Investment Thesis

Overview: The Multi Asset Momentum strategy is a momentum-based trading algorithm designed to take advantage of trends in the cryptocurrency market. By utilizing technical indicators like RSI, EMA, and MACD, the algorithm identifies top-performing cryptocurrencies and dynamically allocates capital to them. Below are key components and explanations for presenting the algorithm:

Technical Indicators

  1. RSI (Relative Strength Index): The RSI is used to determine momentum. An RSI above 55 but below 85 signals strong momentum but avoids overbought conditions. This helps 
    identify cryptocurrencies that are trending upwards without being overextended.
  2. EMA (Exponential Moving Average): The short-term (12-period) and long-term (26-period) EMAs are used to track trend direction. A bullish signal occurs when the short-term EMA crosses above the long-term EMA, indicating upward momentum. A bearish crossover (short-term EMA crossing below the long-term EMA) suggests the opposite.
  1. MACD (Moving Average Convergence Divergence): This indicator tracks the relationship between two EMAs (12 and 26 periods). A positive histogram and MACD line above the signal line indicate bullish momentum, while a negative histogram signals a reversal or weakening momentum.
  1. Entry Conditions - The algorithm will when ALL bullish signals are displayed.
    1. Short-term EMA > long-term EMA (bullish crossover)
    2. RSI between 55 and 85 (indicating strong momentum)
    3. MACD line above the signal line with a positive histogram
  2. Exit Conditions - The algorithm sells the entire position when one of the following occur:
    1. Short-term EMA crosses below long-term EMA (bearish crossover)
    2. MACD line falls below the signal line with a negative histogram
  3. Diversification: The strategy ensures no single asset holds more than 15% of the portfolio to avoid concentration risk.: The strategy ensures no single cryptocurrency holds more than 15% of the portfolio to avoid concentration risk.

Author

Quant League Competitions

January 2025