Market Science

Daily Report

February 04, 2020

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Updated 04Feb2020, 00:10:10 UTC

NOTE: THE CONTENT IN THIS DOCUMENT IS CONFIDENTIAL AND PROPRIETARY.
While care has been made to ensure accuracy in the preparation of this document, slight variations in data may exist due to inconsistencies from data providers and applications. Derivatives trading involves substantial risk of loss. Past performance is not necessarily indicative of future results. Market Science employees may hold positions in instruments mentioned herein.

Market Statistics (XBTUSD)

Average Percentile: 66.2%

Expected Day Type: No Clear Bias

Raw Values

	Volume ($B)	Range ($)
Most Recent	2.9	399
Avg, Last 30 Days	2.77	361.3
Avg, Last 5 Mon's	2.34	334.9

Projected Range (XBTUSD)

	Value
BVOL (%)	46.98
5-Day ATR	359.20
MOVE	154.75
BVOL (pts)	228.27

Key Levels

	Level	Distance	Probability
Prev Close	9282	0.00%	100.00%
Weekly Open	9325	-0.46%	99.02%
Monthly Open	9339.5	-0.62%	97.61%
Weekly VWAP	9361.5	-0.86%	94.33%
Monthly VWAP	9350.14	-0.73%	96.18%
Swing High	9190	0.99%	92.00%
Swing Low	9052	2.48%	61.23%
Daily POC	9299.63	-0.19%	99.97%

Active Patterns/Signals

	# returns	mean return %	return std %	sharpe ratio	# gains	# losses	win %	mean gain %	mean loss %	win/loss
Buy/Hold	1127	0.3	4.44	1.27	606	519	53.87	3.09	-2.96	1.04
Upper Half, 3d Range	773	0.44	4.27	1.98	414	358	53.63	3.12	-2.65	1.18
Swing Low More Recent	666	0.53	4.22	2.39	359	306	53.98	3.13	-2.52	1.24
Close > 50d MA	579	0.53	4.41	2.3	327	252	56.48	3.24	-2.98	1.09
Close > 100d MA	546	0.6	4.86	2.36	306	240	56.04	3.56	-3.17	1.12
Close < mVWAP	517	-0.16	4.66	-0.65	256	260	49.61	3.01	-3.27	0.92
Close < wVWAP	514	-0.07	4.56	-0.3	271	242	52.83	2.96	-3.46	0.86

Fractals

High Time Frame (Daily)

Low Time Frame (Hourly)