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
Ether Classic$203.00$1,012.29014$0.00$1,012.29398.67%
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
Ether Classic$203.00$0.0065.2324039310.7$697.99$697.99243.84%
Hold BTC$23,938.00$0.0022.907177032074$47,509.49$47,509.4998.47%

— Wintermute —


XRP Underperformance

I just thought a short post would be worthwhile to highlight an interesting indication of the models behaviour. Just before the latest spike up in all cryptocurrencies the models re-entered their long positions across the board – all except Ripple (XRP) which, after divesting the models remained flat.

This behaviour is encouraging given the follow on performance since the weekend. All the cryptocurrencies we monitor have made large gains since the weekend and the models have benefitted – all except Ripple. Ripple has slipped from 0.35 (where the models sold out) to 0.28 (as we write).

This is the type of divergence we have been waiting to see to highlight selective,  profitable behaviour by the models.

Scores on  the doors – we’re now up 147.4% on original capital. Long positions currently held in Bitcoin (BTC), Etherium (ETH), ZCash (ZEC), Ether Classic (ETC), DASH, and Monero (XMR). We are flay Ripple (XRP)

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$0.0065.2324039318.475$1,205.17$1,205.17493.68%
Hold BTC$23,938.00$0.0022.907177032640$60,474.95$60,474.95152.63%

— Wintermute —

ZCash – better late than never…or not!

After observing a swift turnaround in all the cryptocurrencies over the weekend, ZCash finally joined the party early this morning – only to see the price slump from our entry price of 119.54 to the current price (at writing) of 116.5.

Still, the models are showing a current return of 95.8% so far, still way over the bounds of normal and we’re still waiting for a correction at some stage to see how the models fare in a downturn (I know I’m starting to sound like a stuck record on this point but the current market performance simply isn’t sustainable).

As an illustration of why this isn’t sustainable both in terms of model performance and, just as importantly, cryptocurrency performance here are 2 facts which I hope will raise a cautious tone for anyone trading these markets:

  1. The models have achieved a 95,8% return since we started trading less than 2 months ago…without leverage. If this were continued for 1 year then our starting capital of £24,000 would be $2,393,671 in 1 year and over $239m in 2 years…Please please take that in the way it’s intended, an illustration of how one sided this market has been in the past 2 months, not a suggestion that this is expected in the long term.
  2. Over the same period, cryptocurrency market capitalisation has grown from $23.3bn to $76.9Bn…following the same trajectory we would see a market cap of $83.2tn after a year of growth, 5 times the size of the US economy!!! Simply not going to happen.

Please don’t take this to mean I’m pessimistic about the marketplace long term – I believe cryptocurrencies have huge potential to unfold in coming years… I just wouldn’t bet the ranch on this continuing without a setback at some stage. But that’s my opinion which we’ve seen be wrong on numerous occaisions …  meanwhile the models are heavily committed 🙂

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3965.232403938.468$552.39$1,039.78412.21%
Hold BTC$23,938.00$0.0022.907177032055$47,074.25$47,074.2596.65%


— Wintermute —

Well what a busy weekend …

Just when we thought we would get a period of consolidation … bang, another rally in BTC, this time leading the charge of the other cryptocurrencies.

Talking of BTC … just as well I have models to make the trade decisions, not me. When the models repurchased BTC at 1878.45 I was convinced they were buying at the top – over $150 higher and the models are looking good with their decision.

Other trades we’ve seen today…the models have purchased ETH at 123.559, purchased ETC at 7.472, purchased XMR at 31.47, and purchased DASH at 99.128.

The surprise of the day was the models decision to finally sell out of it’s ripple (XRP) holding at 0.349 – that’s an astonishing gain of 961% on the trade.

Overall results still looking good at an overall +85.74%

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3965.232403936.94$452.71$940.10363.10%
Hold BTC$23,938.00$0.0022.907177032014.29$46,141.70$46,141.7092.76%

— Wintermute —

And the rally continues…

Last night the model decided to re-enter the BTC market. The entry point of 1878.45 was significantly higher than when it exited the market – personally I’m not sure this is a good move but it’s executed and we’ll wait and see. XRP is still long, all other cryptocurrencies are flat. The models are still maintaining a respectable 75% return but still with the caveat that we haven’t seen them trade in a serious downturn.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.390$0.00$487.39140.09%
Hold BTC$23,938.00$0.0022.907177031925$44,096.32$44,096.3284.21%

— Wintermute —


AI Model Update

No trades of late so I thought I would post a brief update and a review of the exits made last week. The single remaining position, Ripple (XRP) has been going great guns and is showing a gain of over 1000%, all the more astounding considering the other alt coins monitored seem to have entered a consolidation phase – we’re impressed with the models identification of the different behaviour which resulted in continuing to hold XRP while divesting of the other coins. Of all the exit trades, BTC is currently the most disappointing. The model exited at close to $1700 and we are now seeing trades up at $1800. All the other coins are at either their exit levels or lower.

Overall performance is now standing at +75.63%, this compares to a BTC buy and hold performance of +72.25% over the same period. We still need to see the performance of the model over a significant cryptocurrency pullback, something we have still not seen and as I have emphasised previously the importance of this diary is really to review the decisions made by the AI Bot. The performance should not be considered as in any way indicative of it’s long term expected performance which I would expect to be significantly lower.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3906.338$0.00$487.39140.09%
Hold BTC$23,938.00$0.0022.907177031800$41,232.92$41,232.9272.25%

— Wintermute —



And then there was just Ripple

Today our models divested of their long-standing bitcoin position at an average price of 1701.5 after commission; an after costs profit of 48.4%.

This leaves us with just a ripple long position – the models have divested of their other positions over the past week.

At time of writing the bitcoin buy and hold model was showing a PnL of 63.25%, almost exactly matching the 63.92% return from the models. We now wait to see how the market unfolds.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3906.338$0.00$487.39140.09%
Hold BTC$23,938.00$0.0022.907177031706$39,079.64$39,079.6463.25%

— Wintermute —

Hard to Believe…

…that just 3 days ago we were fully invested across all cryptocurrencies. The models have now liquidated their positions in ZCash (ZEC) and DASH (DASH). Our only long positions are now Bitcoin (BTC) and Ripple (XRP).

Our model is now sitting on a performance of 62.45% vs a bitcoin buy and hold performance of 63.92%. We’re now in wait and see mode. The models are designed to only trade from the long side or switch back to USD so will largely sit on the sidelines until they identify a new opportunity to enter the market.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3906.046$0.00$487.39140.09%
Hold BTC$23,938.00$0.0022.907177031713$39,239.99$39,239.9963.92%


— Wintermute —

Is ETC the canary in the mine?

Well, after a couple of weeks where the models have just held on to all cryptocurrencies we have today our first sale. ETC was sold for USD at a rate of 6.458 after commissions; a gain of 140% from the purchase price of 2.69.

This is probably a good intro into discussing a few questions we’ve been fielding from  our backers of late – first, and most important, are these results realistic?  Well if the question is are these results real? then the answer is yes – we will be publishing the brokerage statements from Bitstamp and Poloniex shortly which is where all the trades have been executed to date. Is the performance what we expect over the time period – absolutely not. In many ways it would have been better if we had started our live funds trial at a more “normal” period as showing a 59% gain over a 6 week period without leverage is a complete outlier. We wait with anticipation to see how much of this profit the model keeps when we get a market setback.

Still, in terms of model behaviour, we are encouraged by the way the AI model has performed – even in a flat out bull run there is always the risk that the models would have tried to pick a top too early – instead they have held their positions seeing some spectacular gains over the 6 week period. The real stand-out now is Ripple, the last market for the model to buy. We are now seeing an astounding 448% gain on this market – remarkable even by cryptocurrency standards.

The other question is are we taking excessive risk? As discussed in the intro we are using zero leverage on these trades. That’s not to say we’re running a conservative portfolio – cryptocurrencies by their very nature exhibit extreme volatility but our strategy does not aim to increase that volatility any further.

The third question is selection of cryptocurrencies. Well we did do some pre-screening to ensure there was a relatively liquid market in each of the coins we allow the models to trade. We also wanted to ensure that the coins were tradable on at least 2 of the leading exchanges that we selected to trade on. Finally, we weighted the initial investment by the market capitalisation of the various coins we allow the models to trade in. This is a one off balancing of the capital; moving forward profits made by trading a particular coin will be re-invested in trading that same coin. This should see the portfolio change composition to a larger percentage being held in the more volatile currencies (providing that the trading is profitable).

So with those caveats and explanations what are the scores on the doors after liquidating our ETC position.

We are now showing a gain of 59.09% on the overall portfolio; our comparison strategy (buying and holding BTC) is showing a gain of 52.73% so we are now outperforming the naïve buy and hold strategy by 6.36%, even in a raging bull market. Best performer, as mentioned earlier, is Ripple, showing a gain of +458%, worst performer is Monero showing a gain of “just” 28.3%. Full results below.

CurrencyStarting BalanceUSDCryptoRateUSD EquivTOTALGain/loss
Ether Classic$203.00$487.3906.55$0.00$487.39140.09%
Hold BTC$16,900.00$0.0016.172248801596$25,810.91$25,810.9152.73%

— Wintermute —