Systematic Trading of Crypto Assets with a Purpose-Built Factor Risk Model

By:

Cloudwall Research*

August 3, 2023

Discover how systematic trading strategies can be enhanced with a purpose-built factor risk model for digital assets. We outline how to generate alpha signals and optimize portfolios, showcasing real-life performance comparisons between strategies with and without our own factor risk model.

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Analysis

Systematic Trading of Crypto Assets with a Purpose-Built Factor Risk Model

By:

Cloudwall Research*

August 3, 2023

Introduction

Abstract: A risk model is a key component of systematic trading. In this paper, we demonstrate how our proprietary factor risk model for digital assets enables algorithmic trading and improves trading performance. We provide details on how to create a portfolio using a factor risk model and study the impact of some parameters on performance. Given the complexity of systematic trading, it is not our intention to provide a comprehensive review, rather just some flavors of a simplified problem.

Download the full research paper to learn how a factor risk model enables systematic trading of digital assets and helps control risk exposure and turnover.

*Note: Cloudwall and the technology behind its Serenity System were acquired by Talos in April 2024. Learn more.

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