Alpha preview of the CRYPTTO platform
Fully-automated high-frequency crypto arbitrage strategies
During the last week of May, as per our Roadmap, we have launched in production mode two fully-automated structural arbitrage strategies. Currently, they are trading our own capital. These and a few other strategies will become available to our pre-sale participants in August and to all CRYPTTO platform users after its public launch this fall.
Our inter-exchange arbitrage strategy was designed to take advantage of differences in the price of a single asset pair on several exchanges. It is currently trading BTC/USD on GDAX and Bitfinex but will be scaled to all liquid instruments and major exchanges.
Our intra-exchange triangular arbitrage strategy is exploiting price discrepancies of three instruments on a single exchange. At the moment it is trading BTC/ETH/USD on GDAX, but will be scaled to all liquid instruments and major exchanges in the near future as well.
As a part of our stringent development process, our strategies are prototyped and extensively back-tested in our proprietary simulation engine using high-resolution recorded historical market data before being put into production mode.
Simulation results of both strategies are very encouraging, to say the least. See for yourself:
Inter-exchange arbitrage strategy simulation results:
This strategy would have returned USD 12,116 on your 2 BTC (~USD 15,400) of trading capital in 49 days. That’s 78% in 49 days. With no profits reinvestment.
Moreover, it did not have any losing days during that period, so it’d never test your nerves with a lot of red ink on the screen.
On average, it would have returned USD 247 per day, making a bit more than 10 trades daily and holding positions open between 6 seconds and 24 hours.
In case you are wondering, where is the “high-frequency” in all that — it is not in the duration of the trades (the time between entering and exiting the position), it is in the speed with which our algorithm is able to execute trading opportunities. The speed of execution allows us to minimize slippage (the difference between the price that was desired and was actually paid) and achieve real-time results that are very close to simulation.
Intra-exchange triangular arbitrage strategy simulation results:
This strategy would have earned you a USD 2,662 return on your USD 2,000 of trading capital in 48 days. That’s 133% in 48 days. With no profits reinvestment.
It did not have any losing days during that period as well — 75% of the winning days just means that 25% of the time the strategy was not able to identify available trading opportunities.
This strategy is more of a “rapid fire” type — when the opportunities arise, the positions are open and closed several times per second. To get a visual of this process, please, check the video below.
Early live trading performance confirms the simulation results — strategies in the production mode behave as expected. Now we will start scaling them across instruments and exchanges, while continuously optimizing their performance as more actual trading data comes in.
The next steps on the strategy development side are to further enhance existing strategies by adding passive position entry capabilities, finalize the production testing of our first statistical arbitrage strategy, and begin prototyping our news-driven strategies.
Passive position entry materially reduces trading costs and allows to capture the spread, significantly widening trading opportunities set of our strategies and increasing their profitability. Passive position entry is powered by our intelligent execution algorithms that will also be available as a separate product suite on our platform.
Our statistical arbitrage (StatArb) strategies exploit existing correlations between different crypto assets. They use a variety of underlying predictive signals based on time-series analysis of market data and aim at forecasting each individual trade expected return without making any bets on the general market direction.
Our statistical arbitrage strategies make a lot of small trades, which are profitable more than 50% of the time, and let the laws of statistics work its magic: with the sufficiently large number of trades the «over 50%» individual trade winning percentage translates into the daily and weekly strategy winning percentage approaching 99.9%.
Our first StatArb strategy is already running in the production mode and will be available to our pre-sale participants in August as part of our Beta platform.
An important thing to remember is that our strategies are designed to trade in your crypto exchange accounts, we never get access to your coins, so there is no additional counterparty risk for you.
The more accounts on different exchanges you have, the more and better trading opportunities our strategies will let you take advantage of. Moreover, this relation is not linear, it’s accelerating — twice number of exchange accounts expands the opportunities set more than twice.
Another important thing to keep in mind is that while the two strategies presented above may sound simple to some of you, there is more there than meets the eye. The reason they are able to deliver those returns now and will remain competitive and profitable is our deep expertise in operating and optimizing high-frequency trading strategies and our full-stack ultra-low latency trading platform running in the background.
All “easy” trading opportunities that were abundant in the crypto markets just several months ago are already gone. Just look at the simulation of our triangular arbitrage strategy returns from the beginning of 2018:
Notice the difference between the January-March and the April-May periods?
Trading opportunities are not gone-gone — that flat part of the graph, in fact, represents a 40% monthly return (481% annual) — they just became heavily competed for, as is already the case in traditional markets for many years. Similar strategies are alive and well in traditional asset classes. It’s just that most of the people reading this have no way of profiting from them since it requires access to very advanced and sophisticated trading tools.
In the crypto markets, going forward, one would need our level of expertise and technology to continue to take advantage of such opportunities.
What we offer is truly unique in the crypto space — HFT hedge fund-level technology available to any TTO token holder.
We will also be announcing our public pre-sale in the near future. All pre-sale participants will get an exclusive three months access to two structural arbitrage strategies scaled across major exchanges + at least one StatArb strategy. We strongly suggest you take advantage of this opportunity. Our public platform will launch this fall.
We will also be conducting an airdrop quiz after our whitepaper release — there are still some 7,000 spots open. To take part, you’ll need to create your profile on our website and join our Telegram group.
Stay tuned — we have a lot more in store for you!