Machine Learning for Crypto Portfolio Management Case Study: Week 8

 
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Over the last month, 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.

Up until this point, we have been thoroughly impressed by the results of the Nomics Machine Learning strategy. It has separated itself from the pack with steady performance results over the last 7 weeks.

That’s enough about Nomics for now, let’s start digging into the results from the last week and see what we have lined up for our 8th week of the study!

Reminder: The methodology for this study was first outlined in our previous article.

Follow the progress of this study on Shrimpy.

Week 7 Results

The study has only been running for seven weeks so far, but every week so far has been a shocker! While the first week showed a strong preference for Bitcoin, the Nomics ML strategy has taken the reigns and crowned itself king. The question remains: will it last?

#1 Bitcoin

nomics results 6.22.2020.PNG

Bitcoin saw poor performance (like most cryptocurrencies) in the last week. We only began to see some upward trending movements towards the end of the week, so we might be able to see some fun price action next week.

After the seventh week of our study, Bitcoin has the second lowest performance of any strategy we are testing.

Final Bitcoin portfolio value: $1,071.47.

#2 Top 10 Index

top 10 index results 6.29.20.PNG

Due to the mediocre 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 77% 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: $1,077.15.

#3 Coin Gecko

CoinGecko results 6.29.2020.PNG

The Coin Gecko portfolio experienced poor performance results over the week.

The biggest losers selected by the Coin Gecko strategy include:

  • Stellar (XLM): -9.48% Last 7 days

  • EOS (EOS): -7.82% Last 7 days

  • Bitcoin Cash (BCH): -6.44% Last 7 days

There were no major winners selected by the Coin Gecko strategy. Out of the 4 portfolios we are studying, Coin Gecko is still performing the worst.

Final Coin Gecko portfolio value: $1,050.54.

#4 Nomics ML

nomics results 6.29.2020.PNG

The Nomics Machine Learning strategy has maintained a healthy lead against the competition. The projected profit from last week was +23.56% across all of the selected assets. With a final portfolio performance of -6.16%, the portfolio drastically underperformed the projections, and was the worst performing portfolio this week.

The biggest winners selected by the Nomics ML strategy include:

  • Ren (REN): +12.74% Last 7 days

  • Basic Attention Token (BAT): +6.93% Last 7 days

The biggest losers selected by the Nomics ML strategy include:

  • Golem (GNT): -16.01% Last 7 days

  • Siacoin (SC): -15.48% Last 7 days

  • Chiliz (CHZ): -13.37% Last 7 days

Overall, this week saw mostly poor asset selections. REN and BAT were the only assets that had a positive return this week.

Final Nomics ML portfolio value: $1,563.00.

Conclusions

The Nomics ML strategy has maintained a steady lead over the other strategies since the second week of this study. We cannot use this to predict future performance, but the results are promising.

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 weeks. As a result, we should take these results with a grain of salt.

Week 8 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: +34.21%

2. Bitcoin Diamond (BCD)

  • Projected 7-day profit: +22.89%

3. Bancor (BNT)

  • Projected 7-day profit: +21.09%

4. Bitcoin Gold (BTG)

  • Projected 7-day profit: +14.78%

5. NEM (XEM)

  • Projected 7-day profit: +14.6%

6. DigiByte (DGB)

  • Projected 7-day profit: +14.32%

7. Basic Attention Token (BAT)

  • Projected 7-day profit: +11.23%

8. Chainlink (LINK)

  • Projected 7-day profit: +10.14%

9. BitShares (BTS)

  • Projected 7-day profit: +6.15%

10. Zcash (ZEC)

  • Projected 7-day profit: +5.24%

Reminder: We are only including the assets that are available on Binance in this portfolio.

The average performance estimate is 15.47% 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.

Portfolio Allocations

The following assets were allocated exactly 10% of the portfolio value for the first week of this study.

1. Bitcoin (BTC) - Score: 87%

2. Ethereum (ETH) - Score: 79%

3. EOS (EOS) - Score: 72%

4. XRP (XRP) - Score: 71%

5. TRON (TRX) - Score: 70%

6. Bitcoin Cash (BCH) - Score: 70%

7. Stellar (XLM) - Score: 69%

8. NEO (NEO) - Score: 68%

9. Litecoin (LTC) - Score: 68%

10. Monero (XMR) - Score: 68%

Note: There were no changes to the portfolio from last week. That means we will leave the allocations at 10% for each of the above assets and simply rebalance the portfolio one time.

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): 76.44% Allocation

2. Ethereum (ETH): 11.48% Allocation

3. XRP (XRP): 4.39% Allocation

4. Bitcoin Cash (BCH): 1.87% Allocation

5. Litecoin (LTC): 1.22% Allocation

6. Binance Coin (BNB): 1.09% Allocation

7. EOS (EOS): 1.00% Allocation

8. Cardano (ADA): 0.98% Allocation

9. Tezos (XTZ): 0.8% Allocation

10. Chainlink (LINK): 0.73% Allocation

Note: No new assets were added or removed from last week’s index. We will also 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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InvestorMichael McCartydata, notlatest, topsectionComment