After a few days of hardcore rebuilding some parts of the Bot to enable him to digest the crypto survey results and fixing some problems with the weights, here are the results of the Exchange survey.
First of all, thanks to all of you who are taking part in this and give feedback. It's invaluable to get suggestions etc. If something looks strange, a chart could be better structured or you have seen something cool somewhere else which you would like me to investigate, please let me know!
We now have both survey, macro, and crypto surveys running 24/7. Not everything for the crypto survey is set in stone yet. Lots of experimenting and building is going on. Crypto survey results are also not yet on the dashboard. I only share here and on Twitter.
Crypto survey summary
I restructured some charts for better visibility. I currently calculate the weights as (%overweight - %underweight)/(sum of %overweight + %underweight). I throw out assets that get below 2.5% in weight and standardize the weights to add to one.
For the Bot, I have a performance filter that selects the best assets based on the risk to return perspective. It's based on the Omega ratio, which I found useful in previous studies. In a second step, I take the relative weight of the assets where the Bot is allowed to decide by voters and combine these two measures. It's still playing around, but it works quite well.
Last week we saw that Ethereum overtook Bitcoin in terms of votes to overweight. Also, some other tokens such as Rune, FTT, and ENJ made their way into the mid-field. I'm already working on a chart that better illustrates the movements over the week.
Here are the frequencies of votes for last week.
The resulting portfolios are quite different. The Exchange has larger weights in the major tokens such as BTC and ETH. Still, quite a diversified selection.
The Bot on the other hand has a large concentration on the mid-field tokens (simply because people are more indifferent about them and select the option to let the Bot decide). That's not perfect regarding the methodology, but it's interesting.
The Exchange is currently slightly ahead (5.04% for the survey, 4.3% for the Bot). Note that the chart is a little bit different than last week, as I changed the methodology for the Bot one last time (to the worse, he was better before, so I allowed that "backward" adjustment). The volatility in the Exchange portfolio mainly comes from the larger allocation to Bitcoin.
Macro survey summary
The Bitcoin recovery is not yet included in the data, as performance is as of yesterday's close.
Clearly, Bitcoin was the biggest drag. The Exchange made some money on EM equities, volatility, and commodities.
1. Market View and Sentiment
Quite a positive market sentiment, especially for equities. But it's quite a new thing to see that some negative outlook on Bitcoin is showing up. However, bullishness has not decreased by what one would expect after a -20% move in any other asset class. Commodity sentiment is very bullish, gold is on the rise and the dollar sentiment remains bearish.
Even more neutral positioning than last week. I really have to build something into the portfolio for that...I know I promised, and it's not forgotten! People want to take some risk off the table, despite positive sentiment in equities. Commodity positions have increased and Bitcoin decreased slightly. Also, 10y treasuries are out of favor again. The call on treasuries last week was actually quite good in terms of performance, so taking some profits here.
The Bot didn't do well last week either. His Bitcoin position was smaller, so fewer losses, but still a large drag. EM equity and VIX position also paid off. He's increasing EM weight (a true trend follower!), a little bit more Bitcoin, and taking gains in treasuries as well.
Overall, last week's performance was dominated by the drawdown in Bitcoin. Anyway, as of Sunday the Exchange was still ahead 16.9% ytd, while the Bot is stable at 3.69%. His portfolio is probably the only one in the world that has on average 10% in bitcoin but still manages to lose it all on long VIX timing ;)
If you do not want to bookmark all the links, the easiest way is to follow me on the Exchange or the Bot on Twitterso you are up to date. Or bookmark his website, where you can find all the relevant links: www.realvisionbot.com
If you are looking to do your own analysis with the numbers on the Bot's dashboard, you can download the values in each chart as a csv by clicking the little gear box that's at the top right of each chart.
Thank you for your participation! Feel free to contact me if you have any questions!
RealVisionBot & Moritz & Moritz (twoquants.com)
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