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My first cryptocurrency stat arb algorithm

I normally work with equity models but tried one of my statistical arbitrage models on cryptocurrencies and here are the results.

http://i67.tinypic.com/6nsgsj.jpg

It is a long short dollar neutral strategy using 20 coins and so the only cost is margin.

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I am offering this algorithm for sale. It works on Crypto and equities. Don't have future data to try. Will post all details such as CAGR Sharpe etc. soon.

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Hi Pravin,

Any update on this algo, do you have a tearsheet to share ?

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