I created a website that gives buy and sell signals on various cryptocurrencies to help compose a well diversified portfolio that periodically adapts to changes in recent market developpment
The algorithm automatically recomposes the portfolio every Monday at 00:15 am UTC to adapt to the new dynamic of the market.
Each selected asset remains in the portfolio for 7 consecutive days. For some assets the position may be short to speculate on a fall in price (at this time for example the portfolio n ° 1 is short for about 70%).
The strategy used is a mix of trend tracking and Harry Markowitz's portfolio theory. To summarize, the algorithm establishes a quality score for each cryptocurrency, based on its recent performance, on its volatility and its correlation with previously selected cryptocurrencies. For obvious reason I'm not going to reveal in detail how it works, I'm sure you'll understand.
The graph includes a backtest period from January 2015 to December 2016 and since the algorithm uses the market data in real time.
To replicate a position, you must enter limit orders at the Monday opening price. There is therefore a 15-minute lag between the time the data is available (00:15 am) and the limit buy or sale price (00:00 am). It's the script execution time on a tiny Raspberry.
For the moment it works with the data of Poloniex but I plan to add other market places to take into account the most recent cryptocurrencies from the ICO fever.
Also posted on /r/CryptoCurrency and /r/BitcoinMarkets
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