Selene Crypto Trader

Selene Crypto Trader

Risk-Managed Trend-Following Crypto Strategy

This site monitors a trading strategy that holds a varying portfolio of cryptocurrency perpetual futures contracts. The strategy aims to outperform a long-only bitcoin holding.

Current Holdings

The target asset weightings update daily. The top 10 holdings are shown below and a full list of holdings is available here.

SymbolNamePercent
USDCash70.58
1000FLOKIUSDT1000FLOKI1.80
BTCDOMUSDTBTCDOM1.37
BNXUSDTBNX1.29
ZRXUSDTZRX1.19
FETUSDTFET1.11
BNBUSDTBNB0.88
FRONTUSDTFRONT0.72
FTMUSDTFTM0.70
GALAUSDTGALA0.69

Performance

The performance monitor updates weekly and is based on a walk forward backtest, whereby starting in 2021 the model is calibrated weekly using only prior information back to 2018. The model parameters are then fixed and used to determine the daily positions for the following week. This is exactly the same process as used in real-time trading. The backtest trade price is the closing price one day after a signal is generated, assuming trading costs and a bid-ask spread of 0.1%. Dividends are included.

Leverage

The leverage series updates weekly and shows the amount of capital deployed. The targeted maximum leverage is 1x (minimal margin trading).

About the Model

  • Positions are initiated using a classic breakout system with stop loss with entry and exit determined using multiple model parameter combinations.
  • Initial position sizes are adjusted for volatility so that each position has a constant volatility-adjusted risk, but there is no volatility adjustment once positions are established.
  • Holdings are chosen from a universe of 145 crypto perpetual futures contracts.

Disclaimer

This website is NOT a financial advisory service and provides NO personalised financial advice. Its authors are NOT certified to offer financial advice, nor can they serve you in the capacity of a Registered Investment Advisor, Broker/Dealer, Financial Analyst, Bank, Securities Broker or Financial Planner. Users of information on this website bear the sole burden of decisions related to their finances and investments. Under NO CIRCUMSTANCE will the authors of this website be held responsible for any losses you incur in your investment activities. Investing in securities can entail substantial risk, and the possibility exists that you can lose all, most, or a portion of your investment capital.