ETH Trending Alpha ST 3.0 — Updates

Updates to the Tokensets ETAS strategy

I am pleased to present new updates to the ETH Trending Alpha ST strategy on Tokensets (ETAS). After a good amount of live trading we have decided to make some important performance updates to the ST strategy on the Tokensets platform due to three main reasons:

• The use of leverage and shorting in our in-house ST model, on which ETAS was originally based, provides many multi-dimensional benefits to the strategy which we are still unable to provide on Tokensets at the moment.
• Appetite from Tokensets audience preferring higher risk/higher return strategies
• ETH fees have been extremely high recently and there is now an argument to adapt the strategy to a longer timeframe with less frequent rebalances.

So what’s changed?

The strategy has been adapted and simplified to focus more on the price trend aspects of the strategy and less on volatility. In addition, we have increased the timeframe which results in less frequent trades and longer holding periods. This strategy will form the foundation of our multi-asset portfolio tokensets strategy which will be launched once the new features are available on Tokensets. We believe these changes should have a positive impact on performance of the ST model, making the model more suitable for a long-only unleveraged environment. We have also been able to provide better visuals on our backtest performance broken down by time (see below).

Backtest results from Jan 2017 — July 2020:

• Compound Annual Growth Rate (CAGR): 366.24% per year (23,172% total period)
• Number of trades: 15 (approx 5 per year)
• Strike rate: 53.33%
• Sharpe: 1.97
• Max drawdown for entire period: 40%

Equity Graph over time

Trade Returns over time

As shown above trades are far less frequent and with much longer holding periods. All changes are effective on the ETAS strategy as of today.

A big thank you to all set holders who have supported us on Tokensets so far. We look forward to bringing you some new strategies and updates in the near future as new features are rolled out on Tokensets!

Adam