mAIcrostrategy breakdown

A Random Forest Ensemble for Day-Ahead Crypto Return

Introduction

The Maicro team has developed a sophisticated trading designed specifically for long/short cryptocurrency strategies.

What is a long/short strategy?

Rather than taking a bet on whether crypto markets (or a specific coin) will go up, we are taking a bet that some coins will do better than others.

Built by two Finance PhDs with extensive quantitative trading experience and published research, the system addresses a fundamental challenge in digital asset markets: generating consistent returns in both bull and bear market conditions. Whereas the price of any given cryptocurrency may be determined, for example, by conditions in the overall stock market, monetary policy or general investor sentiment, we are betting instead that certain crypto are going to perform relatively better or worse.

Thus, even if the markets fall as a whole, the strategy may continue to perform consistently. Of course, if the crypto markets face a bull market, the hedged exposure means that our strategy may not catch that uptrend, instead profiting only on differences between different cryptocurrencies. In either case, our thesis is that if our trading strategy performance behaves like its backtest period, the strategy should consistently deliver returns in bull and bear markets.

While all investors would benefit from being buy-and-hold investors in crypto (as well as other assets), the returns of this strategy should be highly complementary to a buy-and-hold strategy and should see attractive diversification benefits in their portfolio.