Looks like we had an opportunity to explore the arbitrage spread between BRL / USD using bitcoin in August. It existed until late September but closed in 2 days, coming back from 20% to 7%. Another window was back in May.17, but it lasted for shorter than the Aug one, which is interesting. Do you guys agree? How could be possible that the market let this happen for longer than it has previously occurred? Is there a lack of transactional liquidity in Brazil that didn´t allow crypto traders to take advantage of those arbitrage opportunity as they would like to? Please share your thoughts. RMG
I think a btcbrl arbritage system could work v well. I explored that earlier but dropped due to technical difficulties hedging my usdbrl exposure.
Apart from the drivers mentioned by andre below i believe the spread tends to widen when btcusd is rallying cause of momentum and fear of missing out (fomo) effects.
If btcusd is to rally again i believe the spread should widen.
The difficulties in implementing this system is having a foreign account and the capital control limits in brazil besides hedging the usd exposure as i mentioned.
You could play reverse as well betting on a mean reversion of the spread. Therefore you should buy btcbrl now and sell when the spread returns to its realised avg above current levels. Effectively playing the usd...
AndrePassamaniCasteloBranco
⋅
Amazing! It's challenger find a clear pattern in such complex matter.
It perhaps have a strong link with sharp price changing.
First of all, comparing in a wider range period, avoiding spurious correlation at all cost.
1- Categorizing movement drivers:
a)Technologic Uncertainties (Forks).
b)Regulatory & Political events (May 17).
Both are often sources of gap creation. Cause it change the value perception globally and in Brazil in different ways.
2- Following statistics principles, we must assume our analysis fragility based on SMALL SAMPLE available. Create hypothesis and look for consistency on backtesting. Cleaning DATA from exchange rate is also fundamental.
3- Best guess: first 15 days of September, BTC plunged steadily. But in Brazil, for protectionism (well-known) reasons, demand fell lesser. A reasonable interpretation is: the "anti-currency" BTC has greater value hedging portfolio against Hyperinflation/CDS stress scenarios. This "b" case, offered long-term investors buying triggers at down trends.
From 12 Jun to 16 Jul price fell for reasons "a" but arbitrage didn't follow September pathway. Probably due to type "b" events causes different market reactions in crypto environment.
Don't be naïve building a biased-ever-winning-model, using linear equations for complex variables problems. It's dangerous making long predictions on CHAOTIC systems. The only sure that this opportunity window will repeat, given high and recurring @brlusd fluctuations. As long as this still be a new and small market, there will be free-lunch to the pioneers.
Apart from the drivers mentioned by andre below i believe the spread tends to widen when btcusd is rallying cause of momentum and fear of missing out (fomo) effects.
If btcusd is to rally again i believe the spread should widen.
The difficulties in implementing this system is having a foreign account and the capital control limits in brazil besides hedging the usd exposure as i mentioned.
You could play reverse as well betting on a mean reversion of the spread. Therefore you should buy btcbrl now and sell when the spread returns to its realised avg above current levels. Effectively playing the usd...