Aegis Quantitative I Program started the year on a high note, up 8.86% (estimated) for January 2021.

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Monthly Review

Cryptocurrencies market began a strong rally on December 16 during which BTC saw a spectacular 45% move over just 2 weeks. With strong moves like this our models are unlikely to capture most of the rally as built-in profit-taking mechanisms are quickly triggered and positions are quickly reduced. BTC continued its strong upward movement after the year-end, reaching US$40,000 level just 8 days into 2021. Our trading system was able to capture 13.6% gross returns over this strong momentum period.

The real noteworthy performance of our system came over January 10 and 11. Over this 2-day period, cryptocurrency markets suddenly crashed with BTC down over 20% from peak to trough, and ETH and other major coins were down close to 30% from the top. Our strategy was up for both days and delivered +2.1% over this same 2-day period. The positive performance was driven by both our profit-taking mechanisms that reduced our long positions as prices moved up, as well as our Mean Reversion models which caused short positions to be built near the top of the market.

The market was in a consolidation and slow recovery phase after the pull back on January 11, until it saw another correction that brought it down below US$30,000 on January 27. During this major correction, our strategy held up quite well. We are in fact slightly positive as the market corrected. The market seems to have found a short-term bottom at US$30,000 and quickly bounced back with strong support. We have since had small positions due to the fact we are in a high-volatility environment with a wide trading range which is at the same time range-bound.


Performance Attribution by Cryptocurrency

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Performance Attribution by Strategy Type

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