amelie.gcbcap (OP)
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December 15, 2017, 08:30:50 PM |
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"Any sufficiently advanced technology is indistinguishable from magic." Hi friends. We have completed testing a large number of portfolio strategies previously used in the stock market. All these strategies belong to the class of "buy and hold" with rebalancing. Only crypto-currencies from the TOP-20 are used for capitalization. All decisions are made only by the algorithm. The influence of man on the work of models is excluded. The table below shows the theoretical effectiveness of the most stable model from 1 January 2017 to the current time. N | --- | I%(Year) | --- | I/R(M) | --- | I/R(Q) | n1 | --- | 5 263,15 | --- | 0,89 | --- | 0,85 | n2 | --- | 13 117,32 | --- | 0,87 | --- | 0,88 | n3 | --- | 8 889,77 | --- | 0,94 | --- | 0,78 | n4 | --- | 12 975,26 | --- | 0,91 | --- | 0,86 | n5 | --- | 7 253,04 | --- | 0,90 | --- | 0,80 | n6 | --- | 14 177,88 | --- | 0,96 | --- | 0,75 | n7 | --- | 10 662,23 | --- | 0,93 | --- | 0,78 | n8 | --- | 13 453,18 | --- | 0,89 | --- | 0,81 | n9 | --- | 7 746,33 | --- | 0,88 | --- | 0,78 | n10 | --- | 9 228,11 | --- | 0,87 | --- | 0,85 | n11 | --- | 11 894,95 | --- | 0,93 | --- | 0,69 | n12 | --- | 15 101,23 | --- | 0,85 | --- | 0,65 | n13 | --- | 19 261,24 | --- | 0,83 | --- | 0,62 | n14 | --- | 36 662,55 | --- | 0,71 | --- | 0,85 | n15 | --- | 16 414,73 | --- | 0,82 | --- | 0,82 | n16 | --- | 15 385,15 | --- | 0,95 | --- | 0,77 | n17 | --- | 10 994,40 | --- | 0,91 | --- | 0,80 | n18 | --- | 11 325,32 | --- | 0,89 | --- | 0,75 | n19 | --- | 9 619,99 | --- | 0,87 | --- | 0,75 | n20 | --- | 11 201,83 | --- | 0,89 | --- | 0,73 |
Parameter "N" - frequency of rebalancing. N1 - very rarely, N21 - very often. "I% (Year)" - profitability since the beginning of the year. Yes, there are THOUSANDS of percent. "I / R (M)" is the ratio of the average monthly return to the average monthly risk (root-mean-square deviation). "I / R (Q)" is the same as "I / R (M)" only quarterly. We believe that the crypto-currency market has matured enough to use your developed strategies previously used in stock markets. P.S. We have been managing our investment portfolio since July 2017. The results of the management correlate with those indicated in the table above. GCBCapital team.
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