Statistical Arbitrage for Crypto Currencies
- Researched a cross-sectional, long-short seasonal-momentum strategy in crypto with a back tested Sharpe of 0.8 and an information ratio of 0.7 after accounting for fees, commissions and expected slippage.
- Additionally, researched a Reversal strategy based on Multivariate regression between the assets and formed a return stream for each asset regressed on every other.
- Combined all of the strategies based on their volatilities to generate a combined strategy with a back tested SR of 1.6+ and IR of 0.9.
