AlphaGen > Details

KNN Portfolio balancing model

- by Cathy Tsui

Cumulative PNL

-1308.71

Daily PNL

-0.0

Model Accuracy

N/A%

Real Time Model PNL

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Investment Objective

This model helps you decide which crypto should be at your portfolio at different time in order to get a higher-than-strong-hold return. In order to capture a better portfolio return, the model evaluates different data about XRP and ETH to estimate the best buying and selling opportunities for these two cryptos. The model is trained with K-Nearest Neighbour Machine Learning algorithm with historical hourly data.

Model Creator

Cathy Tsui

Graduate from local university, am a code enthusiast and cat lover.

Video

Facts

Inception Date: 2021-01-20 00:00:00+08:00

Currency: USD

NAV: 56861.83

Charges & Expenses

Trading Fee (maker fee - sell): 0.1%

Trading Fee (taker fee - buy): 0.1%

Volatitlity Measures

Sharpe Ratio: -0.33

Standard Deviation: 0.09

Risk Rating: N/A

Trading Frequency: 39 trades

Performance

PNL	Total	Average
PNL	Total	Per Transaction	Daily	Monthly	Annual
$	1061.83	53.69	2.53	530.92	0.0
%	1.9%	0.13%	0.01%	0.95%	0.0%

	No. of Days	Max. Consecutive Days	Maximum	Maximum (%)
Gain	13	51	2518.9	4.0%
Loss	8	3	-3466.28	-10.08%

Holdings

Fund	Percentage Holdings	PNL
cash	100.0%	N/A
ETH/USDT	0.0%	3721.830107

As of 2021-04-13

Portfolio Composition

Transaction History

Date	Fund	Price	Shares	Direction	Weight
2021-04-14	ETH/USDT	2338.99	0.00113	SELL	N/A
2021-04-14	ETH/USDT	2326.74	0.09082	SELL	N/A
2021-04-14	ETH/USDT	2300.33	23.61915	SELL	N/A
2021-04-14	ETH/USDT	2293.7	23.71111	BUY	N/A
2021-04-14	ETH/USDT	2293.64	1e-05	SELL	N/A
2021-04-13	ETH/USDT	2229.51	5e-05	SELL	0.0%
2021-04-13	ETH/USDT	2227.18	0.05599	SELL	0.23%
2021-04-13	ETH/USDT	2227.31	24.41071	SELL	99.87%
2021-04-13	ETH/USDT	2224.43	24.46676	BUY	99.97%
2021-04-13	ETH/USDT	2222.08	1e-05	SELL	0.0%
2021-04-13	ETH/USDT	2226.2	3e-05	SELL	0.0%
2021-04-13	ETH/USDT	2213.25	0.03014	SELL	0.12%
2021-04-13	ETH/USDT	2213.04	24.61174	SELL	100.05%
2021-04-13	ETH/USDT	2212.54	24.64192	BUY	100.15%
2021-04-13	ETH/USDT	2212.84	0.00042	SELL	0.0%
2021-04-13	ETH/USDT	2219.51	0.16224	SELL	0.66%
2021-04-13	ETH/USDT	2216.05	24.48923	SELL	99.69%
2021-04-13	ETH/USDT	2203.63	24.65189	BUY	99.79%
2021-04-13	ETH/USDT	2202.41	1e-05	SELL	0.0%
2021-04-13	ETH/USDT	2212.8	0.00026	SELL	0.0%
2021-04-13	ETH/USDT	2194.99	0.06491	SELL	0.26%
2021-04-13	ETH/USDT	2188.11	24.81106	SELL	99.72%
2021-04-13	ETH/USDT	2184.56	24.87624	BUY	99.82%
2021-04-13	ETH/USDT	2163.53	1e-05	SELL	0.0%
2021-04-13	ETH/USDT	2166.65	0.03688	SELL	0.15%
2021-04-13	ETH/USDT	2168.34	25.07564	SELL	99.87%
2021-04-13	ETH/USDT	2167.32	25.11253	BUY	99.97%
2021-04-13	ETH/USDT	2164.94	7e-05	SELL	0.0%
2021-04-13	ETH/USDT	2172.71	0.01997	SELL	0.08%
2021-04-13	ETH/USDT	2167.85	25.13656	SELL	100.1%
2021-04-13	ETH/USDT	2168.29	25.1566	BUY	100.2%
2021-04-13	ETH/USDT	2161.73	1e-05	SELL	0.0%
2021-04-13	ETH/USDT	2165.95	0.00032	SELL	0.0%
2021-04-13	ETH/USDT	2165.45	0.0955	SELL	0.38%
2021-04-13	ETH/USDT	2160.32	25.20391	SELL	100.01%
2021-04-13	ETH/USDT	2154.29	25.29974	BUY	100.11%
2021-04-13	ETH/USDT	2155.69	1e-05	SELL	0.0%
2021-04-13	ETH/USDT	2158.24	0.0006	SELL	0.0%
2021-04-13	ETH/USDT	2157.19	0.0595	SELL	0.24%
2021-04-12	ETH/USDT	2186.34	24.91946	SELL	99.86%
2021-04-12	ETH/USDT	2183.26	24.97957	BUY	99.96%
2021-04-12	ETH/USDT	2181.1	1e-05	SELL	0.0%
2021-04-12	ETH/USDT	2186.01	0.00135	SELL	0.01%
2021-04-12	ETH/USDT	2185.45	0.10995	SELL	0.44%
2021-04-12	ETH/USDT	2160.94	25.17553	SELL	99.72%
2021-04-12	ETH/USDT	2153.58	25.28684	BUY	99.82%
2021-04-12	ETH/USDT	2146.64	1e-05	SELL	0.0%
2021-04-12	ETH/USDT	2148.88	5e-05	SELL	0.0%
2021-04-12	ETH/USDT	2150.4	0.09124	SELL	0.36%
2021-04-11	ETH/USDT	2151.36	25.27235	SELL	99.74%
2021-04-11	ETH/USDT	2145.76	25.36365	BUY	99.84%
2021-04-11	ETH/USDT	2136.96	6e-05	SELL	0.0%
2021-04-11	ETH/USDT	2142.22	0.01458	SELL	0.06%
2021-04-11	ETH/USDT	2136.4	25.5111	SELL	99.98%
2021-04-11	ETH/USDT	2137.31	25.52574	BUY	100.08%
2021-04-11	ETH/USDT	2135.02	1e-05	SELL	0.0%
2021-04-11	ETH/USDT	2137.96	7e-05	SELL	0.0%
2021-04-11	ETH/USDT	2134.66	0.05897	SELL	0.23%
2021-04-11	ETH/USDT	2134.15	25.55565	SELL	100.05%
2021-04-11	ETH/USDT	2131.36	25.6147	BUY	100.15%
2021-04-11	ETH/USDT	2134.03	1e-05	SELL	0.0%
2021-04-11	ETH/USDT	2140.64	0.00657	SELL	0.03%
2021-04-11	ETH/USDT	2141.31	25.54014	SELL	100.33%
2021-04-11	ETH/USDT	2142.9	25.54672	BUY	100.43%
2021-04-11	ETH/USDT	2143.27	0.0002	SELL	0.0%
2021-04-11	ETH/USDT	2155.19	0.04999	SELL	0.2%
2021-04-11	ETH/USDT	2148.87	25.47641	SELL	100.43%
2021-04-11	ETH/USDT	2146.79	25.5266	BUY	100.53%
2021-04-11	ETH/USDT	2147.06	6e-05	SELL	0.0%
2021-04-11	ETH/USDT	2152.4	0.01764	SELL	0.07%
2021-04-11	ETH/USDT	2147.56	25.55079	SELL	100.66%
2021-04-11	ETH/USDT	2148.22	25.56849	BUY	100.76%
2021-04-11	ETH/USDT	2148.82	0.00032	SELL	0.0%
2021-04-11	ETH/USDT	2152.05	0.06896	SELL	0.27%
2021-04-11	ETH/USDT	2144.56	25.59388	SELL	100.69%
2021-04-11	ETH/USDT	2140.91	25.66316	BUY	100.79%
2021-04-10	ETH/USDT	2133.49	0.00048	SELL	0.0%
2021-04-10	ETH/USDT	2137.13	0.07589	SELL	0.29%
2021-04-10	ETH/USDT	2126.0	25.81811	SELL	99.8%
2021-04-10	ETH/USDT	2121.85	25.89448	BUY	99.9%
2021-04-10	ETH/USDT	2110.24	1e-05	SELL	0.0%
2021-04-10	ETH/USDT	2116.46	0.00047	SELL	0.0%
2021-04-10	ETH/USDT	2110.57	0.08699	SELL	0.33%
2021-04-10	ETH/USDT	2101.16	26.11395	SELL	99.77%
2021-04-10	ETH/USDT	2096.24	26.20142	BUY	99.87%
2021-04-10	ETH/USDT	2115.09	1e-05	SELL	0.0%
2021-04-10	ETH/USDT	2123.65	0.00072	SELL	0.0%
2021-04-10	ETH/USDT	2116.56	0.05436	SELL	0.21%
2021-04-10	ETH/USDT	2090.98	26.26416	SELL	99.86%
2021-04-10	ETH/USDT	2088.69	26.31925	BUY	99.96%
2021-04-10	ETH/USDT	2092.0	1e-05	SELL	0.0%
2021-04-10	ETH/USDT	2096.98	0.00056	SELL	0.0%
2021-04-10	ETH/USDT	2081.85	0.12251	SELL	0.46%
2021-04-10	ETH/USDT	2074.42	26.42983	SELL	99.69%
2021-04-09	ETH/USDT	2075.49	26.55291	BUY	100.42%
2021-04-09	ETH/USDT	2074.87	0.00012	SELL	0.0%
2021-04-09	ETH/USDT	2077.24	0.07049	SELL	0.27%
2021-04-09	ETH/USDT	2076.02	26.52862	SELL	100.35%
2021-04-09	ETH/USDT	2072.58	26.59923	BUY	100.45%
2021-04-09	ETH/USDT	2070.72	1e-05	SELL	0.0%
2021-04-09	ETH/USDT	2075.3	6e-05	SELL	0.0%
2021-04-09	ETH/USDT	2075.37	0.06061	SELL	0.23%
2021-04-09	ETH/USDT	2075.2	26.55815	SELL	100.42%
2021-04-09	ETH/USDT	2072.54	26.61883	BUY	100.52%
2021-04-09	ETH/USDT	2068.06	1e-05	SELL	0.0%
2021-04-09	ETH/USDT	2071.42	0.00017	SELL	0.0%
2021-04-09	ETH/USDT	2065.29	0.07127	SELL	0.27%
2021-04-09	ETH/USDT	2062.24	26.73378	SELL	100.46%
2021-04-09	ETH/USDT	2058.8	26.80523	BUY	100.56%
2021-04-09	ETH/USDT	2063.8	2e-05	SELL	0.0%
2021-04-09	ETH/USDT	2067.97	0.01081	SELL	0.04%
2021-04-09	ETH/USDT	2067.47	26.73543	SELL	100.72%
2021-04-09	ETH/USDT	2068.7	26.74626	BUY	100.82%
2021-04-09	ETH/USDT	2062.3	1e-05	SELL	0.0%
2021-04-09	ETH/USDT	2073.86	4e-05	SELL	0.0%
2021-04-09	ETH/USDT	2072.76	0.0361	SELL	0.14%
2021-04-09	ETH/USDT	2072.05	26.72031	SELL	100.88%
2021-04-09	ETH/USDT	2071.32	26.75646	BUY	100.98%
2021-04-09	ETH/USDT	2074.27	1e-05	SELL	0.0%
2021-04-09	ETH/USDT	2077.89	0.00028	SELL	0.0%
2021-04-09	ETH/USDT	2075.69	0.12382	SELL	0.47%
2021-04-09	ETH/USDT	2072.99	26.66416	SELL	100.72%
2021-04-09	ETH/USDT	2065.45	26.78827	BUY	100.82%
2021-04-09	ETH/USDT	2072.75	0.00018	SELL	0.0%
2021-04-09	ETH/USDT	2081.02	0.05271	SELL	0.2%
2021-04-09	ETH/USDT	2076.21	26.64978	SELL	100.82%
2021-04-09	ETH/USDT	2074.17	26.70267	BUY	100.92%
2021-04-09	ETH/USDT	2070.96	1e-05	SELL	0.0%
2021-04-09	ETH/USDT	2078.44	7e-05	SELL	0.0%
2021-04-09	ETH/USDT	2078.6	0.03448	SELL	0.13%
2021-04-09	ETH/USDT	2075.95	26.69858	SELL	100.99%
2021-04-09	ETH/USDT	2075.34	26.73314	BUY	101.09%
2021-04-09	ETH/USDT	2073.23	0.00872	SELL	0.03%
2021-04-09	ETH/USDT	2075.95	26.77008	SELL	101.26%
2021-04-09	ETH/USDT	2077.35	26.7788	BUY	101.36%
2021-04-09	ETH/USDT	2072.8	7e-05	SELL	0.0%
2021-04-09	ETH/USDT	2079.67	0.02649	SELL	0.1%
2021-04-09	ETH/USDT	2077.0	26.81034	SELL	101.46%
2021-04-09	ETH/USDT	2077.02	26.8369	BUY	101.57%
2021-04-09	ETH/USDT	2074.6	1e-05	SELL	0.0%
2021-04-08	ETH/USDT	1976.26	0.0012	SELL	0.0%
2021-04-08	ETH/USDT	1975.08	0.17451	SELL	0.62%
2021-04-07	ETH/USDT	2124.29	26.12887	SELL	99.48%
2021-04-06	ETH/USDT	2112.21	26.30459	BUY	100.0%
2021-04-06	ETH/USDT	2115.56	1e-05	SELL	0.0%
2021-04-06	ETH/USDT	2118.86	0.00018	SELL	0.0%
2021-04-06	ETH/USDT	2118.88	0.06911	SELL	0.26%
2021-04-06	ETH/USDT	2115.46	26.24735	SELL	99.94%
2021-04-06	ETH/USDT	2112.0	26.31665	BUY	100.04%
2021-04-06	ETH/USDT	2108.43	0.00814	SELL	0.03%
2021-04-06	ETH/USDT	2112.8	26.35123	SELL	100.21%
2021-04-06	ETH/USDT	2114.26	26.35937	BUY	100.31%
2021-04-06	ETH/USDT	2121.07	0.0285	SELL	0.11%
2021-04-06	ETH/USDT	2123.68	26.26652	SELL	100.4%
2021-04-06	ETH/USDT	2123.5	26.29502	BUY	100.5%
2021-04-06	ETH/USDT	2115.96	0.00027	SELL	0.0%
2021-04-06	ETH/USDT	2125.95	0.08446	SELL	0.32%
2021-04-06	ETH/USDT	2121.31	26.28995	SELL	100.37%
2021-04-06	ETH/USDT	2116.61	26.37468	BUY	100.48%
2021-04-06	ETH/USDT	2109.68	1e-05	SELL	0.0%
2021-04-06	ETH/USDT	2124.93	0.0001	SELL	0.0%
2021-04-06	ETH/USDT	2126.88	0.09068	SELL	0.35%
2021-04-06	ETH/USDT	2126.52	26.21352	SELL	100.33%
2021-04-06	ETH/USDT	2121.3	26.30431	BUY	100.43%
2021-04-06	ETH/USDT	2127.02	5e-05	SELL	0.0%
2021-04-06	ETH/USDT	2131.65	0.05183	SELL	0.2%
2021-04-06	ETH/USDT	2132.09	26.17172	SELL	100.43%
2021-04-06	ETH/USDT	2130.0	26.2236	BUY	100.53%
2021-04-06	ETH/USDT	2125.58	1e-05	SELL	0.0%
2021-04-06	ETH/USDT	2129.44	0.00023	SELL	0.0%
2021-04-06	ETH/USDT	2123.56	0.11434	SELL	0.44%
2021-04-06	ETH/USDT	2121.28	26.2694	SELL	100.3%
2021-04-06	ETH/USDT	2114.18	26.38398	BUY	100.4%
2021-04-06	ETH/USDT	2125.01	1e-05	SELL	0.0%
2021-04-06	ETH/USDT	2128.22	7e-05	SELL	0.0%
2021-04-06	ETH/USDT	2124.01	0.01372	SELL	0.05%
2021-04-06	ETH/USDT	2114.91	26.41382	SELL	100.54%
2021-04-06	ETH/USDT	2115.92	26.42762	BUY	100.64%
2021-04-06	ETH/USDT	2122.13	1e-05	SELL	0.0%
2021-04-06	ETH/USDT	2128.58	0.0008	SELL	0.0%
2021-04-06	ETH/USDT	2119.63	0.11877	SELL	0.45%
2021-04-05	ETH/USDT	2107.38	26.46756	SELL	99.65%
2021-04-05	ETH/USDT	2100.0	26.58714	BUY	99.75%
2021-04-05	ETH/USDT	2086.16	1e-05	SELL	0.0%
2021-04-05	ETH/USDT	2114.73	8e-05	SELL	0.0%
2021-04-05	ETH/USDT	2112.49	0.06122	SELL	0.23%
2021-04-05	ETH/USDT	2111.72	26.43118	SELL	99.72%
2021-04-05	ETH/USDT	2108.94	26.49249	BUY	99.82%
2021-04-05	ETH/USDT	2110.55	0.13523	SELL	0.51%
2021-04-05	ETH/USDT	2112.75	26.36257	SELL	99.51%
2021-04-05	ETH/USDT	2104.07	26.4978	BUY	99.61%
2021-04-05	ETH/USDT	2113.03	0.00035	SELL	0.0%
2021-04-05	ETH/USDT	2115.53	0.07275	SELL	0.27%
2021-04-05	ETH/USDT	2107.51	26.43413	SELL	99.53%
2021-04-05	ETH/USDT	2103.8	26.50723	BUY	99.63%
2021-04-05	ETH/USDT	2097.94	1e-05	SELL	0.0%
2021-04-05	ETH/USDT	2105.83	0.00064	SELL	0.0%
2021-04-05	ETH/USDT	2084.54	0.21821	SELL	0.81%
2021-04-05	ETH/USDT	2080.52	26.63821	SELL	99.01%
2021-04-05	ETH/USDT	2065.63	26.85707	BUY	99.11%
2021-04-05	ETH/USDT	2057.95	5e-05	SELL	0.0%
2021-04-05	ETH/USDT	2064.2	0.01618	SELL	0.06%
2021-04-05	ETH/USDT	2060.41	26.96276	SELL	99.25%
2021-04-05	ETH/USDT	2061.23	26.97899	BUY	99.35%
2021-04-05	ETH/USDT	2059.81	1e-05	SELL	0.0%
2021-04-05	ETH/USDT	2063.6	2e-05	SELL	0.0%
2021-04-05	ETH/USDT	2057.03	0.01586	SELL	0.06%
2021-04-05	ETH/USDT	2056.2	27.08323	SELL	99.49%
2021-04-05	ETH/USDT	2057.05	27.09912	BUY	99.59%

PNL - 1 Year

3721.83

PNL - 3 Year

1061.833540700005

Model Accuracy

N/A%

Model PNL

Backtest Statistics

Start: 2021-01-20 00:00:00+08:00

End: 2021-03-31 00:00:00+08:00

Duration: 70 days 00:00:00

Trading Period: 0 years 2 months 11 days

Beginning Balance: $55,800.00

Ending Balance: $56,861.83

Total Net Profit: $1,061.83

Annualized Return: 1.13%

Return on Initial Capital: 1.9%

Profit Factor: 108.63%

Gross Profit: $13,369.31

Gross Loss: $-12,307.47

Total Return: 1.9%

Max Return: 4.0%

Min Return: -10.08%

Number of Trades: 39

Number of Winning Trades: 16

Number of Losing Trades: 15

Win Ratio: 41.03%

Loss Ratio: 38.46%

Win Days: 13

Loss Days: 8

Max Win in Day: $2,518.90

Max Loss in Day: $-3,466.28

Sharpe Ratio: -0.3313

Sortino Ratio: 0.2772

Annualized Volatitlity: 8.79%

Information Ratio: -6.13%

Omega Ratio: 0.15%

Downside Risk: 5.45%

Beta: 0.0285

Alpha: -1.0

Calmar Ratio: 0.1103

Tail Ratio: 0.0887

Stability of Timeseries: 3.6308%

Max Drawdown: 10.2848%

Max Drawdown Duration: 6 days 16:00:00

sqn: 0.3502

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KNN Portfolio balancing model

Cumulative PNL

Daily PNL

Model Accuracy

Real Time Model PNL

Investment Objective

Model Creator

Video

Facts

Charges & Expenses

Volatitlity Measures

Performance

Holdings

Portfolio Composition

Transaction History

PNL - 1 Year

PNL - 3 Year

Model Accuracy

Model PNL

Backtest Statistics

Choice of Fund