Research Article #25 - Low Volatility Factor Effect in Cryptocurrencies
Study of a volatility factor in cryptocurrencies
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Introduction
Hey everyone, Pedma here!
Thank you for your patience with this week’s strategy. I was not confident in one of the strategies that I was working on, so I decided to not release it last weekend.
I also now have a friend helping me with coding these strategies, so that way we will be able to provide strategies faster and more efficiently.
I will try to keep these as short and as practical as I can.
I don’t want to give you a lecture on the theoretical behind these ideas, there’s other sources for that.
I aim for more frequency rather than academic research.
Today we have a pretty good strategy.
It produced around $1.1M of returns while at the same time Bitcoin only produced $650k in returns for the same allocation.
Obviously these are hypothetical results based on historical data and only time would tell if these are accurate.
Nonetheless as we’ll see below, it offered a pretty interesting risk profile, with way lower risk than an average BTC hold.
This is a long/short portfolio which makes it more attractive from the standpoint that it can help smoothing out returns.
Let’s get into the strategy below!
Index
Introduction
Index
Thesis for the Strategy
Strategy Parameters
Strategy Performance and Results
Code Section
Thesis for the Strategy
The efficient market theory suggests that it’s impossible to consistently achieve higher returns than the overall market, due to all information already being priced in.
However some studies show that some simple strategies can potentially beat the market.
Some of these strategies include: