NEW QUICK VIEW (@ 2020-08-02 01:43:38)
Wanted to share a quick thought on some of our recent signals. Short calls on Tezos, VeChain and Stellar have produced outsized negative returns and the models have been persistent. This has caused our quant team to do some soul searching. Crux of the matter is that we calibrate our models on 3 regimes. If the average return in a regime is positive that gets signalled as a LONG, and negative returns get signalled as SHORT. While obviously the regimes with average return of say +7% work just fine, the positive or negative regimes that have averages closer to zero can have huge outliers and these have been causing troubles here. We will be looking to make some upgrades to improve performance. One of these is that signals won't flip to SHORT unless the models indicate the average expected return in a regime is worse than -0.75%. Expect more neutral signals for cryptocurrencies. -LSS Quant Team
