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
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
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?
@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
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
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.
@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.
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
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