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20 Sharpe long short cryptocurrencies

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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.


With 15 bps commission and 10 bps slippage.

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Hi, I used to follow your posts in Quantopian very much.  Really appreciate your work
I'm also exploring stat. arb in crypto space. I believe you've used catalyst for backtesting purposes here. 

I found lot of data inconsistency issues in catalyst, so just wanted to check if this is currently being traded anywhere or did you try backtesting in Quantconnect

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Well, the portfolio evolution is definetely impressive in terms of maximum drawdown.

But no word of a given benchmark and a number of cryptos traded. It's not even stated if they are from the top 20\50 tier.

If these assets have low capitalization, the model probably will not survive the market due to inconsistent market spreads with these currencies.

But that is just a guess, since there is no info given on the insights count.

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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.


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