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patcap's avatar

Thanks again for these ideas.

I tested this OLMAR strategy with a equal weighted top 20 crypto market cap using historical constituents - (I found the actual top 20 crypto coins on day x and used that as the composition in the strategy). Showed pretty great results, but I don't typically test crypto so i'm a bit skeptical about the data quality and transaction costs. Also drops very sharply on transaction costs.

Can't share the image here, so made a note of it https://substack.com/profile/98614510-patcap/note/c-118873496

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Quantish's avatar

THIS. What a gem.

Cant wait to do some tinkering with this in QC.

Thanks @papertoprofit for sharing!

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