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2f:{"id":"f91d2f62cbe8928c","slug":"status-network-cost-of-capital","title":"status network cost of capital","thumbnail":"6fb54a4796866e350d7cd3c9d7c19f8fa1653d8f36c61fe59999c9def36bc665","access_level":"public","create_time":"$D2023-05-31T10:49:36.925Z","update_time":"$D2023-05-31T10:51:30.824Z","view_time":null,"first_public_time":"$D2023-05-31T10:49:36.925Z","fork":{"id":"a957c3920f0346e2","slug":"status-cost-of-capital","title":"status network cost of capital","owner":{"id":"705428abb61ef58b","login":"bgits","name":"Barry G"}},"stars":0,"starred":false,"owner":{"type":"team","id":"1b76ce59e47fe6c2","login":"andytudhope","name":"Andy Tudhope","avatar_url":"https://avatars-next.observableusercontent.com/19bd8c37a73a566bf2f3af0ade4755992ad0386c5c02b4c5c5b3dc508f7ddce2","tier":"starter_2024"},"version":1194,"publish_version":null,"role":null,"authored":false,"authors":[{"type":"individual","id":"acf17d2ec20142ab","login":"andytudhope","name":"Andy Tudhope","avatar_url":"https://avatars-next.observableusercontent.com/19bd8c37a73a566bf2f3af0ade4755992ad0386c5c02b4c5c5b3dc508f7ddce2","tier":null}],"members":[{"type":"individual","id":"acf17d2ec20142ab","login":"andytudhope","name":"Andy Tudhope","avatar_url":"https://avatars-next.observableusercontent.com/19bd8c37a73a566bf2f3af0ade4755992ad0386c5c02b4c5c5b3dc508f7ddce2","tier":null,"role":"editor"}],"comments":[],"custom_thumbnail":false,"trashed":false,"subscribed":null,"forks":1,"collection":null,"type":"notebook","body":{"title":"status network cost of capital","cells":[{"id":942,"value":"md`# status network cost of capital`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":0,"value":"slide`Status Network\n\n****Cost Of Capital****`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":366,"value":"slide`The cost of capital is one approach to determining the appropriate discount rate to discount future value accrual against`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1151,"value":"slide`Weighted Average Cost of Capital (WACC) is composed of the cost of equity and cost of debt`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1156,"value":"slide`With no debt we focus on the cost of equity\n\nCost of Equity = Riskfree Rate + Beta * Risk Premium\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":370,"value":"slide`A primer can be found here: \n\nhttp://people.stern.nyu.edu/adamodar/pdfiles/eqnotes/dcfrates.pdf`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":363,"value":"slide`Market return expectations are needed to compute cost of equity\n\nVenture capital funds have delivered historical returns of ~17% per year https://www.cambridgeassociates.com/wp-content/uploads/2015/05/Public-USVC-Benchmark-2014-Q4.pdf \n\nexpectations for a young market are similar but the liquidity from day one may make expectations less due to the liquidity premium https://en.wikipedia.org/wiki/Liquidity_premium`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":958,"value":"slide`\"Studies that look at venture capital\nreturns over long period. Using data from 1984-2004, Venture Economics, estimated that the\nreturns to venture capital investors have been about 4% higher than the returns on traded\nstocks. We could attribute this difference to illiquidity and add it on as the “illiquidity\npremium” for all private companies.\" - Aswath Damodaran\n\nhttp://people.stern.nyu.edu/adamodar/pdfiles/country/illiquidity.pdf`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1110,"value":"slide`More research is required into what is a proper illiquidity premium\n\nRoger Ibbotson has published research showing liquidity raises valuations thus lowering the expected rate or return\n\nhttp://www.investmentreview.com/files/2011/11/Roger-Ibbotson.pdf`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":937,"value":"illiquidityPremium = 0.01","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":967,"value":"privateVentureExpectations = 0.1767","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":908,"value":"md`### Perhaps a survey would better guage market return expectations?`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":186,"value":"marketReturnExpectation = privateVentureExpectations - illiquidityPremium","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":972,"value":"slide`Discounting private venture expectations of ${parseFloat(privateVentureExpectations * 100).toFixed(2)}% by the illiquidity premium of ${illiquidityPremium * 100}% we get our market return expectation of ${parseFloat(marketReturnExpectation*100).toFixed(2)}%`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1169,"value":"slide`Owning a traded crypto asset means owning venture style risk assets + the option to sell. That option to sell is worth about 4% a year`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":376,"value":"slide`The beta coefficient is a measure of the volatility, or systematic risk, of an individual asset in comparison to the unsystematic risk of the entire market. \n\nBeta is used in the capital asset pricing model (CAPM), which calculates the expected return of an asset using Beta and expected market returns.\n\nA portfolio with low Beta assets will generate higher *risk adjusted* returns compared to a portfolio with high Beta assets, assuming the same returns.`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":372,"value":"slide`BTC is used as the benchmark index. \n\nIt has the most liquidity and longest history.`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":665,"value":"slide`Using a one year lookback: \n\nETH has a beta of ${parseFloat(ethBeta).toFixed(4)} \n\nSNT has a beta of ${parseFloat(sntBeta).toFixed(4)}`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":679,"value":"slide`Using Beta we can arrive at our cost of capital of **${parseFloat(statusCostOfEquity * 100).toFixed(1)}%**\n\n*This can be used for the discount rate*\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":668,"value":"slide`Using a lookback period of ${betaLookback} days, we can see how SNT Beta changes overtime`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":904,"value":"md`## If some price data is missing the calculations will be off. This notebook relies on the cryptocompare api, so data quality maybe an issue`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":347,"value":"md`### SNT Rolling Beta Against BTC`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":294,"value":"vz.layer(rule, line)\n .width(800)\n .plot()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":382,"value":"md`### The biggest factor impacting cost of equity is beta`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":356,"value":"md`### Rolling cost of equity using CAPM formula`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":329,"value":"vz.layer(costEquityrule, costEquityLine)\n .width(800)\n .plot()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":400,"value":"md`### SNT Price`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":397,"value":"vz.layer(sntPriceRule, sntPriceLine)\n .width(800)\n .plot()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":722,"value":"slide`The market seems to support the hypothesis that a lower Beta lowers the cost of capital and therefore increases the Net Present Value of future value accrual\n`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":829,"value":"slide`By ploting the rolling Beta (${betaLookback} days lookback) against the SNT price change ${sntForwardNumberDays} days later we see that for every 1 unit increase in Beta we expect a ${forwardChangeRegression.m > 0 ? 'postive' : 'negitive'} change in price ${sntForwardNumberDays} days later. \n\nAn R-Squared of ${parseFloat(forwardChangeRsquared).toFixed(3)} indicates the Beta explains **${parseFloat(forwardChangeRsquared * 100).toFixed(2)}%** of the price movement.`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":554,"value":"vz.layer(rollingBetaRule, forwardPredictionline)\n .width(1000)\n .height(600)\n .plot()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":911,"value":"md`### The shape of this plot suggests the relationship maybe non-linear and a polynomial regression may find a better fit`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":818,"value":"slide`In the hard sciences an R-Squared of ~30% would be consistent with randomness. \n\n*However*\n\nIn the social sciences such a relationship could be very meaningful.`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":815,"value":"slide`While this test was constructed based on the hypothesis that beta influences cost of capital, the exact parameters for lookback and look forward days may have led to overfitting and is worth more rigorous testing`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":848,"value":"slide`What impact would adding debt to the mix of capital have on the cost of capital?`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":879,"value":"md`#### Do any Status organizations write off debt interest as an expense, if so the cost of debt maybe less (~30% less?)`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1173,"value":"md`#### Can / should a protocol ever have debt?`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":901,"value":"statusTaxRate = 0","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":850,"value":"viewof effectiveInterestRate = slider({\n min: 0, \n max: 0.2, \n step: 0.01, \n value: 0.015, \n title: \"Interest rate on debt taken on\", \n description: \"Default set to current Maker CDP rate\"\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":852,"value":"viewof percentDebtCapital = slider({\n min: 0, \n max: 0.75, \n step: 0.01, \n value: 0.01, \n title: \"Percentage of capital that consists of debt\", \n description: \"Increments in percentages of 1\"\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1140,"value":"md`### Once debt is introduced we use leveredBeta instead of Beta`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1127,"value":"leveredBeta = sntBeta * (1 + ((percentDebtCapital * 100) / ((1-percentDebtCapital) * 100)))","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":886,"value":"slide`Changing the amount of debt to ${percentDebtCapital * 100}% of capital at a ${effectiveInterestRate * 100}% interest rate changes the cost of capital from ${parseFloat(statusCostOfEquity*100).toFixed(2)}% to ${parseFloat(WACC*100).toFixed(2)}%\n\nA difference of $${costDifferenceDollars}`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1121,"value":"slide`Higher leverage should have higher betas than with less debt. When using debt the WACC uses levered Beta instead of Beta\n\n(Levered Beta) = Unlev Beta (1 + (Debt/Equity Ratio))`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":863,"value":"totalDebt = percentDebtCapital * sntMarketCap","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":865,"value":"totalEquity = (1 - percentDebtCapital) * sntMarketCap","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":870,"value":"WACC = ((totalEquity / sntMarketCap) * statusCostOfLeveredEquity) + ((totalDebt / sntMarketCap) * effectiveInterestRate)","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":894,"value":"costDifferenceDollars = ((statusCostOfEquity - WACC) * sntMarketCap).toLocaleString()","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":342,"value":"md`### Number of days of price data to use`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":25,"value":"numberOfDays = 603","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":488,"value":"md`### Number of days to look back for calculating the rolling beta`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":222,"value":"betaLookback = 60","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":359,"value":"md`#### TODO - get the 10-year treasury yields over time instead of using fixed value`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":156,"value":"riskFreeRate = 0.007","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":980,"value":"startDate = \"2017-07-01\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":984,"value":"momentStartDate = moment(startDate, \"YYYY-MM-DD\")","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1065,"value":"tBondData.dataset.data","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1069,"value":"getTBondYield = date => tBondData.dataset.data.find(day => moment(date).isSameOrAfter(day[0]) )","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":999,"value":"currentDate= `${moment().year()}-${moment().month() + 1}-${moment().date()}`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":988,"value":"daysSinceIco = moment().diff(momentStartDate, 'days')","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":27,"value":"btcUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=BTC&tsym=USD`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":202,"value":"ethUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=ETH&tsym=USD`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":33,"value":"sntUrl = `https://min-api.cryptocompare.com/data/histoday?fsym=SNT&tsym=USD`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":854,"value":"marketUrl = \"https://min-api.cryptocompare.com/data/top/mktcapfull?fsym=SNT&tsym=USD\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":856,"value":"marketCaps = {\n return (await (await fetch(marketUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":858,"value":"sntCapInfo = marketCaps.Data.find(data => data.CoinInfo.Name === \"SNT\")","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":860,"value":"sntMarketCap = 159026695","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1144,"value":"sntSupply = 6804870174.88 * 0.02335","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1146,"value":"sntPrice = 0.02335","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":29,"value":"btcDailyPrices = {\n return (await (await fetch(btcUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":75,"value":"dates = btcDailyPrices.Data.map(day => day.time * 1000)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":93,"value":"btcCloses = btcDailyPrices.Data.map(day => day.close)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":172,"value":"btcPercentChange = getPercentChange(btcCloses)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":79,"value":"datesLength = dates.length","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":204,"value":"ethDailyPrices = {\n return (await (await fetch(ethUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":206,"value":"ethCloses = ethDailyPrices.Data.map(day => day.close)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":208,"value":"ethPercentChange = getPercentChange(ethCloses)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":211,"value":"ethBeta = calculateBeta(ethPercentChange.slice(-365), btcPercentChange.slice(-365))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":38,"value":"sntDailyPrices = {\n return (await (await fetch(sntUrl)).json())\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":150,"value":"sntCloses = sntDailyPrices.Data.map(day => day.close)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":177,"value":"sntPercentageChange = getPercentChange(sntCloses)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":407,"value":"sntForwardChange = sntPercentageChange.map((change, idx) => {\n const start = idx + 1\n const end = idx + sntForwardNumberDays\n if (start >= sntPercentageChange.length || end >= sntPercentageChange.length) return 0\n const startClose = sntCloses[start]\n const endClose = sntCloses[end]\n return (endClose - startClose) / startClose\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":606,"value":"md`## SNT beta based on previous year is ${parseFloat(sntBeta).toFixed(2)}`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":184,"value":"sntBeta = calculateBeta(sntPercentageChange.slice(-365), btcPercentChange.slice(-365))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":216,"value":"sntEthBeta = calculateBeta(sntPercentageChange, ethPercentChange)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1148,"value":"ethCostOfEquity = calculateCostOfEquity(riskFreeRate, marketReturnExpectation, ethBeta)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":190,"value":"statusCostOfEquity = calculateCostOfEquity(riskFreeRate, marketReturnExpectation, sntBeta)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1135,"value":"statusCostOfLeveredEquity = calculateCostOfEquity(riskFreeRate, marketReturnExpectation, leveredBeta)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":221,"value":"sntRollingBeta = {\n return sntCloses.map((close, idx) => {\n if (idx < betaLookback) return 0\n let startIdx = idx - betaLookback\n return calculateBeta(sntPercentageChange.slice(startIdx, idx), btcPercentChange.slice(startIdx, idx))\n })\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":324,"value":"statusRollingCostOfEquity = sntRollingBeta.map(beta => calculateCostOfEquity(riskFreeRate, marketReturnExpectation, beta))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":495,"value":"sntForwardNumberDays = 30","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":753,"value":"regressionChartOffset = 0","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":535,"value":"rollingBetaRule = vz(rollingBetaData.slice(regressionChartOffset))\n .rule()\n .y('forwardChange')\n .x('rollingBeta')\n .point();","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":762,"value":"rollingBetaData.slice(regressionChartOffset).length","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":764,"value":"forwardChangeTrendline.length","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":550,"value":"forwardChangePredictionRule = vz(forwardChangeTrendline)\n .rule()\n .x('x')\n .y('y');","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":552,"value":"forwardPredictionline = forwardChangePredictionRule.copy().line().color('none');","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":541,"value":"forwardChangeTrendline = forwardChangeClean.map(data => ({ y: forwardChangePredictor(data[0]), x: data[0] }))","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":467,"value":"forwardChangeClean = rollingBetaData.map(data => [data.rollingBeta, data.forwardChange]).slice(regressionChartOffset)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":422,"value":"forwardChangeRegression = simpleStatistics.linearRegression(forwardChangeClean)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":537,"value":"forwardChangePredictor = simpleStatistics.linearRegressionLine(forwardChangeRegression)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":501,"value":"md`### rSquared of forward change regression`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":460,"value":"forwardChangeRsquared = simpleStatistics.rSquared(forwardChangeClean, simpleStatistics.linearRegressionLine(forwardChangeRegression))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":424,"value":"sntForwardChange.slice(betaLookback)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":238,"value":"rule = vz(rollingBetaData)\n .rule()\n .x('date', 't')\n .y('rollingBeta');","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":292,"value":"line = rule.copy()\n .line();","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":334,"value":"costEquityrule = vz(rollingBetaData)\n .rule()\n .x('date', 't')\n .y('rollingCostEquity');","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":336,"value":"costEquityLine = costEquityrule.copy()\n .line();","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":393,"value":"sntPriceRule = vz(rollingBetaData)\n .rule()\n .x('date', 't')\n .y('sntPrice');","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":395,"value":"sntPriceLine = sntPriceRule.copy()\n .line();","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":68,"value":"fields = [\n {\n name: 'date',\n type: { name: 'date', unit: 'MILLISECOND' },\n nullable: false, children: []\n },\n { name: 'btcClose',\n type: { name: 'floatingpoint', precision: 'SINGLE'},\n nullable: false, children: []\n },\n { name: 'sntClose',\n type: { name: 'floatingpoint', precision: 'SINGLE'},\n nullable: false, children: []\n },\n { name: 'sntRollingBeta',\n type: { name: 'floatingpoint', precision: 'SINGLE'},\n nullable: false, children: []\n },\n { name: 'statusRollingCostOfEquity',\n type: { name: 'floatingpoint', precision: 'SINGLE'},\n nullable: false, children: []\n },\n { name: 'sntForwardChange',\n type: { name: 'floatingpoint', precision: 'SINGLE'},\n nullable: false, children: []\n }\n]","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":67,"value":"pricesTable = Table.from({\n schema: { fields: fields },\n batches: [{ \n count: datesLength,\n columns: [\n {name: \"date\", count: datesLength, VALIDITY: [], DATA: dates },\n {name: \"btcClose\", count: btcCloses.length, VALIDITY:[], DATA: btcCloses },\n {name: \"sntClose\", count: sntCloses.length, VALIDITY:[], DATA: sntCloses },\n {name: \"sntRollingBeta\", count: sntRollingBeta.length, VALIDITY:[], DATA: sntRollingBeta },\n {name: \"statusRollingCostOfEquity\", count: statusRollingCostOfEquity.length, VALIDITY:[], DATA: statusRollingCostOfEquity },\n {name: \"sntForwardChange\", count: sntForwardChange.length, VALIDITY:[], DATA: sntForwardChange }\n \n ]\n }]\n})\n","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":277,"value":"rollingBetaData = (function () {\n const arr = [];\n for (const x of pricesTable) {\n const date = x.get(0)\n const sntPrice = x.get(2)\n const rollingBeta = x.get(3)\n const forwardChange = x.get(5)\n const riskFreeRate = getTBondYield(date)\n const rollingCostEquity = rollingBeta ? calculateCostOfEquity(riskFreeRate[1]/100, marketReturnExpectation, rollingBeta) : null\n if (rollingBeta) arr.push({ date, sntPrice, rollingBeta, rollingCostEquity, forwardChange, riskFreeRate })\n }\n return arr;\n}())","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":188,"value":"calculateCostOfEquity = (riskFree, marketReturn, beta) => riskFree + beta * (marketReturn - riskFree)","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":170,"value":"getPercentChange = prices => prices.map((price, i) => {\n if (!i) return 0\n let yesterdaysPrice = prices[i-1]\n return (price - yesterdaysPrice) / yesterdaysPrice\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":182,"value":"calculateBeta = (priceChanges, indexPriceChanges) => {\n return simpleStatistics.sampleCovariance(priceChanges, indexPriceChanges) / simpleStatistics.variance(indexPriceChanges)\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":45,"value":"Table = arrow.Table","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":40,"value":"arrow = require('https://bundle.run/apache-arrow@0.3.1')","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":179,"value":"simpleStatistics = require('simple-statistics')","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":4,"value":"import {secret} from \"@tmcw/secret\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":609,"value":"import {slide, slide_style} from \"@mbostock/slide\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":875,"value":"import {slider} from \"@jashkenas/inputs\"","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":982,"value":"moment = require('moment')","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":1055,"value":"$31","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":611,"value":"slide_style","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":236,"value":"vegaEmbed = require(\"vega-embed@3\")","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"},{"id":234,"value":"vz = {\n const vz = await require('@gjmcn/vizsla');\n vz.Vizsla.prototype.plot = function(opt) {\n return vegaEmbed(this.prep(), opt);\n };\n return vz;\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined"}],"files":"$W32","stdlib":"1","titling":"auto"}} 30:"$2f:body"