Not so long ago I shared a simple equities portfolio, which combines well-documented risk premia for people to follow. I got many questions about crypto, so I decided to put up…
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Not so long ago I shared a simple equities portfolio, which combines well-documented risk premia for people to follow. I got many questions about crypto, so I decided to put up one of the low-frequen…
Not so long ago I shared a simple equities portfolio, which combines well-documented risk premia for people to follow. I got many questions about crypto, so I decided to put up one of the low-frequency strategy I trade on the website as well. It's a daily-rebalance long/short book on the most liquid crypto perps trading momentum but goes slightly beyond a simple trend-following ruleset. It is using derivative data to look at positioning and decide which trends to trust and when to pull risk off the table. I have been running this for a while now with a full backtest going back to 2022. One good thing is that returns are moving largely independently of Bitcoin, so this can be a good addition to B&H. Same as the equities portfolio, signals land every day a few hours after the close, sized to your account, and you can also choose your volatility target if you prefer lower drawdown. It's a convex strategy with long flat stretches and about five years of data, which is not all that much. But I still think it's a good system to run for everyone who doesn't want to stare at charts the whole day and can accept the painful return shape of the momentum book.
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