The statistics below come from the first systematic strategy developed with Judge Research's software stack. We are currently working on the code base needed to go live with test capital.
The strategy is a long-short strategy that holds positions in BTC & ETH spot & perps for time periods of 15 minutes - 1 hour. It is designed to have close to zero correlation with the market over the long run.
Figures are refreshed on a daily basis, with enough delay they cannot be used by others. All the data below comes from after the models were fit & the strategy designed.* Slippage + fees are assumed to be 17.5 basis points.
*After thirty-eight days, the strategy enjoyed a Sharpe of 5.8 and total returns of 19%. A change was made in the rules dictating position liquidation, this roughly tripled our exposure time and therefore increased the profit substantially. The below figures represent this change.
|Start||End||Duration||Exposure||n Pos.||Mean Hold Time||Returns Summed||Cumulative||Today||Month To Date||Annualized||Buy & Hold||Sharpe||Sortino||Win %||W/Out Slip.||Max Drawdown||M.D. Duration|
|2022-11-17 06:45||2023-01-13 16:45||57 days 10:00||14.25%||272||0 days 00:45||40.63%||54.55%||0.02%||5.68%||658.55%||16.98%||16.78||18.33||57.35%||77.21%||-5.88%||24 days 15:09|