ETHDubai 2023 hackathon

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About this strategy

This example trading strategy is based on a portfolio construction methodology. It trades using Sushi DEX on Polygon. As a long-only strategy, it only trades in a bull market, indicated by MATIC token 15 days simple moving average (SMA) price. The strategy identifies the top three assets based on alpha signals and allocates them to a weighted portfolio using 1/nth method. Stop loss is triggered at 3%, while profits are taken at 33%. The strategy maintain a 50% cash buffer, and only invests in assets with a minimum available liquidity of 300k USD.

Current performance

Not enough data.

This strategy has not been running long enough to gather sufficient live trading performance data. Strategies may do trades weekly or monthly and it will take several rebalance cycles to reflect the true performance.

Backtesting performance

Backtesting was performed on historical Sushi DEX / Polygon trading data.

Backtesting key metrics

Backtesting period 2022-01-01 - 2023-02-01 (396 days)
Annualised estimated return 60%
LP fees paid ~$1000 USD
Max pullback -10%

Strategy benchmark

Strategy performance compared to various buy-and-hold benchmarks:

  • Strategy
  • ETC
  • BTC
  • USD (do nothing)
Backtest performance chart

Strategy Performance Metrics

Trading period length 396 days
Return % 64.76%
Annualised return % 59.69%
Cash at start $10,000.00
Value at end $16,476.20
Trade volume $404,971.56
Trade win percent 34.00%
Total trades done 50
Won trades 17
Lost trades 33
Stop losses triggered 33
Stop loss % of all 66.00%
Stop loss % of lost 100.00%
Take profits triggered 6
Take profit % of all 12.00%
Take profit % of win 35.29%
Zero profit trades 0
Positions open at the end 1
Realised profit and loss $6,476.20
Portfolio unrealised value $8,238.10
Extra returns on lending pool interest $0.00
Cash left at the end $8,238.10
Average winning trade profit % 17.25%
Average losing trade loss % -4.25%
Biggest winning trade % 44.19%
Biggest losing trade % -6.08%
Average duration of winning trades 3 days
Average duration of losing trades 1 days
LP fees paid $1,051.67
LP fees paid % of volume 0.26%
Average trade: 3.06%
Median trade: -3.86%
Consecutive wins 4
Consecutive losses 9
Biggest realized risk -2.15%
Avg realised risk -1.04%
Max pullback of total capital -10.39%
Max loss risk at opening of position 1.65%

Strategy execution and source code

View strategy notebook source code on GitHub.