HYeah

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HYeah

@HyeahTrades

building a systematic trading framework that trades my own money and journaling my progress

Katılım Aralık 2021
1.1K Takip Edilen57 Takipçiler
HYeah
HYeah@HyeahTrades·
currently writing a backtest on this. Doing spot only for now (hence long-only) and hysteresis simply means using a threshold or "deadband" that stops your system from flipping positions too often. Dynamically changing the universe means rolling window of cryptos per date across time
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HYeah
HYeah@HyeahTrades·
Does a long-only trend-following strategy applied to a dynamically-reconstituted universe of top-N cryptocurrencies by market capitalization, with hysteresis-based turnover reduction, generate statistically significant risk-adjusted excess returns net of realistic transaction costs, and can we differentiate this alpha from systematic exposure to the crypto risk premium?
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HYeah@HyeahTrades·
Current research question I am trying to answer ^
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HYeah@HyeahTrades·
Been busy with work, haven’t gotten around finishing the backtest, but first time making beef stew, came out great
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HYeah@HyeahTrades·
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HYeah@HyeahTrades·
Cooking
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cephalopod
cephalopod@macrocephalopod·
@choffstein No, you're completely correct. The only reason I am not trading Hyperliquid right now is regulatory. There's enough liquidity, the breadth of markets is good and my strategies would absolutely kill it there. But there's the KYC issue, so it's a no go for now.
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Corey Hoffstein 🏴‍☠️
Corey Hoffstein 🏴‍☠️@choffstein·
I'm going to say something... Before I do, here are two caveats: (1) I'm talking shit from the cheap seats with no particular insight; and (2) I wouldn't bet against @chameleon_jeff. My take: going from perps → spot → rwa → outcome trading may help you bootstrap the "aws of liquidity" with your existing crypto-native flow, but to become the "house of all finance," eventually Hyperliquid has to deal with onboarding non-crypto native and institutions. Maybe you can outsource the onboarding of that flow through builder codes (e.g. partner with someone like Interactive Brokers), but the core liquidity infrastructure is still going to require serious AML/KYC solutions for those relationships to work. Regulators don't usually cede power. It doesn't matter how many novel markets you add: legitimate institutions will not be able to touch your platform without regulatory alignment. Use S3 points to bootstrap KYC orderbooks and reinvest revenue into figuring out regulatory alignment. Then you can truly offer Liquidity as a Service.
Hyperliquid@HyperliquidX

HyperCore will support outcome trading (HIP-4). Outcomes are fully collateralized contracts that settle within a fixed range. They are a general-purpose primitive that are useful for applications such as prediction markets and bounded options-like instruments. There has been extensive user demand in both of these areas, and builders will likely think of novel applications as well. Outcomes bring non-linearity, dated contracts, and an alternative form of derivative trading that does not involve leverage or liquidations. The outcome primitive expands the expressivity of HyperCore, while composing with other primitives such as portfolio margin and the HyperEVM. Outcomes are a work in progress and currently only being tested on testnet. Canonical markets based on objective settlement sources will be deployed once technical development is complete. Canonical markets will be denominated in USDH. Pending user feedback, the infrastructure will be extended to permissionless deployment.

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HYeah retweetledi
HYeah
HYeah@HyeahTrades·
Tested with 5 coins (BTC, ETH, SOL, LTC and BNB). Also added portfolio weights. This obviously has survivor ship bias due to picking cryptos that "survived" since 2018. I will try to do a rolling window of the top 10 cryptos by marketcap (similar to what @ScottPh77711570 mentioned in the podcast with @choffstein ) and see what it gives me. Super proud of the results so far. Hoping to implement live in hyperliquid by the end of this month
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HYeah@HyeahTrades

Went ahead and added both strategies into a singular forecast. Will now work on diversifying with the top 20 crypto assets. I basically did equal weight, then moved on to inverse volatility weighting. Super happy with the results.

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HYeah
HYeah@HyeahTrades·
@weaponizedFOMO @ScottPh77711570 🫡 yeah I definitely have a lot more work to do before I begin to deploy this live, doing this after my 9-5 as a one man shop so just trying my best haha.
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Jeff Grift (Optimist Prime)
Jeff Grift (Optimist Prime)@weaponizedFOMO·
the starting point of that portfolio equity curve messes you up. the outcome varies wildly depending on where you pick. around 2009 banks like DB and UBS launched these index options overlay strategies as an alternative to going long the SPX - here SPX is bitcoin and the options overlay structures are akin to your alts. between 2009-12 these programs reaped abnormal returns because derivs mkts didn't price in this repeat business. if you look at the performance of these overlay strats vs. pure index from 2012 onwards they got murdered by simply going long mkt, even before fees. not discouraging you from doing all these numbers, far from it. but sometimes it's almost best to not even do the EC because that's usually the first thing eyeballs focus on and you rush in from all the counterfactual money you can make (and never will). but if you're larping to investors, definitely put that mfer front n center. and sprinkle some cocaine on it too for good measure.
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jez (equity perps era)
jez (equity perps era)@izebel_eth·
@ScottPh77711570 @HyeahTrades the main issue as he said is hes testing it with todays majors any backtest buying the current sp500 will look amazing because, well, its the current top500 i think it will look *very* different with rolling top 5/10
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HYeah
HYeah@HyeahTrades·
@ScottPh77711570 Wtf you actually replied, hell yeah 😎 thanks for the advice my goat 🙏🏼
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Temu Robot James
Temu Robot James@ScottPh77711570·
@HyeahTrades Great work. Couple of points 1. Market in 2018 is nothing like it is here, take that as a historical tale only 2. As a general proposition optimal trend lookbacks have gotten faster (more competitive) 3. This edge is so strong you could trade it with a potato
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HYeah
HYeah@HyeahTrades·
forgot to make my profile public, so I have literally been posting for my 27 followers lmao, shoutout
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HYeah
HYeah@HyeahTrades·
Also am thinking of adding a carry strategy (long spot short fut?) and momentum (still don't know much about this) but I know they will help balance out the drawdown
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HYeah
HYeah@HyeahTrades·
@ScottPh77711570 Forgot to mention, but I do need to do some bootstrapping to see if the performance is statistically significant!
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tofikyeah
tofikyeah@tofikyeah·
my gf looking at my autistic self lose 70k because I leaked my private key
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taobanker
taobanker@taobanker·
this is my quant
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Keşfet

@macrocephalopod @choffstein @chameleon_jeff @1337_bart @ScottPh77711570 @investingidiocy @weaponizedFOMO @izebel_eth