HYeah

building a systematic trading framework that trades my own money and journaling my progress

[tofikyeah @tofikyeah]

I’m unemployed but I get paid like I got a job

[tofikyeah @tofikyeah]

#1 house done
#2 house foundation has been poured

[tofikyeah @tofikyeah]

I made 200k profit YtD with perps starting with 20k jan 1st

Ask me anything

[tofikyeah @tofikyeah]

made 200k profit with 20k YtD with only perps

100k in Lighter
100k in Hyperliquid

My thoughts:

First, I merely picked the exchange to trade based on the asset that I was trading

still, I mainly enjoyed HL's vast number of stock names to trade + had the most liquidity

[HYeah @HyeahTrades]

currently writing a backtest on this. Doing spot only for now (hence long-only) and hysteresis simply means using a threshold or "deadband" that stops your system from flipping positions too often. Dynamically changing the universe means rolling window of cryptos per date across time

[HYeah @HyeahTrades]

Does a long-only trend-following strategy applied to a dynamically-reconstituted universe of top-N cryptocurrencies by market capitalization, with hysteresis-based turnover reduction, generate statistically significant risk-adjusted excess returns net of realistic transaction costs, and can we differentiate this alpha from systematic exposure to the crypto risk premium?

[HYeah @HyeahTrades]

Current research question I am trying to answer ^

[HYeah @HyeahTrades]

Been busy with work, haven’t gotten around finishing the backtest, but first time making beef stew, came out great

[HYeah @HyeahTrades]

Been busy with work, haven’t gotten around finishing the backtest, but first time making beef stew, came out great

[HYeah @HyeahTrades]

Cooking

[HYeah @HyeahTrades]

@macrocephalopod @choffstein So what you are saying is you have strategies that work for crypto 😀

[HYeah @HyeahTrades]

@1337_bart @ScottPh77711570 It is a combination of 4 variations of EWMA Trend Following and 3 variations of Donchian Breakout.

Some quick resources you can look into:

1. Robert Carver Systematic Trading Book (@investingidiocy)
2. https://t.co/QR2aMkIPJa

[HYeah @HyeahTrades]

Tested with 5 coins (BTC, ETH, SOL, LTC and BNB). Also added portfolio weights. This obviously has survivor ship bias due to picking cryptos that "survived" since 2018. I will try to do a rolling window of the top 10 cryptos by marketcap (similar to what @ScottPh77711570 mentioned in the podcast with @choffstein ) and see what it gives me. Super proud of the results so far. Hoping to implement live in hyperliquid by the end of this month

[HYeah @HyeahTrades]

Went ahead and added both strategies into a singular forecast. Will now work on diversifying with the top 20 crypto assets. I basically did equal weight, then moved on to inverse volatility weighting. Super happy with the results.

[HYeah @HyeahTrades]

@weaponizedFOMO @ScottPh77711570 🫡 yeah I definitely have a lot more work to do before I begin to deploy this live, doing this after my 9-5 as a one man shop so just trying my best haha.

[HYeah @HyeahTrades]

@izebel_eth @ScottPh77711570 Just saw a tweet explaining it better but yeah essentially trying to fix my selection and survivorship bias

[Pavel | Robuxio @PKycek]

This trend following backtest shows incredible returns.

But there's one problem...

It's lying to you.

Here's what's actually happening:

[HYeah @HyeahTrades]

@ScottPh77711570 Wtf you actually replied, hell yeah 😎 thanks for the advice my goat 🙏🏼

[HYeah @HyeahTrades]

forgot to make my profile public, so I have literally been posting for my 27 followers lmao, shoutout

[HYeah @HyeahTrades]

Also am thinking of adding a carry strategy (long spot short fut?) and momentum (still don't know much about this) but I know they will help balance out the drawdown

[HYeah @HyeahTrades]

@ScottPh77711570 Forgot to mention, but I do need to do some bootstrapping to see if the performance is statistically significant!

[HYeah @HyeahTrades]

Tested with 5 coins (BTC, ETH, SOL, LTC and BNB). Also added portfolio weights. This obviously has survivor ship bias due to picking cryptos that "survived" since 2018. I will try to do a rolling window of the top 10 cryptos by marketcap (similar to what @ScottPh77711570 mentioned in the podcast with @choffstein ) and see what it gives me. Super proud of the results so far. Hoping to implement live in hyperliquid by the end of this month