Event Study on IGNIS Airdrop
A strategy generating 167% return over a month
05-Jun-2019, an event saying “GPS Token airdrop will be on 14-July-2019” was added on CoinMarketCal. This announcement got proven by a following Tweet published on July 8th.
By claiming “Holders will receive 1 GPS for every 5 IGNIS”, this news boosted IGNIS from $0.027 to $0.08, almost 200% profit on its “highest moment”.
This code uses event study methodology to test the IGNIS airdrop event, in order to see how market responds to this message.
We spot a latency between the time when this news was added on CoinMarketCal and the time when market responded, suggesting inefficiency of market. Let’s see how to make profit from it.
We use Backtrader to do back-testing. The idea is to create buy signal using On-balance volume(OBV), a technical indicator good at catching price move, taking volume into consideration as well, which is reasonable in crypto-world as the pump-and-dump comes with significant volume changes. And We use SimpleMovingAverage(SMA) to identify sell signal (quit the market as soon as SMA fast line crosses down SMA slow line). Initial capital and commission fee is set as 1 million and 0.1% without market impact cost, and the strategy is all-in, long only.
We can catch 167% profit in the end. As long as we can verify the news shortly after its release, we can implement this strategy. However, the official proof was published at July 8th by a Tweet, which already passed all possible opportunities.
Future research could be to find a method to catch similar events as fast as possible and to refine the strategy typically for this kind of event.
Contact xyshell@bu.edu for more information. (ex. source code)
