ETH Trending Alpha ST
How does it work?
ETH Trending Alpha ST 2.0 is an adaptable short term automated trend following strategy which uses statistical analysis and technical indicators to identify and exploit short-medium trends.
The strategy uses EMAs and RSI to identify up-trends with a volatility metric for confirmation. We have developed the strategy to be adaptable to varying market cycles, enabling it to assess the current market structure (e.g. trending, sideways, trend strength) and adapt its trading parameters and risk management rules accordingly. The strategy is optimised for shorter time-frames enabling it to exploit some of the more shorter term trends.
The strategy is long-only, rebalancing into ETH when the strategy identifies an up-trend and rebalancing back to cUSDC when not in the market (e.g. flat or bear markets). All cash USD balances earn interest via Compound enhancing returns (not accounted for in back test). The short-term nature of the strategy results in approximately 10 trades per year, each held for an average of 12 days.
The ERC20 token 'ETAS' is associated with the ETH Trending Alpha ST 2.0 set.
Our investment strategies provide investors exposure to highly liquid digital assets that are uncorrelated across a diverse universe of global markets. They provide uncorrelated returns to traditional and alternative asset classes. The highly liquid markets in which we trade enable scalability, operational efficiency and daily liquidity.
Live on-chain performance is verifiable and immutable. In the first few weeks of live trading on Token Sets the ETA sets have proved to be some of the best performing strategies to date.
We apply a rules-based systematic approach to trade execution, ensuring consistency and discipline, while reducing behavioural bias and operational risk.
Our strategies are optimised for high risk-adjusted returns. Capital preservation is a priority when developing wealth- building strategies. The adaptable nature of the model allows trading parameters to automatically adjust based on market dynamics.
Our team has extensive experience across blockchain start-ups, digital assets, and tier 1 global investment banks. We believe a thorough understanding of the core technology is essential in order to successfully navigate the world of digital assets. Our experience spans global institutions such as Bank of America Merrill Lynch, Citigroup and Quality Capital Management.
Live Trading Performance
Live performance on the previous ST set on Token Sets prior to the set upgrade was +101% vs ETH from inception on 25th February 2020 to 27th March 2020.
Back test period from January 2017 to February 2020 (3 years)
Performance shows a 25,159% return with an 18.1% drawdown (versus ETH buy and hold strategy of +2,358% with +90% drawdown)
Profit factor of 8.5
Full Back Test Results: Back Test Performance for 2.0
IMPORTANT: Back-tested performance does not guarantee similar future performance. Future performance may be worse than the back test suggests.
Back Test Results
Performance vs ETH Buy and Hold
Comparing this to a buy a hold ETH strategy, the ETH Trending Alpha ST 2.0 (ETAS) shows over a 10x gain over a buy and hold strategy since January 2017, with much more favourable drawdowns over the period.
The short term nature of this trend-following strategy provides the following benefits:
The strategy can identify a higher number of profitable opportunities compared to
longer term systems (not to be confused with more profitable trends).
The model adapts its trading parameters based on the market structure at the time - It will hold onto losers for a shorter period of time compared to a longer term strategy, reducing the max drawdown.
It can take advantage of more shorter term trends which occur frequently in ETH