AQTIS - Mean Reversion (Short)

We are proud to present the results of our mean reversion strategy, but in this case, using a short-only approach. This means that our strategy is based on identifying extreme movements in the market and taking positions when we believe the market needs to cool down and revert towards a mean price.

Intro

In our previous presentation, we showcased our methodology for achieving the results from backtesting and leveraging data analysis to obtain our trading signals.

We also explained what mean reversion was and how we incorporated it into our trading system.

If you haven't already, please visit this link before proceeding further:

AQTIS - Mean Reversion V1.0 | Gamma

Mean Reversion: 'The Short Side'

In this presentation, we will showcase the results of our short-only trading strategy.

Our system detects mean reversion signals using multiple market parameters, in this case, in the confluence of 4H and 1H timeframes.

Successful bearish mean reversion signals are used as triggers to halt trend-following signals in the current trend and begin trading in the new trend.

Key trading metrics

Sharpe Ratio

Measures the risk-adjusted performance of the strategy by taking into account the returns and volatility.

Maximum Drawdown

Measures the peak to trough decline of a portfolio in percentage terms.

Profit Factor

The ratio of the strategy's gross profit to its gross loss.

Total Return [%]

Measures the capital gain or loss generated by the strategy over a specific period of time.

Benchmark Return

Measures the capital gain or loss generated holding an asset over a specific period of time.

Time Exposure [%]

Measures the total amount of time that an investment is held within a portfolio.

Measuring the strategy's performance includes a set of well-defined statistical indicators. It's crucial to analyze these indicators to identify the strengths and weaknesses of a trading strategy.

Backtesting Results - Ethereum

Asset: Ethereum [ETH/USDT]

Strategy: Mean Reversion Direction: Short Only
Time frame: 4H and 1H as entry confirmation

Start                         2022-01-01 00:00:00+00:00
End                           2023-04-20 12:00:00+00:00
Period                                474 days 16:00:00
Start Value                                       100.0
Min Value                                     98.639221
Max Value                                    154.829154
End Value                                    154.829154
Total Return [%]                              54.829154
Benchmark Return [%]                         -46.774773
Total Time Exposure [%]                            12.5
Max Gross Exposure [%]                       102.136148
Max Drawdown [%]                              12.497023
Max Drawdown Duration                 130 days 04:00:00
Total Orders                                        128
Total Fees Paid                                3.046972
Total Trades                                         64
Win Rate [%]                                    39.0625
Best Trade [%]                                 3.768569
Worst Trade [%]                               -1.242443
Avg Winning Trade [%]                          3.768569
Avg Losing Trade [%]                          -1.242443
Avg Winning Trade Duration              1 days 12:57:36
Avg Losing Trade Duration     0 days 12:49:13.846153846
Profit Factor                                  1.947744
Expectancy                                     0.856706
Sharpe Ratio                                   1.771241
Calmar Ratio                                   3.197184
Omega Ratio                                    1.338548
Sortino Ratio                                  3.196922

Visual statistics and ETH Chart:

Backtesting Results - Bitcoin

Asset: Bitcoin [BTC/USDT]

Strategy: Mean Reversion Direction: Short Only
Time frame: 4H and 1H as entry confirmation

Start                         2022-01-01 00:00:00+00:00
End                           2023-04-20 12:00:00+00:00
Period                                474 days 16:00:00
Start Value                                       100.0
Min Value                                 99.8799239151
Max Value                                147.2505729431
End Value                                134.9140000024
Total Return [%]                          34.9140000024
Benchmark Return [%]                     -37.5510705778
Total Time Exposure [%]                   10.0421348315
Max Gross Exposure [%]                   101.8927881512
Max Drawdown [%]                           8.3779456297
Max Drawdown Duration                 212 days 08:00:00
Total Orders                                         44
Total Fees Paid                            1.1468929914
Total Trades                                         22
Win Rate [%]                              22.7272727273
Best Trade [%]                            10.7839861862
Worst Trade [%]                           -1.2424426426
Avg Winning Trade [%]                     10.7839861862
Avg Losing Trade [%]                      -1.2424426426
Avg Winning Trade Duration              6 days 20:48:00
Avg Losing Trade Duration     0 days 18:49:24.705882352
Profit Factor                              2.2234476696
Expectancy                                 1.5870000001
Sharpe Ratio                               1.6029381148
Calmar Ratio                               3.0908618636
Omega Ratio                                1.3449070407
Sortino Ratio                              2.8927985067

Visual statistics and BTC Chart:

Backtesting Results - Binance Coin

Asset: Binance Coin [BNB/USDT]

Strategy: Mean Reversion Direction: Short Only
Time frame: 4H and 1H as entry confirmation

Start                         2022-01-01 00:00:00+00:00
End                           2023-04-20 12:00:00+00:00
Period                                474 days 16:00:00
Start Value                                       100.0
Min Value                                 99.8799239151
Max Value                                 164.514981912
End Value                                 164.514981912
Total Return [%]                          64.5149819124
Benchmark Return [%]                     -36.2674955039
Total Time Exposure [%]                   17.2752808989
Max Gross Exposure [%]                   102.1936290794
Max Drawdown [%]                          11.4908516414
Max Drawdown Duration                 168 days 08:00:00
Total Orders                                         96
Total Fees Paid                           2.65490839201
Total Trades                                         48
Win Rate [%]                              33.3333333333
Best Trade [%]                            5.77297417417
Worst Trade [%]                          -1.24244264264
Avg Winning Trade [%]                     5.77297417417
Avg Losing Trade [%]                     -1.24244264264
Avg Winning Trade Duration              2 days 22:30:00
Avg Losing Trade Duration               1 days 02:15:00
Profit Factor                             2.13627981039
Expectancy                                1.34406212317
Sharpe Ratio                              1.79989160631
Calmar Ratio                              4.05891160453
Omega Ratio                                1.2769313931
Sortino Ratio                             2.95906316856

Visual statistics and BNB Chart:

Backtesting Results - Solana

Asset: Solana [SOL/USDT]

Strategy: Mean Reversion Direction: Short Only
Time frame: 4H and 1H as entry confirmation

Start                         2022-01-01 00:00:00+00:00
End                           2023-04-20 12:00:00+00:00
Period                                474 days 16:00:00
Start Value                                       100.0
Min Value                                   95.44722468
Max Value                                  249.75771601
End Value                                  249.75771601
Total Return [%]                           149.75771601
Benchmark Return [%]                       -86.63430992
Total Time Exposure [%]                     21.73455056
Max Gross Exposure [%]                     104.22283994
Max Drawdown [%]                            20.40752491
Max Drawdown Duration                  45 days 12:00:00
Total Orders                                        116
Total Fees Paid                              3.46260480
Total Trades                                         58
Win Rate [%]                                31.03448276
Best Trade [%]                              10.78398619
Worst Trade [%]                             -2.24464505
Avg Winning Trade [%]                       10.66249663
Avg Losing Trade [%]                        -2.24464505
Avg Winning Trade Duration              3 days 18:53:20
Avg Losing Trade Duration               0 days 21:00:00
Profit Factor                                2.10297936
Expectancy                                   2.58202959
Sharpe Ratio                                 2.01190177
Calmar Ratio                                 5.00556739
Omega Ratio                                  1.29017407
Sortino Ratio                                3.25642335

Visual statistics and SOL Chart:

Conclusions

The best performing asset is SOL, with more than 100% APY. And as you can see, alt-coins perform better than Bitcoin. That's why we need volatile assets (high beta assets) to find good mean reversion opportunities.

Our system is optimized for high timeframe trading (HTF) and utilizes bearish mean reversion signals as triggers to halt trend-following signals on lower timeframes.

This strategy enables us to achieve high profitability with a low number of trades and minimal market exposure.

Due to high efficiency, Mean Reversion is easier to combine with other strategies.

Due to its design, the long-only and short-only mean reversion signals will never coincide on the same asset. This allows us to trade in both directions without the need for extra capital. By utilizing this strategy, we are able to benefit from both sides of the market.

What's next?

We will be unveiling our Tier 2 mean reversion strategy next week. Our "Tier 2" mean reversion strategy filters out extreme mean reversion signals, enabling us to accurately identify local market tops and bottoms.
Is there anyone who isn't fantasized about having a signal that can accurately identify these crucial points? We'll be showcasing it next week, and it's highly effective.

We are deploying capital to test this strategy in real-time.

Performance review and/or audit by industry leaders.

We are committed to delivering outstanding results and constantly searching to learn, grow, optimize and find the best alpha to increase our win rate without overfitting the system.

Performance updates on the other main strategies.

With our data-driven approach and commitment to innovation, we are confident in our ability to stay ahead of the curve and deliver exceptional returns.