Top 20 Price Mean Reversion Strategy with Trend Protection

BMxTMR TOKEN
Contract Address: 0xa668a4148f348f3fc8d1f614232742e4da641ac3 / Decimals: 10
The strategy is based on the mean-reversion theory, expecting that coins currently performing below the portfolio average, will soon revert back to the average level, while coins that are now on top will lose the edge. Driven by this rule, initial market capitalization weights are corrected in order to capture over- or underperformance of individual coins. On top of that, the strategy employs trend protection mechanism, that ensures that part of the funds is kept in cash in the downtrend market. The core objective of the strategy is to generate the returns corresponding to the average yield of the cryptocurrencies with the largest capitalization.
Introducing Crypto Strategies
Change 24 hours
-1.15 %
in ETH
Liquidity
high
Invests in
cryptocurrency
Wallet settings for token
Symbol:
BMxTMR
Contract Address:
0xa668a4148f348f3fc8d1f614232742e4da641ac3
Decimals:
10
Book is open
1 / 5

STRATEGY TOKEN VALUE

Top 20 Price Mean Reversion Strategy with Trend Protection Token Value in ETH
Past performance is not an indication of future results
  • Live
  • Backtested
Net of fees. Past performance is not an indication of future results
  • Live
  • Backtested
Net of fees. Past performance is not an indication of future results
As of 19 Dec’ 18, in ETH
  1. Standard deviation of daily returns
  2. Highest loss from the peak to a trough within the same time period
Net of fees. Past performance is not an indication of future results
    Description

    The strategy weights are base on the expectation that prices tend to revert to the average trend as time goes. Therefore, weights of the coins that are currently performing above the portfolio average are decreased; while those coins that are underperforming the portfolio, are weighted higher. The trend protection mechanism guarantees that a part of the portfolio will be kept in cash with the cash portion growing in the down trending market. The strategy facilitates the process of investing by providing an opportunity to resolve the technical, liquidity and cost issues and also helps to track the highest market cap coins. In addition, the quantitative strategy seeks to generate alpha to ETH regardless of the market conditions. Top 20 Price Mean Reversion Strategy is designed by an outstanding team of professionals with cumulative experience of more than 30 years in quantitative data analysis and cryptocurrency trading.

    Strategy

    Top 20 Price Mean Reversion Strategy with Trend Protection is based on a proprietary cryptocurrency selection process. The portfolio consists of 20 coins with the largest market capitalization out of the top-500 listed on coinmarketcap.com coin universe. Cryptocurrencies listed in the final tradable list are weighted against one another based on the market capitalization corrected for relative gains of individual coins as compared to the portfolio mean return. The portfolio is rebalanced every 24 hours. Strategy execution is fully automated 24 hours a day, 7 days a week.

    Key Token Features
    No lock-up on tokens after issuance
    High liquidity
    Regional restrictions apply
    Available for verified and eligible users only

    Key strengths

    • Tracks top 20 cryptocurrencies with the largest capitalization
    • Rebalanced and reconstituted every 24 hours
    • Seeks to generate alpha to ETH irrespective of the cryptocurrency market performance
    • Executed automatically 24/7
    • Cost efficient
    • Highly liquid
    • Trades on several eligible exchanges
    • Designed and managed by an outstanding team of professionals

    Key metrics

    • Asset class: cryptocurrencies
    • Maximum coins: 20 with a maximum weight of 10% from last 24-hour trading volume
    • Rebalanced: every 24 hours
    • Reporting currency: ETH
    • Service fee: 1.5%