, 2014. The benchmark remains static, while the model portfolio trades according to the strategy, assuming a 0.1% BPS trading fee.\n\n"},"uuid":"fe3fac59-b1e7-4527-b834-eaa91dfd6d75","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"8a2096e9-c15f-4928-6481-2d4008b91974"},"uuid":"f3e52ab9-9cc8-4cf7-a4ac-0ef5412f1a4e","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"refUuid":"4e1951ee-da94-4ca6-450a-d7654e628170"},"uuid":"09d34b63-2242-47d4-b8f2-9ea0acce25bf","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"content":"## Confluence Summary\n\n---\n\nResearch Report [here](https://www.youtube.com/watch?source_ve_path=Mjg2NjQsMTY0NTAz\u0026feature=emb_share\u0026v=CQHD8bB-Rok) - Dashboard [here](https://studio.glassnode.com/dashboards/signal-btc-recovering-bear)\n\nPublished January 14, 2023\n\n---\n\nThis long-only model is designed to aide with identification of transitional periods out of a bear market, and back towards a more constructive and healthy upwards trend market. It seeks confluence between the following on-chain concepts, aligned with improving network fundamentals:\n\n1) 🟢 Spot Prices trading above key Pricing Models \n- 200 Day SMA\n- [Realized Price](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=market.PriceRealizedUsd)\n\n2) 🟡 Increasing momentum in network utilization \n- [New Addresses](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=addresses.NewNonZeroCount)\n- [Miner Fee Revenues](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=mining.RevenueFromFees)\n\n3) 🔵 Increasing Market Profitability Returning\n- [aSOPR](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.SoprAdjusted)\n- [Realized P/L Ratio](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.RealizedProfitLossRatio)\n\n4) 🔴 Healthy Trends in Supply Distribution\n- [RHODL Ratio](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.RhodlRatio)\n- [BTC Supply in Profit Uptrend](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=supply.ProfitSum)\n\n---\n\nWhen three or more aggregate factors are bullish, the chart will have a shaded blue region indicating bullish sentiment. When all indicators are bullish, the chart will have a dark blue shaded region. This is the peak of momentum within a bull market."},"uuid":"6c5227ad-ebf7-4a10-996e-69f7cb7c14b3","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"0fb7bae8-cc27-44f6-7202-b68afcec19ba"},"uuid":"eafc1337-5292-4f04-9cf6-4c8db302de59","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"content":"##How the model works\n\n- The model invests when 3 or 4 of the segments are bullish\n\n- The model sells and stays out of the market when 2 or less are bullish\n\n---\n\nEach portfolio starts with $1,000 invested on January 1st, 2014. The benchmark remains static, while the model portfolio trades according to the strategy, assuming a 0.1% BPS trading fee.\n"},"uuid":"07e8a9e8-d022-4d17-8149-0da9ebde0010","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"86a57b44-99d1-4a79-70c7-220b87f198cd"},"uuid":"6be9c72e-3445-4f2d-ad33-fd89972a13f5","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"content":"### Machine Learning - Sharpe Model\n\n---\n\nDashboard [here](https://studio.glassnode.com/dashboards/signal-btc-sharpe)\n\n---\n\nThis long-only model is meticulously designed to minimize downside risks while capitalizing on the upward trends of Bitcoin, providing traders with a unique edge in the digital asset market.\n\nAs an Enterprise customer, you get exclusive access to the [indicator](https://studio.glassnode.com/workbench/3a6adeb1-3947-45bd-758f-fe0b23ee99a7) and the performance tracker with a 1-day lag. \n\nIf you'd like same-day data, that updates on an hourly frequency, schedule time to meet with our sales team [here](https://calendly.com/d/ckcq-hh5-ksx/sharpe-signal-review)."},"uuid":"5fe79c1f-eaa2-40f8-bd18-d029e4347e75","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"cb933f72-2547-45f0-4029-27400a040a48"},"uuid":"2fdf067d-5d43-4641-8d75-59b55fb33936","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"refUuid":"4df1b9cf-9907-4db4-64e5-4650e5c3f829"},"uuid":"f55e27f0-728e-4cf8-823a-1f81adb421c8","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"content":"##How the model works\n\n---\n\n- The model invests when the oscillator is positive\n\n- The model sells and stays out of the market when the oscillator is negative\n\n---\n\nEach portfolio starts with $1,000 invested on January 1st, 2014. The benchmark remains static, while the model portfolio trades according to the strategy, assuming a 0.1% BPS trading fee."},"uuid":"547cf536-487f-4393-9ed2-333a5724198d","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"content":"##Ethereum: Tracking Market Momentum\n\nThis model aims to mimic [Tracking Market Momentum with On-chain Data](https://studio.glassnode.com/dashboards/signal-btc-tracking-market-momentum), but for Ethereum.\n\n---\n\n1. Market Activity: Using network activity and adoption to identify periods of growth.\n- [New Addresses](https://studio.glassnode.com/metrics?a=ETH\u0026category=\u0026m=addresses.NewNonZeroCount)\n\n2. Market Profitability: Identifying periods where investor unrealized profit is increasing.\n- [Net Unrealized Profits](https://studio.glassnode.com/metrics?a=ETH\u0026category=\u0026m=indicators.NetUnrealizedProfitLoss)\n- [Supply in Profit](https://studio.glassnode.com/metrics?a=ETH\u0026category=\u0026m=supply.ProfitSum)\n\n3. Spending Behavior: Spotting periods when long-term investors commence heavy distribution.\n- [SOPR](https://studio.glassnode.com/metrics?a=ETH\u0026category=\u0026m=indicators.Sopr)\n- [Realized Price](https://studio.glassnode.com/metrics?a=ETH\u0026category=\u0026m=market.PriceRealizedUsd)\n\n4. Wealth Distribution: Considering the balance and transfer of wealth between old and new holders. Conditions\n- [RHODL Ratio](https://studio.glassnode.com/metrics?a=BTC\u0026category=\u0026m=indicators.RhodlRatio)\n\n---\n\nThis chart will turn light blue when 4-of-6 conditions are positive indicating positive momentum. Conversely, the chart will turn orange when 3 or less conditions are positive, indicating negative momentum.\n\nThe black curve presents the number of triggered indicators (indexed to 6). Each colored bar is associated with a concept listed above and will activate when both input conditions are\n"},"uuid":"03135dd8-06a4-4f75-857b-8ed2d67c4ca6","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"content":"##How the model works\n\n---\n\n- The model invests when 4 or more of the segments are bullish\n\n- The model sells and stays out of the market when 3 or less are bullish\n\n---\n\nEach portfolio begins with $1,000 invested on August 1st, 2017. The benchmark never sells or places trades. The model portfolio sells according to the details above and assumes a .1% BPS trading fee."},"uuid":"1f5846ac-dcb7-482b-a17c-1933b6baa6da","extra":{"backgroundColor":"#ffffff"},"configType":"content"},{"meta":{"refUuid":"de216f4a-e586-45b9-764f-614609bd1f3e"},"uuid":"684f65e2-9446-4cfc-a214-ad195724f8cb","extra":{"zoom":"5y"},"configType":"workbench"},{"meta":{"refUuid":"837002d8-452b-4dbf-5f6a-418429a09dc2"},"uuid":"172cfcc5-d1fa-4346-99f6-2977843f630e","extra":{"zoom":"5y"},"configType":"workbench"}],"layouts":[{"h":4,"i":"c036ee38-16f1-4c6e-a2cb-393ed717d213","w":12,"x":0,"y":0,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"cfeb8c91-7a05-4406-965c-cb76d5a55175","w":4,"x":0,"y":4,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"e1c8ddff-4865-4b11-bf06-5e0702049050","w":4,"x":0,"y":12,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"e9a7fde9-b49d-4fa6-8b83-ad5b1a9f8bd2","w":8,"x":4,"y":4,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"aa9c9145-94b2-40d8-8ac3-05ffd7c5c29a","w":8,"x":4,"y":12,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"b488b3e4-5d30-4aa2-a03c-1ae5651e00a8","w":4,"x":0,"y":20,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"fe3fac59-b1e7-4527-b834-eaa91dfd6d75","w":4,"x":0,"y":28,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"f3e52ab9-9cc8-4cf7-a4ac-0ef5412f1a4e","w":8,"x":4,"y":20,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"09d34b63-2242-47d4-b8f2-9ea0acce25bf","w":8,"x":4,"y":28,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"6c5227ad-ebf7-4a10-996e-69f7cb7c14b3","w":4,"x":0,"y":36,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"eafc1337-5292-4f04-9cf6-4c8db302de59","w":8,"x":4,"y":36,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"07e8a9e8-d022-4d17-8149-0da9ebde0010","w":4,"x":0,"y":44,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"6be9c72e-3445-4f2d-ad33-fd89972a13f5","w":8,"x":4,"y":44,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"5fe79c1f-eaa2-40f8-bd18-d029e4347e75","w":4,"x":0,"y":52,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"2fdf067d-5d43-4641-8d75-59b55fb33936","w":8,"x":4,"y":52,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"f55e27f0-728e-4cf8-823a-1f81adb421c8","w":8,"x":4,"y":60,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"547cf536-487f-4393-9ed2-333a5724198d","w":4,"x":0,"y":60,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"03135dd8-06a4-4f75-857b-8ed2d67c4ca6","w":4,"x":0,"y":68,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"1f5846ac-dcb7-482b-a17c-1933b6baa6da","w":4,"x":0,"y":76,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"684f65e2-9446-4cfc-a214-ad195724f8cb","w":8,"x":4,"y":68,"minH":1,"minW":3,"moved":false,"static":false},{"h":8,"i":"172cfcc5-d1fa-4346-99f6-2977843f630e","w":8,"x":4,"y":76,"minH":1,"minW":3,"moved":false,"static":false}]}}