Investment
I have been developing AI-powered cryptocurrency trading strategies since late 2020 and obtained some remarkable results in both back-tests and real trading. The strategies earn over 4000% in 2020 with an annualized Sharpe ratio above 4.0. The results are under the assumption of 15 basis point transaction costs.
The strategy is a relative valuation strategy, i.e., it identifies undervalued/overvalued coins and goes long/short on them. It trades coin futures from a pool of 71 coin futures and holds the coins for several hours up to 24 hours.
If you are interested in investing in cryptocurrencies or doing a related business, please contact me by email.
Backtest (2020.01.01 - 2021.02.13)
The following chart shows the backtest result from one of the strategies (APRI) I am using for my fund. The y-axis is the log-scale cumulative return. It shows that the total cumulative return until 2021.02.13 is 25,400%. For the same period, Bitcoin (BTC) earned mere 580%. The annualized Sharpe ratio of the strategy is 4.27, whereas that of Bitcoin is 2.49. The maximum drawdown (MDD) of the strategy is a bit higher, which happened during the Covid19 market crash in March 2020. I apply loss-cut in real trading and the actual MDD should be lower.
Mean return and Stddev are the annualized mean return and standard deviation, respectively. All numbers are decimals.
Real Trading (2020.02.06 - )