Performance / Backtest

Below we present the results of the standard backtest using data from beginning of 2024 to June 2025.

Assumptions

1. We model transaction costs with taker fees and the assumption that we are paid the funding rate to short and pay the funding rate to go long, trading at end of day.

2. We select only the most liquid contracts on Hyperliquid, where we plan to trade. We are running this at low leverage, even though in principle Hyperliquid perpetual futures permit us to scale up exposure as desired.

Results

The turnover is around 60% and the after-cost Sharpe ratio is 2.61 using Hyperliquid’s prices, earning 94.1% annualized over the sample period.

Below, we plot the profit and loss curve of the hypothetical long-short portfolio.

Some appealing aspects of the strategy:

• Heightened performance during the month of April 2025, during which we see a large period of aggregate market turmoil.

• This highlights the advantages of a long-short strategy - when cryptocurrencies melt down, the performance of the strategy remains resilient to directional market movements since the marketwide-induced fall in the long leg is offset by a corresponding move in the short leg.

While past performance does not guarantee future performance, the strategy exhibits attractive performance over the sample period.

Figure 1: Hypothetical growth of 1$ invested