Adaptive Asset Allocation for Cryptocurrencies

Diversification Model for Investment Portfolio

Fees per order:
Inception:
Update time:

Portfolio Total Return

Since Monday the :
Indicators
Linear

Performance since Inception

Average return:
Portfolio return:
Bitcoin return:
Max. drawdown:
Downside deviation:
Sortino ratio:
Short position:
Portfolio liquidity:
Period:
Profitable week:
Average gain:
Average loss:

Portfolio Structure

Last table update:

Notes

The return of positions is expressed in US dollars while long and short are open against Bitcoin. For this reason the return of a position may be negative against BTC and positive in U.S. dollar in some cases where the yield of Bitcoin is positive.

Portfolios only trade the pairs listed in Bitcoin so that it is the currency selected as a default option when there is no better choice available. This can result in 100% of a portfolio being allocated in Bitcoin.

About me

Hi, I’m a crypto enthusiast and quant geek with engineering background. In 2014 I started modeling trading strategies with data from traditional markets like U.S. stocks and forex and it didn’t take long until I figured out cryptocurrencies and blockchain based digital assets were promised to a bright future. Then cryptoportfolio.io was born to share my work with others.

Like it ? Buy me a coffee, I accept Bitcoin and Ether !

BTC : 1AWa1SJ2eVLSBJcdkLqPpp2wGH5BHArtW6

ETH : 0xDCb69B4A5dE1CD1CfB4D8795008BEFD8a523BaD3

About Cryptoportfolio.io

Cryptoportfolio.io provides investors with virtual portfolios of cryptocurrencies and digital assets issued by blockchain startups. Cryptoportfolio.io proposes a solution against the problem of large price fluctuation in the cryptocurrency market, also known as volatility and investment risk. How? by offering two diversified portfolios that periodically adapt to recent market developments.

How are cryptocurrencies and digital assets decided?

Cryptocurrencies and digital assets are selected every Monday 00:15 am UTC and remain in the portfolio for 7 consecutive days. They are choosen on the basis of their ability to generate profit and diversify the portfolio effectively. The quality of a cryptocurrency is evaluated by a score calculated with recent market data. The score is a quality index that takes into account the strength of the trend, the volatility and the correlation of a cryptocurrency with a set of pre-selected cryptocurrencies. Then the best top n cryptocurrencies and digital assets is allocated to the portfolio.

Why portfolios are virtual?

Real market data are used to build portfolios assets composition and to update holding returns every 10 minutes. However they remain virtual and it is not possible to invest directly in one of the portfolios. If you want to use it to diversify your investment in cryptocurrencies and blockchain based tokens, then you can manually copy or duplicate the composition of a portfolio with your own trading account on the Poloniex exchange plateform. Poloniex is a place where you can buy and sell cryptocurrencies and digital assets.

How to duplicate a portfolio?

To duplicate a portfolio you must first open an account on the cryptocurrencies exchange platform Poloniex and transfer there the capital that you wish to invest and you’re willing to lose. Please keep in mind that everything can happen and nothing is safe in the crypto world! When finished, wait for the next portfolio update on Monday at 00:15am UTC and purchase and or sell cryptocurrencies and digitals assets in orders to match the new portfolio composition of the week.

What does long and short mean?

Long and short indicates the direction of a position or trade. A long position means that you buy an asset with the hope that it will become more valuable at a future date, while a short position means that you borrow money and sell an asset with the hope that it’s price will decline. Then if everything goes well you bought the asset back and return the money. Return of a long becomes positive when the price increases and the return of a short becomes positive when the price falls.

What does weight mean?

Portfolio weight is the percentage composition of a particular holding in a portfolio. It indicates how important a cryptocurrency or a digital asset is in relation to others assets in the portfolio. It is expressed as a percentage of the capital invested on Monday – at the time of the recomposition. Portfolio weights of the High Liquidity Portfolio are function of the quality of the assets whereas portfolio weights of the Medium Liquidity Portfolio are all equal.

How to copy a position?

To copy a long position you must go to the EXCHANGE section of Poloniex. Then go to the page of this cryptocurrency expressed in Bitcoin (eg ETH / BTC for Ethereum) and enter the desired quantity and the purchase price in the BUY box. The purchase price is the opening price on Monday.

To copy a short position you have to go to the MARGIN TRADING section Poloniex. Then go to the page of this cryptocurrency expressed in Bitcoin (eg ETH / BTC for Ethereum) and enter the desired quantity and the selling price in the SELL box. The sale price corresponds to the opening price on Monday. See the Margin trading page on Poloniex for more information on the risks of short selling.

Is performance the result of a backtest?

Backtesting is the process of testing a trading strategy on relevant historical data to ensure its viability before the trader risks any actual capital. Indicators that measure the performance of the portfolio are calculated with data backtest from January 1st 2015 to December 12th 2016. Since then the algorithm behind cryptoportfolio.io is autonomous and bases it’s calculation from market data in real time. 0.5% fees are levied from raw return to simulate trading on the Poloniex cryptocurrency exchange.

Why is volatility so low?

Markowitz (1952) demonstrated that the volatility of a portfolio is a function of assets’ individual volatilities, as well as their correlations with the portfolio itself. All things equal, investors will prefer to own assets in a portfolio which deliver higher returns, with lower volatility, and lower correlations with the portfolio. Cryptoportfolio.io incorporated these preferences by ranking assets on each of these three dimensions. Note that volatility on a dailly basis can be way higher than volatility on a weekly basis and portfolios can experience sharp drops. When shit hit the fan diversification is useless and the only way to remain safe is to reduce it’s exposition to the market.