Machine Learning for Crypto Portfolio Management Case Study: Week 12
Over the last three 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.
While Bitcoin has been on the rise this week, it has created a bloodbath for many of the DeFi and lower cap assets that had been performing exceptionally well in previous weeks.
This shake up was a blow to the Nomics ML strategy, but not enough to reduce its total performance below that of other strategies in the study. Keep reading for the rest of the discussion!
Reminder: The methodology for this study was first outlined in our previous article.
Follow the progress of this study on Shrimpy.
Week 11 Results
The study so far has been a steady mix of shock and awe. Previous weeks have been dominated by the Nomics ML strategy, but that all came crashing down this week when Bitcoin broke out.
The question remains: will Bitcoin performance catch up to the Nomics ML Study?
#1 Bitcoin
Bitcoin saw exceptional performance this last week as it broke out in parabolic fashion. After weeks of uneventful price movements from Bitcoin, this performance has cased a spike in excitement throughout the crypto market.
Bitcoin was one of the best performing assets over the week.
Final Bitcoin portfolio value: $1,304.83.
#2 Top 10 Index
Due to the stellar 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.
We saw a slight performance increase over the Bitcoin HODL portfolio because Ethereum also had an exceptional week. Ethereums performance was +38% over the week.
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: $1,346.15.
#3 Coin Gecko
The Coin Gecko portfolio experienced relatively good performance results over the last week. This could be attributed to the two stars of the show - Bitcoin and Ethereum.
The biggest winner selected by the Coin Gecko strategy:
Ethereum (ETH): +38% Last 7 days
Bitcoin (BTC): +22.5% Last 7 days
The biggest loser selected by the Coin Gecko strategy:
Chainlink (LINK): -4.5% Last 7 days
There was only one major loser this week for the Coin Gecko strategy (Chainlinnk). The majority of the assets were positive or near 0% performance this last week. Coin Gecko is now the worst performing portfolio.
Final Coin Gecko portfolio value: $1,288.79.
#4 Nomics ML
The Nomics Machine Learning strategy experienced a major blow this week when it dropped by 10%. With a projected profit of 51.37% for last week, a -10% was a major miss by Nomics.
The biggest winner selected by the Nomics ML strategy include:
Horizen (ZEN): +8.32% Last 7 days
The biggest losers selected by the Nomics ML strategy was:
iExec RLC (RLC): -28.63% Last 7 days
Aave (LEND): -24.03% Last 7 days
Synthetix Network Token (SNX): -24.87% Last 7 days
Overall, this week saw mostly poor asset selections. The only asset that performed positively from the selected assets was Horizen.
Final Nomics ML portfolio value: $1897.97.
Conclusions
The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. Although this week saw a major blow to the Nomics ML portfolio performance, we can’t wait to see what the next weeks bring. We cannot use this to predict future performance, but the results are exciting.
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 months. As a result, we should take these results with a grain of salt.
Week 12 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. Elrond (ERD)
Projected 7-day profit: +72.15%
2. Ethereum (ETH)
Projected 7-day profit: +26.37%
3. Bitcoin Gold (BTG)
Projected 7-day profit: +11.42%
4. Litecoin (LTC)
Projected 7-day profit: +9.38%
5. FTX Token (FTT)
Projected 7-day profit: +7.48%
6. Zcash (ZEC)
Projected 7-day profit: +5.38%
7. XRP (XRP)
Projected 7-day profit: +3.02%
8. Cardano (ADA)
Projected 7-day profit: +2.72%
9. Bitcoin Cash (BCH)
Projected 7-day profit: +2.62%
10. Tether (USDT)
Projected 7-day profit: +0%
Reminder: We are only including the assets that are available on Binance in this portfolio. Notice for the first time that USDT has been added to the portfolio in the tenth slot. That means there were no other assets that were predicted to perform better than 0% over the next 7 days.
The average performance estimate is 15.05% for the next 7 days for this portfolio. This is one of the lowest, if not the lowest projected performance for the Nomics ML portfolio since the beginning of the study.
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.
Update: Unfortunately, sometime last week, Coin Gecko has decided to stop publishing a “Gecko” score. We are unsure why this is the case, but this will force us to use the last “Gecko” score we were able to collect from their website.
Portfolio Allocations
The following assets were allocated exactly 10% of the portfolio value for the first week of this study.
1. Bitcoin (BTC) - Last Available Score: 82%
2. Ethereum (ETH) - Last Available Score: 74%
3. EOS (EOS) - Last Available Score: 68%
4. XRP (XRP) - Last Available Score: 67%
5. Stellar (XLM) - Last Available Score: 65%
6. Bitcoin Cash (BCH) - Last Available Score: 65%
7. TRON (TRX) - Last Available Score: 64%
8. Chainlink (LINK) - Last Available Score: 64%
9. NEO (NEO) - Last Available Score: 63%
10. Monero (XMR) - Last Available Score: 63%
Note: From now until the end of the study, the Coin Gecko assets will remain the same. 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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