Newsletter — July 16th, 2021
Firstly, we hope that you have entered the summer in better shape than the crypto markets 😉
The last few weeks have indeed been quite frustrating for our algos considering a bearish range that has sent a lot of wrong starts in terms of market trends. It gives an unfortunate image to run behind the market.
As explained last month, we have shifted our focus and efforts on research to propose new strategies, incorporating market patterns in order to optimize the drawdown.
We developed a meta algo to allocate between our strategies and those signals present in the DAFs’ prospects.
Market & strategies analysis
Once again, it has been very complicated to anticipate the markets patterns since the beginning of June. A flow of bad news and in particular the ban of mining activity in China has prevented any significant rebound so far causing the market to settle into a fairly wide range. The postponement of the EIP-1559 to early August also did not allow Ether to take off again.
On the macroeconomic level, inflationary pressures are materializing, which in the coming months will provide us with new information on their provisional nature. While in the long run cryptos may be seen as a hedge against inflation, fears that the inflation will slip away and undermine risk appetite are palpable.
Regarding our strategies, this rangy environment is not favourable to our algorithms since no trends have been determined; moreover, since the volatility achieved is the most important, our performance has been poor over this period. We are working on diversifying our time horizons and on calibrating our investments by volatility in order to be able to better control our drawdowns and better navigate this type of mirky period in the future. We hope that the second half of July will give us an exit door from this bleak range with a resumption of a clear trend which will allow our algos to generate performance.
We have put strong efforts on the internal research for the past 2 months, both to create new decorrelated strategies, to improve our market clustering (napbots weather) and to create portfolio strategies with different risk reward profiles. We also launched a competition with Alphien which gave some nice results which would be soon incorporated within napbots.
The most notable result lies in an AI model that classifies quite well a subset of our strategies. It was an improvement from a first auto-encoder model trained to replace the napbots weather. This AI classifier manages to predict with a strong accuracy the next three best performing strategies for the coming 24h. As a consequence, we have built two AI allocators: one taking the best strategy and one taking the three best with a 50/33/17 weights profile. Both show very good results on backtests, including on ranging timeframes, with no overfitting bias. We plan to make them available in the coming days, both as signal for the napoleonx.ai platform and for copy-trading on napbots.
The last few weeks have hurt quite significantly, with negative marked-to-market of our algos and also outflows from clients. Generally speaking, clients are looking to put a hold on their positions rather than reloading risk. The DAFs’ AUM as of July 15th 2021 are the following:
- DAF#1: 1.62M€ (-0.33M€ vs 14/06/2021)
- DAF#2: pending. From our recent discussions with Iconic, they should launch this summer the fund (no date yet)
- DAF#3: 1.39MUSDT (-0.32MUSDT)
- DAF#4: 1.34MUSDT (-0.25MUSDT)
- DAF#5: 1.13MUSDT (-0.36MUSDT)
- DAF#6: lost (-0.24MUSDT)
- DAF#7: lost (-1.31MUSDT)
- DAF#8: 0.12MUSDT (-0.06MUSDT)
- DAF#9: 12.3M$ (-4.5M$)
- Super DAF (pool): 0.04MUSDT (-0.01MUSDT)
We understand that the NPX community is looking for a simplified usage of the token, implementing notably discount rates for NapBots and/or Army services. Moreover, the correct trading signals should also be fuelled by recent research and development of the group.
We will swiftly make available the new signals and address the concerns of the community about the software services pricing. We will be back in touch in the summer and will not hesitate to solicit your opinion via polls on our Telegram channel.
NPX retrocession rights
License Fees are detailed in the table below:
We are fully focused to enhance our algos and generate sustainable performance for our clients. This step is crucial to maintain our attractivity and the growth of the DAFs AUM. We will also benefit from the summer period to work on the NPX positioning in order to increase the visibility of the token.
As usual, please feel free to contact us on our Telegram channel should you have any questions and we wish you all a wonderful summer.
Arnaud, Jean-Charles and the team.