Market-Neutral Cryptocurrency Strategy
A fully systematic, market-neutral long/short strategy trading liquid crypto perpetuals. Our regime-aware engine seeks to capture relative-value dispersion while minimizing market beta through disciplined portfolio construction and risk management.
Learn MoreSPEAR® Digital is designed to deliver attractive, repeatable risk-adjusted returns with low correlation to major risk assets and minimal market beta. Our systematic approach selects diversified baskets of long and short positions daily, emphasizing diversification, correlation control, and disciplined risk limits. We do not force exposure—if opportunity quality is insufficient, we elect not to trade.
The model conditions on daily macro/volatility regimes to adapt data windows and uncertainty tolerances, ensuring optimal performance across different market conditions.
Each asset is scored using proprietary features with embedded uncertainty bands. Candidates must clear strict uncertainty gates before entering the basket.
We rank expected returns long and short, apply correlation filters to avoid clustering, and size positions inversely to recent volatility for optimal risk balance.
Daily rebalance at a fixed hour with strict stop-loss logic during the hold period. Realistic transaction costs and funding frictions are incorporated with all trades logged.
Market futures/klines and exchange funding rates are ingested and patched incrementally. Macro series are merged to the trading calendar for comprehensive analysis.
Sophisticated correlation controls, dynamic uncertainty thresholds, and regime-aware position sizing ensure controlled drawdown risk and capital preservation.
Total Return Since Jan 2022
Avg. Monthly Return
Avg. Annual Return
Sharpe Ratio (4% RFR)
Sortino Ratio (4% RFR)
Calmar Ratio
Maximum Drawdown
Profit Factor
Correlation vs BTC
OHLCV for large-cap perps, 8-hourly funding, daily macro/vol series aligned to trading days.
Macro inputs map to low/medium/high-vol regimes. Model adapts history window and uncertainty gates accordingly.
Proprietary scoring framework estimates next-period relative performance with embedded uncertainty bands.
Rank longs/shorts, apply correlation caps, size by inverse-volatility. Record weights and expected returns.
Rebalance at daily cut-off with strict stop-loss enforcement and comprehensive trade logging.
Our comprehensive risk management approach ensures capital preservation while optimizing for risk-adjusted returns across varying market conditions.
Model confidence requirements adapt to current volatility regimes, becoming more stringent during uncertain periods.
Hard limits on cross-asset correlations prevent inadvertent factor concentration and maintain true diversification.
Systematic constraints on individual position sizes and aggregate exposure ensure no single trade can materially impact performance.
Intraday risk monitoring with predefined exit criteria protects against adverse moves during the holding period.