Break Time System
A. Christian Silva
11/3/2024
Break Time System (BTS)
Strategy
Strategy uses regime change detection algorithm to identify trends
Strategy is long/short and it has holding periods of months. It can trade perpetuals or spot.
Capacity depends on implantation (DEX or CEX) but should be large (>$100M).
IMPORTANT! Strategy is under active development: performance as well as other stats will change.
Performance (simulation)
- Trading Ethereum (ETH).
- Long/Short.
- TC is ignored given the very long holding period.
- 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) | ||
| BTS | BTC | |
|---|---|---|
| Annualized return(%) | 96.70 | 84.3 |
| Annualized volatility(%) | 66.90 | 70.5 |
| Annual Sharpe (Rf=0) | 1.45 | 1.2 |
| Max drawdown(%) | 58.00 | 83.0 |
| Day VaR 99% (%) | -12.50 | -14.9 |
| Day corr w/BTC(%) | 19.00 | NA |
| BTS | |||||||||||||
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | 12.6% | −18.9% | −1.6% | 8.6% | 43.0% | 10.9% | −18.6% | −16.1% | 5.2% | 1.5% | −11.6% | −10.4% | −9.3% |
| 2020 | 26.4% | 17.6% | −28.5% | 38.1% | 8.9% | −2.1% | 34.8% | 18.0% | −12.0% | 6.6% | 35.5% | 16.5% | 268.5% |
| 2021 | 54.2% | 1.4% | 27.6% | 32.7% | 1.1% | −13.8% | 12.3% | 25.9% | −7.7% | 27.9% | 7.1% | −12.6% | 260.4% |
| 2022 | −3.8% | −8.3% | −13.0% | 11.0% | 23.1% | 47.9% | −33.5% | 3.7% | 7.6% | −11.2% | 11.0% | 2.8% | 16.8% |
| 2023 | 9.7% | 2.6% | 8.4% | 3.6% | −2.1% | −0.1% | 0.3% | −7.1% | −0.2% | −4.9% | −10.3% | 9.2% | 7.3% |
| 2024 | 2.3% | 30.9% | 3.4% | −12.0% | 17.5% | −6.4% | −2.5% | 17.2% | −3.6% | −0.2% | −0.2% | 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.