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.

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

Update Backtest

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.


Hi Pravin,

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


Update Backtest


The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


This discussion is closed