Machine Learning for Crypto Portfolio Management Case Study: Week 11

 
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Over the last two months, our team has been tracking the performance of 4 different portfolio strategies. These include portfolios selected using Nomics Machine Learning, CoinGecko, market-cap indexing, and a simple Bitcoin HODL.

Up until this point, we have been thoroughly impressed by the results of the Nomics Machine Learning strategy. It has separated itself from the pack with steady performance results.

That’s enough about Nomics for now, let’s start digging into the results from the last week and see what we have lined up for the next week of the study!

Reminder: The methodology for this study was first outlined in our previous article.

Follow the progress of this study on Shrimpy.

Week 10 Results

The study so far has been a steady mix of shock and awe. As the Nomics ML strategy steadily pulled ahead of the competition, it has been hard to imagine a scenario where another strategy will be able to catch back up. While Bitcoin started strong in the first few weeks, it has since handed the reigns over to the Nomics ML strategy which has crowned itself king.

The question remains: will it last?

#1 Bitcoin

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Bitcoin saw uneventful performance in the last week when compared to the other portfolio strategies. We haven’t seen significant movement in either direction for the last few weeks, so Bitcoin hasn’t been the most exciting portfolio to hold recently.

Bitcoin is the worst performing portfolio of any we are testing.

Final Bitcoin portfolio value: $1,068.39.

#2 Top 10 Index

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Due to the mediocre performance of Bitcoin, it was expected that a portfolio based on a market-weighted index would also experience similar performance over the course of the last week since Bitcoin held approximately 75% of the value in the portfolio.

As the portfolio continues to rebalance, we will be able to better understand how the portfolio will deviate from the simple Bitcoin HODL portfolio.

Final Top 10 Index portfolio value: $1,093.58.

#3 Coin Gecko

The Coin Gecko portfolio experienced similarly poor performance results over the week.

The biggest winner selected by the Coin Gecko strategy:

  • Stellar (XLM): +4.59% Last 7 days

The biggest losers selected by the Coin Gecko strategy:

  • Cardano (ADA): -5.62% Last 7 days

  • Litecoin (LTC): -4.65% Last 7 days

  • Bitcoin Cash (BCH): -3.81% Last 7 days

There was only one major winner this week for the Coin Gecko strategy (Stellar). The majority of the assets were negative or near 0% performance this last week. Coin Gecko is now the second best performing portfolio, which is a positive sign for this portfolio option.

Final Coin Gecko portfolio value: $1,1144.10.

#4 Nomics ML

The Nomics Machine Learning strategy has maintained a healthy lead against the competition. The projected profit from last week was +48.74% across all of the selected assets. With a final portfolio performance of +10.83%, the portfolio was able to track the projections relatively well (although under-performing the predictions) and was also the best performing portfolio this last week.

The biggest winners selected by the Nomics ML strategy include:

  • Aave (LEND): +48.95% Last 7 days

  • Algorand (ALGO): +32.89% Last 7 days

  • iExec RLC (RLC): +37.98% Last 7 days

The biggest losers selected by the Nomics ML strategy was:

  • Elrond (ERD): -11.48% Last 7 days

  • BitTorent Token (BTT): -4.20% Last 7 days

Overall, this week saw mostly great asset selections. The only two assets that performed negatively from the selected assets were Elrond and BitTorent Token.

Final Nomics ML portfolio value: $2,111.20.

Conclusions

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The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. We cannot use this to predict future performance, but the results are promising.

Note: The purpose of this study is to evaluate each of these strategies over the long-term. We cannot yet draw any conclusions for the long-term potential of these strategies after only a few weeks. As a result, we should take these results with a grain of salt.

Week 11 Strategy Changes

Now that we have covered the results from the last week, it’s time to break down how we will change each of these portfolios for the coming week.

Nomics ML Strategy

The Nomics ML Strategy leverages the 7-day price predictions generated by the Nomics ML engine. These price predictions are then used to determine which assets should be placed into our portfolio for this week. Additional information regarding the methodology can be found in our previous article.

Portfolio Allocations

The following assets were allocated exactly 10% of the portfolio value for the second week of this study.

1. Swipe (SXP)

  • Projected 7-day profit: +158.23%

2. Band Protocol (BAND)

  • Projected 7-day profit: +108.25%

3. Synthetix Network Token (SNX)

  • Projected 7-day profit: +53.01%

4. Aave (LEND)

  • Projected 7-day profit: +48.96%

5. Algorand (ALGO)

  • Projected 7-day profit: +42.02%

6. Waves (WAVES)

  • Projected 7-day profit: +36.36%

7. iExec RLC (RLC)

  • Projected 7-day profit: +34.14%

8. NEM (XEM)

  • Projected 7-day profit: +12.59%

9. Ontology (ONT)

  • Projected 7-day profit: +10.71%

10. Horizen (ZEN)

  • Projected 7-day profit: +9.38%

Reminder: We are only including the assets that are available on Binance in this portfolio. Notice that although Holo (HOT) was in the top 10 predictions this week, it was removed due to high spread.

The average performance estimate is 51.37% for the next 7 days for this portfolio.

Coin Gecko Score Strategy

The Coin Gecko Score Strategy uses the “Gecko” score that is calculated by the popular data site “CoinGecko”. These asset scores are used to determine the most promising long-term assets that should be included in a portfolio. Additional information regarding the methodology can be found in our previous article.

Portfolio Allocations

The following assets were allocated exactly 10% of the portfolio value for the first week of this study.

1. Bitcoin (BTC) - Score: 82%

2. Ethereum (ETH) - Score: 74%

3. EOS (EOS) - Score: 68%

4. XRP (XRP) - Score: 67%

5. Stellar (XLM) - Score: 65%

6. Bitcoin Cash (BCH) - Score: 65%

7. TRON (TRX) - Score: 64%

8. Chainlink (LINK) - Score: 64% [New Addition]

9. NEO (NEO) - Score: 63%

10. Monero (XMR) - Score: 63% [New Addition]

Note: There were two new assets added to the CoinGecko index. These were Chainlink and Monero. Each of these assets will be added to the strategy and bought during the next rebalance. All assets will maintain a 10% allocation and rebalance to re-align current allocations with the target allocations.

Coin Market Cap Index Strategy

The Coin Market Cap Index Strategy uses the asset market caps that are calculated by “CoinMarketCap” to determine which assets should be included in the portfolio. Additional information regarding the methodology can be found in our previous article.

Portfolio Allocations

The allocations for the Top 10 Index portfolio strategy will be the following this week.

1. Bitcoin (BTC): 75.18% Allocation

2. Ethereum (ETH): 11.75% Allocation

3. XRP (XRP): 4.33% Allocation

4. Bitcoin Cash (BCH): 1.83% Allocation

5. Cardano (ADA): 1.36% Allocation

6. Litecoin (LTC): 1.21% Allocation

7. Binance Coin (BNB): 1.21% Allocation

8. Chainlink (LINK): 1.15% Allocation

9. EOS (EOS): 1.06% Allocation

10. Tezos (XTZ): 0.92% Allocation

Note: No new assets were added or removed from last week’s index. We will just adjust the allocations to match the new percentages and execute a single rebalance operation.

Bitcoin Hold Strategy

The most simple of the strategies we will be exploring is a simple Bitcoin HODL. The Bitcoin HODL strategy will allow us to benchmark these other strategies against the price performance of Bitcoin. Additional information regarding the methodology can be found in our previous article.

Portfolio Allocations

100% Bitcoin

Note: There will be no changes or rebalances for the Bitcoin HODL portfolio.

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InvestorMichael McCartydata, notlatestComment