Published: 23 Feb 2018 › Updated: 23 Feb 2018
Long short statistical arbitrage on 20 cryptocurrencies
Hi All,
I am an independent quantitative researcher primarily researching quantitative trading strategies on US equities. I used Enigma Catalyst to down data try one of my models on 20 cryptocurrencies from Feb 2016 to Feb 2018 and the results are impressive. Here is a P/L graph.
The results are 250% in 2 years for a long short dollar neutral strategy. The only cost is margin for shorting cryptos.
Do you think such a model is feasible in real trading?
Leave Long short statistical arbitrage on 20 cryptocurrencies to:
Best Posts From pavybez
We have not curated any of pavybez's posts yet. But you can encourage our curation team to review posts by visiting them regularly and by referring other readers. Because we give priority to frequently read content.