Final Results

We’ve just moved everything back into the Bitstamp and converted everything into USD.

On 28th March, at the start of the real-time experiment,  we had $23938.96 in the Bitstamp account. After 15 weeks of trading this has grown to $54045.70 after all costs and fees, including transferring back and forth to Poloniex to trade the alt coins.

This equates to a return of +125.76%

Over the same period Bitcoin has grown from 1044 to 2010 (at time of writing on Bitstamp) for a return of +92.5% so the AI models have shown an impressive return overall and also outperformed the benchmark Bitcoin growth.

The other real stand-out is the lower volatility. While all the coins have shown huge swings during this period the AI bots have successfully navigated this and kept volatility and drawdowns lower than the coins themselves.

These results show the huge potential that AI has for extracting profits from the cryptocurrency space and bodes well for the success of our ICO, AICoin.

— Wintermute —

And We exit Bitcoin…

The bots have closed out their partial bitcoin position overnight at a rate of $2320.01 (incl fees).

We have now been pretty flat throughout this period of consolidation (for bitcoin) and outright decline (for many of the altcoins). This is overall encouraging given that the bots, at this stage, can’t go short. The Bots achieved an excellent return of >100% during the rapid bull run in April and May then over June and July pulled back and retained the large part of that profit. The ending profit is a little over 120%, and drawdowns have been extremely limited.

We are now intending to suspend the real-time experiment to allow the funds to be moved across into the AICoin ICO (http://www.aicoin.ico) but we will keep publishing here for more technical aspects of the bots performance once they start trading on behalf of the AICoin collective.

We also intend to publish further research results that we undertake and answer any technical questions on the models or architecture.

To tie up this experiment I am now pulling together the statements from the two brokers used (Bitstamp and Poloniex) and publish the statements as proof of the results achieved. Before doing this I will move the funds from Poloniex into Bitstamp so we are comparing like with like (the funds were originally deposited into Bitstamp).

Thank you all for following our experiment and hopefully there will be many more exciting and interesting things to discuss in the future.

— Wintermute —

 

…and finally another bitcoin trade.

Sorry but this is going to be very brief as there are so many things to keep on top of with our pending ICO but I wanted to blast a few lines down as the bots has entered a long position into BTC basis Bitstamp. For the first time it has gone long a partial position … something we discussed introducing to the model population here.

I’m quite honestly surprised that the change took hold so quickly but there it is and the model has gone long 3.95 bitcoin for a cost of $10085.77 from a total available of $30280.12 so pretty much a 1/3 positon at approximately 2547.

No positions yet in any of the other coins so we’ll see if the model is predicting a general resumption of the rally or if this is bitcoin specific.

— Wintermute —

And Sleep …..

Well, we have just passed through the longest period of inactivity from the models since the start of our real-time experiment. And I have to say, that’s not a bad call considering the markets have drifted lower in a relatively quiet market for that period.

We have implemented our partial position model adaptation into the model population … as detailed here this doesn’t mean the live model will incorporate that trading style into it’s training, it simply means that enough candidate models have that “gene” in their DNA to make it a possibility that the live model will adopt that characteristic.

As requested by a number of people we are now following the same approach to bring short selling into the mix for the models.

I’m currently in the process of performing a full trade by trade breakdown and performance comparison. I hope to publish that this week (time perimitting)…and hopefully we’ll actually get some more trades to execute 🙂

Total performance to date:  +129.02%

— Wintermute —

And Flat Again…

The AI Models have flattened all long positions again over the last few days:
Sold ETC @ 19.13776, a small gain of 4.6%
Sold XMR @ 49.38421, a gain of 2.8%
Sold ETH @ 338.4915, a gain of 59.4%
Sold DASH @ 156.5249, a gain of 17.9%
Sold ZEC @ 379.43, a gain of 48.2%
Sold XRP @ 0.238092, a loss of 22.8%

We are now sitting with no cryptocurrency assets and our gain to date is +130.46%

The last couple of weeks have seen the models slowly making positive returns while side-stepping some of the more volatile swings (both up and down) so our drawdowns have been relatively light compared to the overall markets being traded. The encouraging aspect is the way there is a tendency for the models to jump in when there are perceived opportunities then exit quite quickly once those opportunities have either unfolded or disappeared.

— Wintermute —

Ether Classic Purchase…

Yesterday we went long Ether Classic (ETC) at 18.29. This moves us back into a long position across all cryptocurrencies except bitcoin.

ETC is our second best performing trading market for the bot since starting the live trade diary, showing a gain of +472.4%. Today I also thought it would be worth looking at the impact our trading methodology has on relative % holdings in the trade pool.

When we started the real-time experiment we decided to pro-rate the trading capital across all coins based roughly on their coin market capitalisation. The purpose of this was to reflect how we would approach trading a larger fund – while our small test account would have zero impact on some of the smaller coins, a larger fund would be harder to trade if they were equally split.

The decision was also taken not to rebalance this split once trading had commenced. Coins that were more profitable to trade for the AI Bot would, over time, have larger trade sizes associated with them – this was to reward the better performing model behaviours.

In the 10 weeks since the start of our experiment this has already started to see a significant change in the % applied to each coin as can be seen below:

CoinStarting %Current %
Bitcoin70.60%53.83%
Etherium20.05%29.54%
Zcash2.55%2.84%
Ether Classic0.85%2.07%
DASH2.55%2.01%
Monero1.27%0.97%
Ripple2.13%8.75%

bitcoin has shown a decline in relative holdings at the expense of some of the rapidly rising coins such as ETC and XRP. ETH has also made inroads into the dominance of bitcoin within the portfolio. I’m not sure we have enough information to draw anything from this trend at this stage but I think it may be interesting to monitor over time.

Total performance now sits at +135.01% since the start of the experiment and the models appear to have sidestepped some of the extreme volatility seen in some coins during this time.

We have also made a change to the learning capabilities of the models – I will detail these changes in a separate post.

— Wintermute —

Late Posts

First an apology, I’ve been a bit lax posting up[dates over the past week. Workload has picked up as we approach the official launch of the models and I’ve not had time to post the updates so tonight I’ll give a rapid fire of what’s been happening then drill down into particular aspects in following posts.

So recently the model has bought back into Etherium (ETC) at a rate of 212.326, DASH at 132.701, and Ripple (XRP) at .3085. These are the only purchases as the models still seem to be treating this latest rally with caution.

Performance now stands at +112.07% after costs. More updates in coming days.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Bitcoin$16,900.00$30,107.8502491$0.00$30,107.8578.15%
Etherium$4,800.00$0.0048.43195991247.75$11,999.02$11,999.02149.98%
Zcash$610.00$1,256.140237.75$0.00$1,256.14105.92%
Ether Classic$203.00$1,012.29017.007$0.00$1,012.29398.67%
DASH$610.00$0.005.91790092142.72$844.60$844.6038.46%
Monero$305.00$458.04042.945$0.00$458.0450.18%
Ripple$510.00$0.0017542.240.29$5,087.25$5,087.25897.50%
TOTAL$23,938.00$32,834.32$17,930.87$50,765.19112.07%
Hold BTC$23,938.00$0.0022.907177032491$57,061.78$57,061.78138.37%

— Wintermute —

 

 

A Sustainable Rally? … the AI Bots say No!

After the carnage of yesterday where bitcoin triggered stops all the way down to the 1800’s (yes it’s still unusual to talk about a collapse in the market down to 1800, a level it only broke above 2 weeks ago) the bitcoin market has had a decent rally back to above 2200, dragging the other cryptocurrencies up with it.

Is this the start of a new up-leg already? Well the AI Bots certainly don’t think so. They have used the rally of the past 24 hours to sell their remaining long positions; selling etherium (ETH) at 146.68, ZCash (ZEC) at 175.74, Ether Classic (ETC) at 15.518 and DASH at 96.855.

The models definitely appear to be in the mode of grabbing short term profits when it looks like the market will turn up then locking those positions back into cash. As discussed previously the models are not trained to go short, they simply take an unleveraged long position or switch back into cash so all cryptocurrencies being flat is as negative as they get.  Lets see if they’ve got this right and the rally fizzles out.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Bitcoin$16,900.00$30,107.8502198$0.00$30,107.8578.15%
Etherium$4,800.00$10,283.390143.72$0.00$10,283.39114.24%
Zcash$610.00$1,256.140174.1$0.00$1,256.14105.92%
Ether Classic$203.00$1,012.29014$0.00$1,012.29398.67%
DASH$610.00$785.31096.433$0.00$785.3128.74%
Monero$305.00$458.04031.277$0.00$458.0450.18%
Ripple$510.00$5,411.4300.197$0.00$5,411.43961.06%
TOTAL$23,938.00$49,314.45$0.00$49,314.45106.01%
Hold BTC$23,938.00$0.0022.907177032198$50,349.98$50,349.98110.33%

Note – apologies for the last 2 posts, they had the wrong position and performance figures attached (the last 2 trade updates hadn’t fed through). This has now been fixed for this post and the prior posts.

— Wintermute —

Bitcoin Comes down with a thump…

Bitcoin came down with a hard thump yesterday with follow through this morning. The models have lightened their position sizes during this retracement, selling their bitcoin holding at an average of 2253.6 and their Monero (XMR) position at 37.09.

The market has slid further since these sales, bitcoin hitting a low of 2000.9 on Bitstamp and Monero hitting 29.5 on Poloniex. We now wait and see if the retracement continues or if we surge back to new highs … and the models response to the unfolding market action.

We’re now sitting at a gain of +100.37% on this real-time trading diary since we started live trading (30th March 2017). The model has traded all the cryptocurrencies profitably, Ripple (XRP) has been the best performer, showing a +961.06% gain, and more impressively, the models exited at 0.35 and have stayed out ever since, avoiding the 40% slide in XRP down to 0.20 at time of writing.

The models have fared least well trading DASH. This is “only” showing a 26.27% gain, it will be interesting to see if the models start to learn the unique characteristics of DASH that have made it harder to trade over the past 2 months. While we wouldn’t expect it to have matched the performance of ripple trading  (Ripple trading benefitted from a  surge in value of the underlying coin), DASH trading has also underperformed the other coins by a significant margin; the next worse model is Monero which has returned 50.18% over the period, almost twice as much.

Full results are below

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Bitcoin$16,900.00$30,107.8502074$0.00$30,107.8578.15%
Etherium$4,800.00$0.0070.10779112134$9,394.44$9,394.4495.72%
Zcash$610.00$0.007.14789692157.42$1,125.22$1,125.2284.46%
Ether Classic$203.00$0.0065.2324039310.7$697.99$697.99243.84%
DASH$610.00$0.008.1081334695$770.27$770.2726.27%
Monero$305.00$458.04032.3$0.00$458.0450.18%
Ripple$510.00$5,411.4300.2$0.00$5,411.43961.06%
TOTAL$23,938.00$35,977.32$11,987.93$47,965.25100.37%
Hold BTC$23,938.00$0.0022.907177032074$47,509.49$47,509.4998.47%

— Wintermute —