Monitoring your strategies’ performance is a key step in your journey as a crypto trader on HAL. To make things easier, we frequently release quarterly analyses for our strategies. This article will focus on Pulse: ETH, covering the period from July 10 to October 10.
How Does Pulse: ETH Work?
Pulse: ETH is part of the Pulse strategy family. Pulse strategies are aggressive, long-short strategies. They can follow both uptrends and downtrends by going either long (buy) with the expectation that prices will rise, neutral (no position) or short (sell), betting on a price drop. They are designed to perform best in volatile markets with short-term trends.
More specifically, Pulse: ETH combines 3 short-term and medium-term strategies on ETH (ETH-USD). The strategies check on ETH’s price movement every hour, to trigger a buy or sell signal according to its analysis of the market. The strategies also uses filters to reduce trading in noisy markets without short-term trends.
Market Situation Overview: What Happened These Past 3 Months?
ETH and BTC have been trading at low price levels. This is a result of a tense geopolitical and macroeconomic context. The Russia-Ukraine war, the continued lockdowns in China, and the global concern over energy prices are some of the factors creating inflationary pressure on economies worldwide. In order to curb inflation, the Fed is rising US interest rates, which negatively impacts all risky assets.
How did Pulse: ETH Hourly Perform?
The strategy’s net return for the past 3 months is 26,19% (versus 10,41% for ETH) . Thanks to its long exposure, Pulse: ETH benefited from the almost 60% rebound of ETH between the 12 July and 17 August ($1,100 to $1,800). It then switched to short between 19 August and 1 September, right before ETH dropped 12% ($1,800 to $1,600). Then it turned long again between 1 September and 14 September with a gain of almost 12% (1600 to 1800).
Finally, it had benefit from another short exposure between 14 September and 27 September with 25% drop of ETH ($1,700 to $1,300).
This good timing allowed the strategy to outperform ETH, its underlying asset, by 15.78%.
Pulse: ETH vs ETH
When analyzing how your strategies are faring, you should always check metrics against their underlying asset, in this case ETH.
Over the July 10 – October 10 period, Pulse: ETH outperformed ETH in all key measures. Not only is its return higher (26,19% vs 10,41%), its volatility is lower (74,42% vs 91.73%). Its Maximum Drawdown (MDD) is also lower: the biggest drop from a high to a low was -17,10% for Pulse: ETH Hourly, -37,19% for ETH.
As a result, Pulse: ETH’s Sharpe ratio is higher than ETH’s (2,04 vs 0.52). This ratio tracks return against risk: a higher Sharpe ratio means the strategy is a good performer in that regard.
Disclaimer:
Investing involves risk, including the possible loss of all the money you invest. In particular, crypto-assets are a highly volatile and speculative asset class. HAL is only suitable for traders who are willing to bear the risk of loss and experience sharp drawdowns. Past performance is not necessarily a guide to future performance. The performances presented are real performances calculated net of execution fees and slippage from a proprietary Binance account.
The purpose of this material is to provide objective, educational and interesting commentary and analysis on developments in the crypto-assets sector. Nothing in this material should be interpreted as constituting an offer of (or any solicitation in connection with) any investment products or services by any member of the CoinShares Group where it may be illegal to do so. Access to any investment products or services of the CoinShares Group is in all cases subject to the applicable laws and regulations relating thereto.