ETHDubai 2023 hackathon
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
- ▬ MATIC
- ▬ ETC
- ▬ BTC
- ▬ USD (do nothing)
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.