Machine Learning for Crypto Portfolio Management Case Study: Week 27
Over the last 6 months, our team has been tracking the performance of 4 different portfolio strategies. These include portfolios selected using Machine Learning, CoinGecko, market-cap indexing, and a simple Bitcoin HODL.
The last week saw Bitcoin putting up some impressive numbers. Although all the portfolios experienced growth this week, Bitcoin was no doubt the star of the show. After a number of consecutive poor weeks from the machine learning strategy, the results are starting to raise some eyebrows. 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 26 Results
The study so far has been a steady mix of shock and awe. Last week was no exception. Bitcoin put up huge numbers last week as the price skyrocketed to nearly $15,500. By the end of the week, Bitcoin settled for an outstanding 12.90% price increase.
Although Bitcoin took the spotlight, other strategies like CoinGecko weren’t far behind. After months of asking the question of whether Bitcoin will ever catch up to the performance of the machine learning strategy, we can definitively say: Yes. Bitcoin is more than capable of catching and even surpassing the performance of the other strategies in this study. However, we still wonder if it will be able to maintain it’s trajectory and continue the steady growth.
#1 Bitcoin
Bitcoin saw fantastic gains throughout the week. The large price spike early in the week eventually stabilized and closed the week with a 12.90% price increase. Although the second half of the week saw less volatility for Bitcoin, it allowed the market to stabilize and hopefully provide additional support for continuous growth into next week. The continued growth for Bitcoin over the last three weeks paints a hopeful future for Bitcoin reaching all-time highs in the coming months.
Bitcoin is no longer the worst performing portfolio in this study.
Final Bitcoin portfolio value: $1,772.54.
#2 Top 10 Index
Due to the steady 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 6 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: $1,778.27.
#3 Coin Gecko
The Coin Gecko portfolio experienced moderate performance this week, due to the strong performance of Bitcoin and some other large cap assets. This ended up being the worst performing portfolio out of the 4 portfolios being evaluated.
CoinGecko is still the worst performing portfolio out of the 4 portfolios being studied.
The biggest winners selected by the Coin Gecko strategy were:
Chainlink (LINK): +17.59% Last 7 days
Ethereum (ETH): +15.96% Last 7 days
Bitcoin (BTC): +13.05% Last 7 days
The biggest losers selected by the Coin Gecko strategy this week were:
Monero (XMR): -2.16% Last 7 days
Coin Gecko is now the worst performing portfolio since the beginning of the study. This last week saw a reasonable selection of assets, but other portfolios still managed to outperform CoinGecko. This could be attributed to some large-cap assets having only small performance changes over the last week.
Final Coin Gecko portfolio value: $1,600.50.
#4 Nomics ML
The Nomics Machine Learning strategy has kept its lead, but was the second-worst performing portfolio this week. With a projected profit for this week of 2.04%, the last 7 days outperformed the projection with a +7.11% performance change. This week, the price predictions exceeded our expectations, which was a good reversal from the trend we’ve been seeing in previous weeks.
The biggest winners selected by the Nomics ML strategy were:
Ocean Protocol (OCEAN): +25.03% Last 7 days
NEM (XEM): +25.76% Last 7 days
Wrapped Bitcoin (WBTC): +13.28% Last 7 days
Bitcoin (WBTC): +13.05% Last 7 days
DigiByte (DGB): +4.24% Last 7 days
There were no losers selected by the Nomics ML strategy this week.
After numerous weeks of poor performance, it’s great to see Nomics reversing the trend. Nomics was able to identify 5 assets that performed positively. 2 of those assets performed even better than Bitcoin, which had a fantastic week. Hopefully, the machine learning strategy can continue the trend and turn the previous losing streak around.
Final Nomics ML portfolio value: $1,871.57.
Conclusions
The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. However, that all changed this week when Bitcoin overtook the Nomics ML strategy for the first time since the second week of the study. Although it was only for a single day, it’s a signal that the machine learning strategy no longer has the strong footing it once had.
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 +14.35% on Bittrex over the last 7 days, XTSLabsBittrex has outperformed 92% of leaders on Shrimpy. This is an outstanding result that even outperformed Bitcoin.
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.
The Bittrex portfolio has just overtaken Coinbase Pro as the best performing portfolio out of the 4 different exchanges that are supported by XTSLabs.
Week 27 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. Band Protocol (BAND)
Projected 7-day profit: +52.98%
2. THORChain (RUNE)
Projected 7-day profit: +50.31%
3. Aave (AAVE)
Projected 7-day profit: +49.96%
4. Synthetix Network Token (SNX)
Projected 7-day profit: +46.98%
5. Decentraland (MANA)
Projected 7-day profit: +43.1%
6. Solana (SOL)
Projected 7-day profit: +29.81%
7. Decred (DCR)
Projected 7-day profit: +25.47%
8. NEM (XEM)
Projected 7-day profit: +22.1%
9. Golem (GNT)
Projected 7-day profit: +21.81%
10. Reserve Rights (RSR)
Projected 7-day profit: +19.00%
Reminder: We are only including the assets that are available on Binance in this portfolio.
The average performance estimate is 36.15% 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): 76.38% Allocation
2. Ethereum (ETH): 13.69% Allocation
3. XRP (XRP): 2.62% Allocation
4. Chainlink (LINK): 1.34% Allocation
5. Bitcoin Cash (BCH): 1.31% Allocation
6. Binance Coin (BNB): 1.09% Allocation
7. Litecoin (LTC): 1.04% Allocation
8. Polkadot (DOT): 1.01% Allocation
9. Cardano (ADA): 0.89% Allocation
10. EOS (EOS): 0.63% 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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