First results from scenario 2

A full run of scenario 2, gainers and losers over each of the last 6 quarters.  The details for 2019-Q1 can be found at the work spreadsheet http://bit.ly/2yvZFwR. The following 2 charts summarizes the results.

Period	Ending Balance	Starting Balance	Gain/Loss	Num Trades	Fees	Period Slope	Period Trend
2018-Q1	$4,135.41	$10,000.00	-$5,864.59	186	$36.99	-44.20	0.68
2018-Q2	$8,770.45	$10,000.00	-$1,229.55	186	$43.68	-14.13	-0.74
2018-Q3	$7,850.38	$10,000.00	-$2,149.62	190	$35.68	-4.71	-0.10
2018-Q4	$5,274.51	$10,000.00	-$4,725.49	186	$30.64	-27.35	-0.05
2019-Q1	$11,176.86	$10,000.00	$1,176.86	186	$41.55	2.48	0.12
2019-Q2	$20,181.90	$10,000.00	$10,181.90	188	$70.18	43.90	0.33

Comparisons	2018-Q1	2018-Q2	2018-Q3	2018-Q4	2019-Q1	2019-Q2
1-BuyAndHold	-$5,821.16	-$1,196.79	-$1,932.82	-$4,726.04	$1,597.15	$10,509.78
2-GainerLoser	-$5,864.59	-$1,229.55	-$2,149.62	-$4,725.49	$1,176.86	$10,181.90
Period Slope	-44.20	-14.13	-4.71	-27.35	2.48	43.90
Period Trend	0.68	-0.74	-0.10	-0.05	0.12	0.33

The buy and hold outperformed our newest scenario in every quarter. It covered all types of markets. The gainers and losers came closer in periods where coins declined in value but fell further behind in increasing prices. We’re not going to give up.

There are 2 arbitrary variables in these simulations, the number of coins included and the computation of the amount to be included in the traders. We’ll investigate these next. Follow me at @billlanke on Twitter to know when these are posted.

Description of scenario 2

We’ll start our first alternate, balance gainer and loser daily. This scenario starts by looking at the closing price of the five coins we’ve focused on; BTC, ETH, LTE, BCH, and XRP. It compares these to the previous day’s close and computes the percentage change. It identifies the biggest gainer (or smallest loser if all are down).  It also identifies the smallest gainer (or biggest loser if all are down).  Next we sell some of the biggest gainer and use the funds to buy as much of the biggest loser as we can. The amount of money involved is 50% of the amount gained by the biggest gainer. (Note: if all are gainers, the smallest gainer is considered biggest loser.)

Let’s start with data from 2019-Q1. Following is a chart with the percentage changes for the 1^st 4 days.

Date	%BTC	%ETH	%LTC	%BCH	%XRP	Sell Coin	Buy Coin	Orig $ Request
1/2/2019	2.08%	9.75%	3.99%	4.05%	2.43%	ETH	BTC	$97.21
1/3/2019	-3.16%	-4.55%	-4.10%	-6.24%	-5.05%	BTC	BCH	$33.69
1/4/2019	1.00%	4.42%	1.28%	-0.22%	0.58%	ETH	BCH	$44.08

On January 2^nd, the 5 coins all gained over their closing price from January 1^st. The biggest gainer was ETH and the smallest gainer was BTC (considered biggest loser).  Therefore, we’ll sell some ETH and use the cash from the sale to buy some BTC. The “Orig $ Request” is the amount of cash that we’ll use to compute the number of ETH coins to sell. Following is a chart listing the trades for the 3 days.

Date	Coin	Action	# Coins	Coin Price	Net	Cash Flow	Coin Balance	Cash Balance
1/2/2019	ETH	Sell	0.6209	$156.57	$97.07	$97.07	13.3774	$97.07
1/2/2019	BTC	Buy	0.0245	$3,961.01	$97.07	-$97.07	0.5391	$0.00
1/3/2019	BTC	Sell	0.0088	$3,835.86	$33.64	$33.64	0.5304	$33.64
1/3/2019	BCH	Buy	0.2086	$160.99	$33.64	-$33.64	12.3102	$0.00
1/4/2019	ETH	Sell	0.2825	$156.04	$44.01	$44.01	13.0949	$44.01
1/4/2019	BCH	Buy	0.2736	$160.64	$44.01	-$44.01	12.5838	$0.00

For each day there are 2 trades, the sell, then the buy. The “Net” is the product of the # coins times price minus the transaction fee. You’ll notice the “Net” involved is slightly less than the “Orig $ Request”. That is the impact of the trading fees. The next 2 days turn out to show days where all were down in price or mixed.

I’ll be discussing this approach in the next few posts. Follow me on Twitter @billlanke to know when the posts are made.