Diversification (system needed to consists of different uncorrelated strategies)
Hedge (system needed to perform on both bullish and bearish markets)
With a team of 2 quantitative researchers, 2 quantitative developers, 2 traders, 1 DevOps, 1 quantitative risk manager and 1 product manager we combined our AI and trading experiences, researched publicly available research papers and developed and deployed next strategies:
- Alternative Data Strategies;
- Trend Following Strategies based on Machine Learning algorithms;
- Statistical Arbitrage Strategies;
To train models, our team developed infrastructure for collecting both market data from top exchanges and alternative data from news websites, Twitter, Reddit and other social networks.
Because of unstable crypto market infrastructure and the existence of technical issues on a lot of crypto exchanges our team developed 'Market sandbox’ for bots testing to ensure that behaviour of the bots in real trading would be the same as on backtest.
The system was designed in a way which allows us and customer easily add new strategies and trading bots. Also, it was designed to be fully automated which means that it buys and sell cryptocurrencies by itself.
For scaling, we connected the system to more than 10 top crypto exchanges (Binance, Bitfinex, OKEx, BitMex, Poloniex, Huobi etc.).
For secure and effective asset management we developed for the customer:
- Risk management system
- Monitoring and notification system
Crypto markets work 24/7, so to manage and maintain hundreds of trading bots on different exchanges our team of engineers and DevOps developed control, risk management, and notification systems.
The customer got a multi-strategy system with several trading strategies, which are uncorrelated, because of extreme different logic of decision making. The end solution is quite easy to scale, maintain, modify and monitor. The whole system performance can be evaluated in the next metrics:
- Average monthly performance - 1.96 %;
- Maximum Drawdown - 6.2 %;
- Sharpe Ratio - 2.1
- Sortino Ratio - 3.4