Long short statistical arbitrage on 20 cryptocurrencies

in statistical •  7 years ago 

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.

cryptoPNL.JPG

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?

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