Astraeus

average crayon eater | I (try to) build and run mev bots and trade systematic crypto strategies

[Astraeus @AstraeusCap]

As promised, here's my first attempt to reverse engineer profitable live Hyperliquid vaults (will not be the last). Put quite a bit of work into this, so I hope this is an enjoyable read. If I made mistakes, please point them out! https://t.co/bc4K7n0eop

[Astraeus @AstraeusCap]

@0xchoomba Thank you! Always fun stumbling on things accidentally just to find out it's been extensively discussed haha

[Astraeus @AstraeusCap]

Can someone smarter than me answer please:

Is trend following effectively just a synthetic long straddle where you pay some form of (what is basically) theta decay on low vol months?

Been looking into other HL vaults that trend follow and this seems to be the case.

Am I missing something?

[Astraeus @AstraeusCap]

@pedma7 Nerd rabbit hole always a great idea highly recommend

[Astraeus @AstraeusCap]

@sigma_founder Great explanation, thank you! Was playing around with a vault and noticed that when I fit it, it looked interesting. Appreciate you taking the time to answer!

[Astraeus @AstraeusCap]

@MezonAntropov Our systematic version of it!

[Astraeus @AstraeusCap]

As promised, here's my first attempt to reverse engineer profitable live Hyperliquid vaults (will not be the last). Put quite a bit of work into this, so I hope this is an enjoyable read. If I made mistakes, please point them out! https://t.co/bc4K7n0eop

[Astraeus @AstraeusCap]

@FMChain_ @SystemicStratHL @pedma7 My mistake then.

[Astraeus @AstraeusCap]

@mempoolwindow Slip + taker fees on entry was used so queue position doesn’t really matter for my interpretation. Using maker fills set a fixed % below probably does make sense becuase then you only get selected in the event of a quick dip which I think would be indicative of forced selling.

[Astraeus @AstraeusCap]

@TheApeDesk Time based exit makes sure you’re not in a position for longer than x days, while the short term nature of intraday forced sell flow makes funding not a huge deal

[Astraeus @AstraeusCap]

It only works because so capital inefficient. You can scale to ~10% vol and it’ll hit -13/15% drawdowns but this is just selling cascade protection daily until you punt a large amount in one go.

Would be fun to test with another strategy layered — something like short trash, long good coins (mainly just cross sectional momentum) to see if that gives a better eq curve

[Astraeus @AstraeusCap]

@enchiriDYOR @FMChain_ Yeah, as it turned out it’s a risk premia. Won’t ever prob get all of it but managed to get something very similar so pleased with the result!

[Astraeus @AstraeusCap]

Coming soon. Effectively it’s short gamma and that has paid over the years on avg

[Astraeus @AstraeusCap]

Spent the day reverse engineering some HL vaults with >2 sharpe. This is fun, will democratize that info soon as well

[Astraeus @AstraeusCap]

@SystemicStratHL classic cyclical factor/signal rotations. looks cool!

[Astraeus @AstraeusCap]

@etherskiz0 On the list, thank you! Looks fun will do

[Astraeus @AstraeusCap]

@flipchek1

[Astraeus @AstraeusCap]

@kimsubbae114 Will take a peek and try. If I can this might turn into a recurring series!

[Astraeus @AstraeusCap]

@0xaranz Unfortunately not. Will keep sharing the research though!

[Astraeus @AstraeusCap]

No. With taker we'd get filled on all trades (assuming small-ish size but that a req for this anyway bc blow up risk). There's a good chance though (will actually model this now, you got me thinking) but that the trades the vault's maker orders missed are positive selection bias because they aren't getting filled unless price makes a sharp drop through their level (sign of forced selling)

Will test and let you know

[Astraeus @AstraeusCap]

@dxyzor The edge has slowly whittled down over the years. Strategies change and cycle all the time, it’s just about being adaptable and always innovating

[Astraeus @AstraeusCap]

@TradeNeutral link it here! Will do it

[Astraeus @AstraeusCap]

@tradeifyperps Appreciate it! Once you get a chance to read it, let us know your thoughts

[Astraeus @AstraeusCap]

The vault is real, and has been live for the last 7 months: https://t.co/xN7y0QWNha

This is the vault for anyone interested. @FMChain_ was kind enough to reach out and let me know it was his company’s vault when he saw the PnL shape from my last post, and then discuss with me once I had more data while I was writing this up.