Automatic Cycle Detection Complex
A. Christian Silva
11/3/2024
Automatic Cycle Detection Complex (ACDC)
Strategy
Strategy uses pattern recognition and machine learning to identify trend and mean-reversion periods.
Strategy is long/short and it can have holding period of few hours. It can trade perpetuals or spot.
Capacity depends on implantation (DEX or CEX) but less than $10M per token.
IMPORTANT! Strategy is under active development: performance as well as other stats will change.
Performance (simulation)
- Trading Ethereum (ETH).
- Long/Short.
- TC = 5 bps per trade.
- Interest rates are taken to be zero: cash positions do not accrue interest.
- Volatility level comparable to spot ETH by design.
- Performance of a long buy-and-hold Bitcoin (BTC) position is also shown for comparison.
| Statistics (2016-2024) | ||
| ACDC | BTC | |
|---|---|---|
| Annualized return(%) | 144.00 | 84.3 |
| Annualized volatility(%) | 67.10 | 70.5 |
| Annual Sharpe (Rf=0) | 2.15 | 1.2 |
| Max drawdown(%) | 56.00 | 83.0 |
| Day VaR 99% (%) | -11.60 | -14.9 |
| Day corr w/BTC(%) | 8.00 | NA |
| ACDC | |||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 21.8% | 35.2% | 20.1% | −1.6% | 6.9% | 4.5% | 44.5% | 42.2% | 8.4% | −14.0% | 34.1% | 42.9% | 708.9% |
| 2021 | 28.5% | 27.8% | −0.8% | 0.4% | 10.2% | 33.4% | −6.2% | 27.4% | −16.6% | 2.2% | 38.0% | −17.7% | 178.1% |
| 2022 | −19.8% | −17.2% | −1.4% | 14.8% | 9.5% | 24.0% | 22.2% | 25.3% | 11.1% | 3.7% | 16.9% | −3.8% | 102.2% |
| 2023 | 9.5% | 3.0% | −13.7% | 9.9% | 5.1% | 13.4% | 4.2% | −2.7% | −6.2% | 4.9% | 2.8% | −1.0% | 29.6% |
| 2024 | 8.4% | 10.6% | 10.8% | −13.3% | 27.2% | −12.1% | −8.8% | 28.6% | 16.6% | −12.7% | −0.7% | NA | 52.0% |
| Simulated returns that include transaction costs but do not include management fees and/or performance fees. The simulation also does not include interast rate on cash reserves. | |||||||||||||
Disclaimers
It is important to note that simulations are not real returns and therefore can only serve as an approximate view of the risk/return profile of a given strategy. Finally, it is fundamental to stress that past performance is not indicative of future results, and any historical returns presented should not be taken as a guarantee of future performance. Investors should carefully consider their financial objectives, risk tolerance, and investment horizon before investing.