Machine Learning for Crypto Portfolio Management Case Study: Week 19
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.
The last week started to see some signs of recovery from the previous week’s dump, and although it has been facing some difficulty gaining some footing, Nomics has still managed to maintain its lead. Bitcoin continues to struggle relative to the other portfolio strategies we are studying. 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 18 Results
The study so far has been a steady mix of shock and awe. Last week was no exception. As the market turned bearish the last few weeks, we watched Bitcoin start its recovery. Although the previous weeks had become relatively unfortunate for the machine learning strategy, Nomics continued to take some aggressive blows this week.
The question remains: will Bitcoin performance ever be able to catch up to the Nomics ML Study?
#1 Bitcoin
Bitcoin saw a small drop in price early in the week. Although the price stabilized and started to climb by the end of the week, the results this week were only moderate.
Bitcoin remains the worst performing portfolio in this study.
Final Bitcoin portfolio value: $1,243.46.
#2 Top 10 Index
Due to the moderate 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.
After 3 months of rebalancing the index-based portfolio, it’s interesting to see how it is slowly outperforming Bitcoin. This could suggest that rebalancing a portfolio that has a heavy allocation to Bitcoin is still valuable.
Final Top 10 Index portfolio value: $1,335.77.
#3 Coin Gecko
The Coin Gecko portfolio experienced the second-worst performance this week among the 4 different portfolio strategies that are being tested. This could be attributed to the extremely poor performance from Ethereum, Chainlink, and Stellar.
The biggest winners selected by the Coin Gecko strategy:
NEO (NEO): +22.82% Last 7 days
Monero (XMR): +11.24% Last 7 days
Ethereum (ETH): +7.27% Last 7 days
The biggest losers selected by the Coin Gecko strategy were:
TRON (TRX): -4.71% Last 7 days
Coin Gecko remains the second-best performing portfolio since the beginning of the study. This last week saw a reasonable selection of assets that returned similar results to a simple Bitcoin strategy. The majority of the selected assets performed positively, but generally, most were around the 0% performance mark.
Final Coin Gecko portfolio value: $1,549.29.
#4 Nomics ML
The Nomics Machine Learning strategy has kept its lead, although it experienced a significant slip this week in performance. With a projected profit of 8.81% for the last 7 days and an actual profit of -5.55%, we can say that Nomics completely failed to live up to the inflated predictions. Over the course of the last week, Nomics was once again the worst-performing portfolio.
The biggest winners selected by the Nomics ML strategy include:
Binance Coin (BNB): +36.42% Last 7 days
The biggest losers selected by the Nomics ML strategy were:
BitShares (BTS): -47.70% Last 7 days
NEM (XEM): -7.41% Last 7 days
TRON (TRX): -4.71% Last 7 days
Overall, this week felt disappointing. Even though Nomics only selected 4 assets to perform positively, only 1 of the 4 actually ended up having a positive outcome by the end of the week. Binance Coin was the only positively performing asset selected by the Nomics ML strategy. Every other asset was once again in the red.
After a few weeks of poor performance, Nomics has been struggling to return to its glory days.
Final Nomics ML portfolio value: $2,436.26.
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 slip in the Nomics ML strategy, 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. However, he has added elements of rebalancing in an attempt to maximize the results of the Nomics portfolio strategy.
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 decrease of -0.55% on Coinbase Pro over the last 7 days, XTSLabsCBP has outperformed only 17% of leaders on Shrimpy. This was largely expected due to the poor selections by Nomics this week as we saw in the earlier discussion.
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.
Week 19 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. Loopring (LRC)
Projected 7-day profit: +40.92%
2. Binance Coin (BNB)
Projected 7-day profit: +36.79%
3. Ontology (ONT)
Projected 7-day profit: +31.61%
4. Theta Token (THETA)
Projected 7-day profit: +25.01%
5. Waves (WAVES)
Projected 7-day profit: +19.26%
6. NEO (NEO)
Projected 7-day profit: +17.69%
7. ICON (ICX)
Projected 7-day profit: +17.02%
8. Aave (LEND)
Projected 7-day profit: +16.67%
9. Aragon (ANT)
Projected 7-day profit: +15.92%
10. IOST (IOST)
Projected 7-day profit: +10.09%
Reminder: We are only including the assets that are available on Binance in this portfolio.
The average performance estimate is 23.098% 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.
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): 71.97% Allocation
2. Ethereum (ETH): 15.27% Allocation
3. XRP (XRP): 3.53% Allocation
4. Polkadot (DOT): 1.61% Allocation
5. Bitcoin Cash (BCH): 1.61% Allocation
6. Chainlink (LINK): 1.51% Allocation
7. Binance Coin (BNB): 1.49% Allocation
8. Litecoin (LTC): 1.17% Allocation
9. EOS (EOS): 0.94% Allocation
10. Cardano (ADA): 0.9% Allocation
Note: Tron was removed from the index this week and replaced with Cardano. 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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