ETH Covered Call Strategy Update (incl. backtests)
Our updated ETH strategy backtests displayed a 17x USD value increase over a period of three years.
Performance Roundup
We’ve run our ETH Covered Calls +⍺ for 14 cycles for zero losses now. It was originally designed to apply the same systematic call-selling strategy as BTC with the addition of a weekly short-term arbitrage trade. The results are quite impressive, returning a cumulative return of 3.79% in ETH over 95 days which annualized is roughly a 14.56% APR. The trade details and performance can all be tracked on the Flynt Finance strategy page.
Over the same period, similar option strategies providers had an annualized return of 5.26% with one loss of -2.3%.
We are quite happy with these results, but as perfectionists, we always strive to further improve our strategies both in terms of performance and stability using data. Hence we’ve been tinkering away, further improving the ETH strategy and now feel confident to share our results.
Strategy Update : ‘ETH Covered Calls +⍺’ ️👉 ‘ETH Covered Call 3x’
We will be sunsetting the ‘ETH Covered Calls +⍺’ and upgrading the strategy to ‘ETH Covered Call 3x’. After backtesting historical data on the +⍺ aspect of the original strategy we have concluded that the arbitrage is not as stable as we’d like; the loss ratio was too high.
However the core of the strategy, ie selling weekly call options still shows positive returns over long periods of time. So we further optimized variables for our strategy to maximize returns and also increased the max leverage used from 2x to 3x.
Strategy Performance
Strategy Specifications
In the backtests, our systematic ETH covered-call x3 strategy resulted in a lifetime return of 90.4% and an annualized return of 23.9% over the course of 3 years. Losses occurred 4.5% of the time at an average of -8.4% per loss.
In USD terms if you had invested $12,887(100 ETH) and used this strategy, the account value would have increased 17x to $227,731(190 ETH) in three years.
Comparison Study
Additionally, using our backtest dataset, we can almost identically replicate our competitor’s returns. Leaving ETH in their current strategy gave the following returns in comparison.
Our strategy displayed higher returns, a lower MDD(maximum drawdown), and also had far fewer loss weeks.
The ‘ETH covered call x3' strategy will be updated in February, so follow @flyntfinance on Twitter to keep up-to-date with when the strategy goes live.
Also alpha is for sharing. Refer a friend to flynt.finance and benefit from the industry’s most generous referral program.
If you’re more of a USD kinda person, our GMX-based delta-neutral strategy is currently operating with 0 management fees until the 1st of March 2023.
Disclaimers: This is a very aggressive strategy that uses high leverage and options on crypto assets. Forced liquidations may significantly affect profitability. This post is not financial advice and please remember past performance does not guarantee future results.
