Crypto Centaur Performance Update for June 2024

Centaur’s Hedging Properties Shine in June

For background and context, please read the initial report, “Can Triple Digit Returns Last?”, which details the inception and early performance of the Crypto Centaur Long/Short Momentum Strategy:

Can Triple-Digit Annual Returns Last?

The Crypto Centaur Long/Short Momentum Strategy operates under two leverage levels:

• Savage Surge (SS) — Medium leverage, and
• Insane Gain (IG) — High leverage.

1. Actual Performance during the Live Trading Period

• Following modest underperformance in May, both Crypto Centaur strategies (IG & SS) demonstrated their ability to generate profits in a declining crypto market in June. While Bitcoin fell by 7.1% during the month, the Centaur strategies achieved gains of 26.6% and 13.7%, respectively.
• Over the 7-month live trading period, Crypto Centaur has consistently outperformed Bitcoin across all three return metrics as well as the Sortino Ratio, our preferred risk-adjusted return metric.
• The compounded annualized growth rate (CAGR) for both strategies (IG & SS), as well as for Bitcoin, remains very high compared to the longer backtest period results because the live trading period occurs within a bull market regime, while the backtest period includes prolonged drawdowns for Crypto Centaur and two bear markets for Bitcoin.
• Similarly, the Sortino Ratio is still significantly above our long-term average expectations due to the current bull market conditions compared to the more extended backtest period.

Figure 1

Figure 2

2. Modelled Backtest Results 14 Feb 2018–30 June 2024

• We conducted backtests for both strategies (going back as far as the data allows) to gauge their long-term performance, combining these results with the live trading period to provide a comprehensive view. Note that the data presented below includes modelled results for the live trading period, not actual trading outcomes. We compare actual results to modelled results in section 3 below.
• Figure 4 illustrates the transition point between the theoretical backtest period and the commencement of the live trading period.
• Both strategies (IG & SS) outperform Bitcoin across all return metrics and risk-adjusted return metrics. However, it is important to note that these backtest results are not necessarily indicative of future performance.

Figure 3

Figure 4

3. Comparing Actual Results to Modelled Results

• The actual performance of both strategies (UG & SS) closely aligns with the modelled backtest data, validating the robustness of the strategy models and demonstrating their effectiveness in live trading conditions.
• Any observed deviations between the actual and modelled results are within acceptable ranges. These differences arise from real-world trading dynamics, such as slippage, liquidity issues, and execution delays, which are not fully captured in the theoretical model. While the model provides a baseline expectation using historical data, actual trading outcomes may vary due to these practical factors.
• However, we have observed that the Insane Gain strategy is increasingly diverging from its modeled performance curve, and we need to investigate this phenomenon further

Figure 5

Conclusion

In June 2024, Crypto Centaur’s hedging capabilities excelled, with Savage Surge and Insane Gain strategies outperforming Bitcoin by 33.7% and 20.8%, respectively, despite a down-trending crypto market. The strategies continue to outperform Bitcoin across all absolute return and risk-adjusted return metrics. While actual results closely match backtested data, the increasing divergence in the Insane Gain strategy warrants further investigation.

Reminders

Who can invest in Crypto Centaur?

Currently, we are managing our own capital and have initiated a beta test for a select group of family and friends who are participating in our trading program. At this stage, we are not extending this investment opportunity to the general public.

Why publish results and write about our work?

We’ve launched this Medium blog as a platform to share our learnings and insights. Additionally, we’ll be publishing analyses and performance data of our strategies. Our aim is to enhance our profile and engage with our readers, hoping to attract insightful comments and questions that can further our learning.

For more information about Numeta Strategies and our approach, you can explore these two blog posts:

Catching Waves

Trading Turds or Transformative Technology?

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Disclaimer

The views expressed in this article are the views of Numeta Strategies and are subject to change at any time based on market and other conditions. This is not financial or investment advice, nor a solicitation for investment funds and should not be construed as such. References to specific securities and issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities.