Crypto Trading 2019 Half Year Review: 17 Advanced + 15 Neural Net strategies tested [Part 9]

By Deandree Blake

It’s been a while since my last Gekko strategy comparison, so I though it’s time for an update. We’ve experienced a very interesting 6+ months, where most of the coins surged real well until end of June. I hope you’ve been cashing in on this opportunity.

Another reason this has been an interesting period of time is because we’ve seen some unexpected things or things we’ve not seen before:

  • BTC dominance going up even more, while most altcoins not following.
  • XRP living it’s own life, showing little to no action at all.
  • EOS, while starting strong as always, started collapsing way before other coins and ended up falling heavily through the ranks, currently sitting at No8 by Market Cap, despite being comfortably at No5 spot for a long long time.
  • Some unexpected underdogs climbing the ranks, like LTC and BCH.

Raw CSV Results and Configs

For the first time, I’ll be sharing raw results in .csv format and also all strategy configs that I used. They can be found in my Github.

Testing format

It’s been almost a year since I gathered my test coin list, so it was time to freshen it up with more recent top coins. I tried to collect top coins from https://coinmarketcap.com based on Market Cap. Most coins were available, but some were added only recently, so I could not import enough history. I ended up with these 30 coins:

 BTC | ETH | XRP | LTC | BCH | BNB | EOS | BSV | XLM | ADA  TRX | XMR | DASH | XTZ | NEO | LINK | IOT | ETC | MKR | ONT ZEC | BTG | QTUM | OMG | ZRX | ICX | REP | XVG | GNO | QSH

Market Overview

To get a reference point for results, let’s take a look at how TOP 30 coin prices have changed from Jan 1st to Jul 1st. For better visibility, I have split results in 3 parts — 10 coins each.

BNB leading the way with huge gains, as always. But LTC sudden rise comes as a surprise. Both XRP and XLM struggling heavily and basically not joining other coins in this half-year rally. Also, BTC being one of the top gainers is a bit unexpected.

LINK making huge gains while IOT and MKR at the bottom, relatively moderate gains for other coins.

REP with an interesting pattern — jumping much faster than the rest. Overall the least gains are in this (21–30) range, some very close to 0 % change.

Test Setup

I will be using the same 17 Advanced + 15 Neural Net strategies I’ve been using in previous parts. If you want to read the description of strategies, it’s here:

I’ve also added baseline Buy&Hold (named #BASE in charts) as reference. If strategy has 300% profits while coin is up 500%, that’s not good, and we need to know.

Testing data range will be from Jan 1st to Jul 1st (plus warmup history necessary for each strategy)

Following candle sizes will be used:

 30m | 60m | 120m | 240m | 480m | 1440m

Results for Advanced strategies

NOTE: I have scaled results in most charts to 500% max. While there are a few outliers (you can check raw .csv if you are interested), 99% of the results fall into this range and the outliers were breaking the scale and making it more difficult to compare different charts, so max 500% was a good threshold to draw the line.

NOTE 2: Due to Mediums image click-to-zoom feature being temporary disabled, I had to sidestep the issue by sharing raw full scale images, they can be found in my Github under /imgs. I’ve also shared more direct links throughout the post.

Now let’s get to the results. As always, Advanced and Neural Net in separate charts, split by different candle sizes.

Full scale images here.

As expected in such Bull market, results are good and mostly positive.

A lot of crazy positives come from 2 heavy outlier coins:

  • BNB, which was 500+% up at highest point (vs Jan 1st)
  • LINK, which was 700+% up at highest point (vs Jan 1st)

Although you can see the general trends, like best strategies and candle sizes, the above charts a bit difficult to analyze, so I’ll draw you another one with average profits grouped by candle size:

This gives us a better overview.

First of all — nothing really beats #BASE (Buy&Hold), except on some specific coins. Which is ok, because we are comparing with a period, where there was clear uptrend and simply holding was obviously close to optimal choice.

120/240/480m looking the best with few strategies leading the way:

  • RSI_BULL_BEAR_ADX
  • Supertrend
  • NEO (best at 60m)
  • EMADIV (best at 30m)

Surprisingly, there are 2 strong candidates at 30m — EMADIV and RSI_WR

As usual, let’s take a closer look at some of the best results. To get better perspective, I’ll try to use:

  • BTC as reference.
  • Another top coin.
  • One crazy result.

NEO @ 60m

Overall I’d say too much trades. XVG case doesn’t look realistic, too many gaps in candles due to liquidity. ETH case looks good, but BTC — worse than you would want.

EMADIV @ 30m

Same — too much trades, subpar results with BTC, good with the rest.

RSI_BULL_BEAR_ADX @ 480m

Good amount of trades, reasonably well on BTC (compared to others), not really catching the big end wave on BNB, partially catching on LINK.

Supertrend

What’s very interesting here — while strategy catches the trend nicely for most of TOP 10 coins, it misses the mark on lower ranking altcoins, therefor completely missing out on crazy (most probably unrealistic) gains, at least on paper. Overall, I like the stability of this strategy very much.

Results for Neural Net strategies

Full scale images here.

For a bit better overview, let’s take a look at summary with results grouped by candle size.

As usual, 120/240m looks the best, especially 120m.

But, compared to #BASE, all strategies are lacking. Closest ones are:

  • LSTM_MACD_RSI_V3 (very close actually)
  • neuralnet_zschro
  • NN_ADX_RSI

Let’s take a closer look at those 3.

LSTM_MACD_RSI_V3 @ 480m

Upon closer inspection of this strategy, it becomes clear, why results are so close to #BASE. Most of the results contain single purchase somewhere in January, and no more trades. Couldn’t display prediction lines here, because they are so much off that they break the scale of image. Anyway, I consider this non working. I’ll be excluding this strategy from further analysis.

neuralnet_zschro @ 120m

While the overall results are good, what’s happening here is that strategy focuses on mean reversion, while most of the coins are trending. Considering most coins have been trending heavily, it’s just the wrong strategy for this moment in market.

NN_ADX_RSI @ 240m

While making some nice trades and not many in count (which is good), it’s completely missing some main trends and also predictions are weird.

Luke_NN @ 30m

Too much trades. Focuses on mean reversion and misses the trends. Again — wrong strategy at this moment, except for some coins.

Advanced vs Neural Net

To summarize, let’s put TOP 3 from each category side by side on the same chart to get better view with single scale.

Full scale image here.

Although overall the results look good, compared to #BASE (Buy&Hold) it’s clear strategies are NOT outperforming the simplest strategy of all.

I have to say this is probably not the best time period to test and draw conclusions, because with such clear uptrend for most coins tested, Buy&Hold is obviously quite optimal strategy, therefor hard to beat.

Also, some of the best results clearly fall apart once inspected closely, like LSTM_MACD_RSI_V3.

Up next in part 10: I have gathered a few new, yet untested strategies. I will test them against the same time period — Jan 1st to Jul 1st. Follow me to stay up to date with the latest posts!

Thanks for reading! I hope the Bulls are here to stay.