800+ New Crypto Features

Base Features:

The Base Features are constructed using Binance’s dollar bar data, which includes:

  • Open
  • High
  • Low
  • Close
  • Volume
  • Order flow (sum of signed volumes) (+ve volume for buy aggressor tag and -ve volume for sell aggressor tag)
  • Buy market order value (sum of volumes corresponding to buy aggressor tag)
  • Sell market order value (sum of volumes corresponding to sell aggressor tag)

Base Features are based on:

  1. Relations between the price, the high price, the low price.
  • Relative High: High Price relative to Open Price
  • Relative Low: Low Price relative to Open Price
  • Relative Close: Close Price relative to Open Price
  • Relative Volume: Buy orders relative to total absolute volume
  • Target Effort: computes an estimation of the “effort” that the price has to produce to reach the target price by comparing the observed low price and high price
  • Dollar Speed: Average signed quantity of dollars exchanged per second.
  • Kyle’s Lambda: Relation between price change and orderflow
  • SCOF: Correlation of Order Flow with its lagged series
  • VPIN: Volume-synchronized probability of informed trading.
  • VLT: Volatility of the returns (Exponentially Weighted)

Final Features:

Application to Short Term Alpha Generation

  • Maximum drawdown: −5.327%
  • Annualized Sharpe ratio: 3.1
  • Annualized profit: 32.6%
  • Maximum drawdown: −4.998%
  • Annualized Sharpe ratio: 5.6
  • Annualized profit: 227%

Applying CPO to Crypto Portfolio:

Backtest Result:

  • Portfolios are constituted of 8 symbols (all crypto perpetual futures): BTCUSDT, ETHUSDT, XRPUSDT, ADAUSDT, EOSUSDT, LTCUSDT, ETCUSDT, XLMUSDT
  • Position type includes Long and Short Positions
  • The target variable is the forward Sharpe ratio, computed as the 3-hour return divided by the standard deviation of the sequence of the 5-minute consecutive returns during the 3-hour period
  • Test data set starts on Jan. 2020 and ends on June 2021
  • Results (annualized Sharpe ratio over 365 days per year):
  • CPO improves the Sharpe ratio by x3.8!

Conclusion:

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