Machine Learning for Crypto Portfolio Management Case Study: Week 23
Over the last 5 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 saw more signs of trouble for the Nomics ML strategy. After a number of consecutive poor weeks, the results are starting to raise some eyebrows. 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 22 Results
The study so far has been a steady mix of shock and awe. Last week was no exception. As the market turned bullish, we watched Bitcoin experience a number of head-turning pumps. Although the previous weeks had been relatively unfortunate for the machine learning strategy, Nomics was able to turn around the recent failures and put up some big numbers.
The question remains: will Bitcoin performance ever be able to catch up to the Nomics ML Study?
#1 Bitcoin
Bitcoin saw reasonable gains throughout the week. Several mid-week pumps provided steady momentum for Bitcoin that has the potential to continue on into next week. The nearly 7% price increase this week was a refreshing change of pace for Bitcoin and hopefully marks a new bull run.
Bitcoin remains the worst performing portfolio in this study.
Final Bitcoin portfolio value: $1,343.56.
#2 Top 10 Index
Due to the reasonable 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 73% of the value in the portfolio.
After 5 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: $1,417.47.
#3 Coin Gecko
The Coin Gecko portfolio experienced similar performance results to each of the other portfolios this week. This ended up being the second-best performing portfolio out of the 4 portfolios being evaluated.
The biggest winner selected by the Coin Gecko strategy were:
Chainlink (LINK): +18.91% Last 7 days
Monero (XMR): +14.49% Last 7 days
Ethereum (ETH): +9.46% Last 7 days
Bitcoin Cash (BCH): +8.24% Last 7 days
Bitcoin (BTC): +7.03% Last 7 days
Stellar (XLM): +5.70% Last 7 days
EOS (EOS): +4.73% Last 7 days
There were no major losers selected by the Coin Gecko strategy.
Coin Gecko remains the second-best performing portfolio since the beginning of the study. This last week saw a relatively stale selection of assets. This could be attributed to most large-cap assets having only small performance changes over the last week.
Final Coin Gecko portfolio value: $1,572.94.
#4 Nomics ML
The Nomics Machine Learning strategy has kept its lead, outperforming all other portfolios this week. With a projected profit for this week of 13.47%, the last 7 days saw a reasonable 8.82% performance change. This week, the price predictions were closer than many recent weeks.
The biggest winners selected by the Nomics ML strategy were:
Ren (REN): +40.91% Last 7 days
Monero (XMR): +14.49% Last 7 days
Cosmos (ATOM): +11.42% Last 7 days
Zcash (ZEC): +10.68% Last 7 days
Binance Coin (BNB): +6.83% Last 7 days
Aragon (ANT): +5.93% Last 7 days
BitTorent Token (BTT): +5.37% Last 7 days
Maker (MKR): +3.99% Last 7 days
There were no major losers selected by the Nomics ML strategy.
After a few weeks of poor performance, it’s exciting to see the Nomics portfolio begin to surge once again. Hopefully, Nomics can continue making strong picks in the coming weeks.
Final Nomics ML portfolio value: $2,010.27.
Conclusions
The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. However, one trend that seems to be emerging is that the Nomics ML strategy performs exceptionally well during bull runs, but extremely poorly during bear markets.
This could potentially be attributed to assets having shorter runs during bear markets than when the entire market is going up. For example, during August, we saw a number of consecutive weeks where the same assets would perform incredibly well. However, during this brief bear market, there have been fewer assets that perform well in consecutive weeks.
Although this week didn’t see any major movements from the large-cap assets, we still managed to see Nomics perform poorly. We can’t wait to see what the next weeks bring.
Note: The conclusions drawn here are based on anecdotal evidence. Please take them with a grain of salt.
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 increase of 4.87% on Coinbase Pro over the last 7 days, XTSLabsCBP has outperformed 63% 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.
Week 23 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. Ren (REN)
Projected 7-day profit: +60.67%
2. THORChain (RUNE)
Projected 7-day profit: +42.57%
3. NEM (XEM)
Projected 7-day profit: +15.34%
4. Chainlink (LINK)
Projected 7-day profit: +14.18%
5. IOTA (IOTA)
Projected 7-day profit: +11.08%
6. Status (SNT)
Projected 7-day profit: +9.66%
7. Synthetix Network Token (SNX)
Projected 7-day profit: +8.77%
8. Monero (XMR)
Projected 7-day profit: +8.15%
9. Cosmos (ATOM)
Projected 7-day profit: +7.91%
10. Cardano (ADA)
Projected 7-day profit: +7.34%
Reminder: We are only including the assets that are available on Binance in this portfolio.
The average performance estimate is 18.57% 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): 72.89% Allocation
2. Ethereum (ETH): 14.87% Allocation
3. XRP (XRP): 3.33% Allocation
4. Binance Coin (BNB): 1.55% Allocation
5. Bitcoin Cash (BCH): 1.54% Allocation
6. Chainlink (LINK): 1.37% Allocation
7. Polkadot (DOT): 1.26% Allocation
8. Cardano (ADA): 1.21% Allocation
9. Litecoin (LTC): 1.13% Allocation
10. EOS (EOS): 0.85% Allocation
Note: No assets were added or removed from the index this week. 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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