An experiment into factor investing on crypto's
Results: first 1.5 week had an unintended short-bias; price dropped so there was unintended profit. This was corrected and excluded from run.
2 weeks: return: 3.81% highest return: 3.81% highest drawdown: -4.45%
4 weeks: return: -8.41% highest return: 4.12% highest drawdown: -12.6%% Note: DeFi bubble burst, loads of new futures contracts available. Might switch available symbols.
6 weeks: Major overhaul to used assets due to defi bubble bursting. Reset count. So far Return: 4.11% Drawdown: -3.47% Beta to market seems lower but doubt about risk-adjusted return.
3 Months: Starting research on more factors. Added a slight edge to the long side of the strategy to increase market exposure. (taking market exposure from random to definitely positive) So far: Return: 13.27% Drawdown: 5.01% Clear upward trend forming in returns
Went live in January on a 3-factor strategy based on Momentum, Reversal and Network Value to Transactions (as a proxy for Value). Code coming soon.
NOTE: code presented here is purely a reference for how to implement a factor investing bot on crypto futures. Blindly running the code will not work.