Diversification check
diversification_checkDiversification check: how many independent bets a basket of coins really is. Give the coins (and optionally the window: 90, 365 or 730 days): you get the average correlation between the pairs on real daily returns, the number of independent bets it works out to, each coin's correlation with bitcoin — and what the equal-weight basket did on the days bitcoin closed 3% or more down: how often it fell too, by how much, and its worst such day. Dead coins included.
Use when a basket of two or more coins is called diversified or hedged. For one coin use drawdown_check; for two or three coins side by side on every check, coin_comparison.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| days | Yes | Window ending on the last day of the data: 90, 365 or 730. Defaults to 365. | |
| coins | Yes | Tickers or full pairs, e.g. ["BTC", "ETH", "SOL"]. A comma-separated string also works. One we do not hold comes back with the list. |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
| ok | No | false when we do not hold that data. Never a zero standing in for an answer. | |
| error | No | no_data when ok is false. | |
| model | No | The assumptions, stated. | |
| reason | No | Why, in one sentence, and what we do have instead. | |
| source | No | The public file these numbers come from. | |
| btc_bad_days | No | The days bitcoin closed 3% or more down: how many, on what share of them the basket fell too, its median and worst move. Diversification that vanishes on those days was never there. | |
| independent_bets | No | N / (1 + (N-1)*avg_corr). Five coins that move as one are one bet; five that ignore each other are five. | |
| all_coins_we_hold | No | What every coin we hold, at equal weights, adds up to — the ceiling, for comparison. | |
| correlation_with_btc | No | Each coin's correlation with bitcoin in the window. | |
| average_pair_correlation | No | Pearson correlation of daily log returns, averaged over every pair in the basket. |