Machine Learning for Crypto Portfolio Management Case Study: Week 16
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.
Bitcoin is the worst performing portfolio, while Nomics remains on top. 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 15 Results
The study so far has been a steady mix of shock and awe. This last week proved to be another crowning example of Nomics command of this study to date. We continue to see exceptional results from the machine learning strategy, but let’s not get ahead of ourselves.
The question remains: will Bitcoin performance ever be able to catch up to the Nomics ML Study?
#1 Bitcoin
Bitcoin poor performance this last week as the price fell early in the week and then remained down for the rest of the week. The volatility of the last few weeks was exciting since we had a rather long period of uneventful price movements for Bitcoin in the previous months.
Bitcoin remains the worst performing portfolio in this study.
Final Bitcoin portfolio value: $1,369.57.
#2 Top 10 Index
Due to the poor 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 72% 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: $1,479.70.
#3 Coin Gecko
The Coin Gecko portfolio experienced poor performance this week along with the Bitcoin and indexing strategy. This could be attributed to the price drop across the board for many of the high market cap assets.
The biggest winners selected by the Coin Gecko strategy:
NEO (NEO): +8.80% Last 7 days
The biggest losers selected by the Coin Gecko strategy were:
TRON (TRX): -19.04% Last 7 days
Chainlink (LINK): -12.28% Last 7 days
EOS (EOS): -10.97% Last 7 days
Stellar (XLM): -10.29% Last 7 days
Bitcoin Cash (BCH): -9.38% Last 7 days
XRP (XRP): -8.92% Last 7 days
Most assets selected by the Coin Gecko strategy performed positively last week. Coin Gecko is still the second-best performing portfolio since the beginning of this study.
Final Coin Gecko portfolio value: $1,682.78.
#4 Nomics ML
The Nomics Machine Learning strategy has kept its lead, continuing the legacy of outperforming other strategies like Bitcoin HODLing. However, with a projected profit of 57.63% for last week and an actual profit of 8.78%, we can say that Nomics slipped this week as it failed to live up to the inflated predictions. However, it still managed to be the only portfolio that performed positively this week.
The biggest winners selected by the Nomics ML strategy include:
OmiseGO (OMG): +108.76% Last 7 days
Aave (LEND): +20.12% Last 7 days
NEM (XEM): +15.46% Last 7 days
The biggest losers selected by the Nomics ML strategy were:
TRON (TRX): -19.04% Last 7 days
Waves (WAVES): -18.56% Last 7 days
Numeraire (NMR): -17.39% Last 7 days
Chilliz (CHZ): -15.01% Last 7 days
Overall, this week saw a mix of good and bad selections. Although OMG saw a +108.76% performance, the big losses from Tron, Waves, Numeraire, and Chilliz weighted heavily on the portfolio.
Final Nomics ML portfolio value: $3,529.42.
Conclusions
The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. 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.
Notable Leaders
We are excited to see the Nomics ML case study has inspired a wave of leaders that are leveraging the Nomics data to implement novel strategies.
This week, we will be highlight XTSLabs, who has ported a similar version of the MLCaseStudy portfolio to Coinbase Pro, Bittrex, and Binance US.
XTSLabs
XTSLabs currently runs 4 different leader profiles. These leader profiles include:
XTSLabsCBP - A Nomics ML portfolio being automated on Coinbase Pro.
XTSLabsBinUS - A Nomics ML portfolio being automated on Binance US.
XTSLabsBittrex - A Nomics ML portfolio being automated on Bittrex.
XTSLabsBin - A Nomics ML portfolio being automated on Binance.
Unlike the MLCaseStudy portfolio that is managed by the Shrimpy team, these portfolios leverage a 1% threshold rebalance. That allows each of these portfolios to rebalance throughout the week as the market becomes volatile.
With a portfolio increase of 11.97% on Coinbase Pro over the last 7 days, XTSLabsCBP has outperformed 90% of leaders on Shrimpy.
XTSLabs was also kind enough to provide the balance changes for these portfolios over time. Starting with an initial $1,000 balance for each portfolio, we can see how the performance of running this machine learning strategy changes based on the exchange.
Until today, the Coinbase Pro portfolio has performed the best out of the 4 different exchanges. After only a little more than one month, we can see the performance increase of the portfolio has crossed 50%. This vastly outperforms the market and Bitcoin.
Week 16 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. OmiseGO (OMG)
Projected 7-day profit: +119.52%
2. Golem (GNT)
Projected 7-day profit: +67.36%
3. Theta Token (THETA)
Projected 7-day profit: +47.18%
4. Cosmos (ATOM)
Projected 7-day profit: +45.12%
5. Aave (LEND)
Projected 7-day profit: +31.74%
6. Basic Attention Token (BAT)
Projected 7-day profit: +29.45%
7. 0x (ZRX)
Projected 7-day profit: +29.29%
8. ICON (ICX)
Projected 7-day profit: +23.43%
9. Enjin Coin (ENJ)
Projected 7-day profit: +20.81%
10. Komodo (KMD)
Projected 7-day profit: +18.46%
Reminder: We are only including the assets that are available on Binance in this portfolio.
The average performance estimate is 43.24% for the next 7 days for this portfolio. This is one of the most aggressive estimates we’ve had to date.
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 over the last few weeks, 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): 72.56% Allocation
2. Ethereum (ETH): 15.14% Allocation
3. XRP (XRP): 3.27% Allocation
4. Chainlink (LINK): 1.8% Allocation
5. Bitcoin Cash (BCH): 1.78% Allocation
6. Litecoin (LTC): 1.34% Allocation
7. Binance Coin (BNB): 1.08% Allocation
8. Cardano (ADA): 1.07% Allocation
9. EOS (EOS): 1.05% Allocation
10. Tezos (XTZ): 0.91% 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.
Follow Along with Shrimpy
Everyone can follow along with this study by tracking the portfolio changes and performance inside the Shrimpy application. We have created a leader on the Binance exchange named MLCaseStudy. This leader will be updated on a weekly bases to include the latest portfolio allocations.
Follow MLCaseStudy on Shrimpy.
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