All Statistics are written as of 2023-07-01 00:00:00 (UTC)
1. Low Market Volatility
July experienced very low market volatility, which challenged our strategy. We feel a great sense of responsibility, especially regarding the renewal of the Maximum Drawdown (MDD).
2. Performance Differences (OKX vs Binance)
OKX and Binance are experiencing continuous differences in performance. The high efficiency of the Binance exchange appears to be the main cause. Although this is within the expected error range, we will continue to monitor it.
3. Partial Strategy Modification
Since July 20th, approximately 20% of the strategy has been partially modified. We expect this modification to play a significant role in strengthening the stability of the strategy.
Alpha Strategy - OKX
Monthly Return: -0.63%
Maximum draw down: 3.11% (+1.26%)
Underwater Period: 20 Days
Alpha Strategy - Binance
Monthly Return: -4.51%
Maximum draw down: 6.06% (+4.12%)
Underwater Period: 37 Days
Crypto Total Cap
Optimism, Aptos and ApeCoin set for largest token unlocks in July (James Hunt, The Block, 3 July 2023)
US SEC files lawsuit against Celsius and Alex Mashinsky (Helen Partz, Cointelegraph, 13 July 2023)
Ripple, Crypto Industry Score Partial Win in SEC Court Fight Over XRP (Sandali Handagama, CoinDesk, 14 June 2023)
Deadlines for U.S. Spot Bitcoin ETF Approvals Come Into Sight (Amitoj Singh, Sandali Handagama, CoinDesk, 19 June 2023)
Optimism, Aptos and ApeCoin set for largest token unlocks in July
Crypto networks Optimism, Aptos, and ApeCoin are releasing over $100 million worth of tokens this month. ApeCoin will unlock 15.6 million APE tokens worth $34.3 million, Aptos will release 4.5 million tokens valued at $33.9 million, and Optimism (now OP Mainnet) will release 24.2 million OP tokens worth $32.4 million. These unlocks may temporarily affect the token prices, but past unlocks have typically seen price recovery.
US SEC files lawsuit against Celsius and Alex Mashinsky
The U.S. Securities and Exchange Commission (SEC) has filed a lawsuit against cryptocurrency lending firm Celsius Network and its former CEO, Alex Mashinsky, charging them with fraudulent offers and selling unregistered "crypto asset securities." The SEC alleges that Mashinsky made false promises to investors and manipulated the price of Celsius's token. Mashinsky was also reportedly arrested, and the company has initiated Chapter 11 proceedings. These actions follow previous allegations by other regulators, including a lawsuit by the New York Attorney General earlier in 2023.
Ripple, Crypto Industry Score Partial Win in SEC Court Fight Over XRP
Ripple has achieved a partial victory against the U.S. Securities and Exchange Commission (SEC) in a court ruling that provides some regulatory clarity for the cryptocurrency industry. The U.S. District Court of the Southern District of New York ruled that the sale of Ripple's XRP tokens on exchanges and through algorithms did not constitute investment contracts, but the institutional sale of the tokens did violate federal securities laws.
Deadlines for U.S. Spot Bitcoin ETF Approvals Come Into Sight
The U.S. Securities and Exchange Commission (SEC) has officially started the clock on its decision to approve or reject six applications to list spot bitcoin exchange-traded funds (ETFs), including applications from BlackRock, Bitwise, Fidelity, WisdomTree, VanEck, and Invesco. The review process formally begins when the filings are published in the Federal Register, with an initial deadline of 45 days, which can be extended up to 240 days.
Quant Research Comments
The market's reaction to Binance's response to the ongoing U.S. Department of Justice investigation, which started last month, has been indifferent. The volatility of Bitcoin's price has recorded its lowest point in the last six months, and trading volume has also marked its lowest point in the last 12 months. Spot and futures trading volumes, as well as traffic to major cryptocurrency exchanges, have also decreased compared to the previous month, showing a continuing trend. As a result, the market ended with a slight decrease without significant volatility, and July ended flat, unable to make profits, with a rise in the first half and a decline in the second half.
While the overall market was in a slump, some altcoins saw a short-term surge as Ripple partially gained an advantageous conclusion in its lawsuit with the SEC. However, alpha strategies exist that adjust the investment ratio when high volatility risks occur without a correlation between cryptocurrencies, leading to more conservative trading. Unfortunately, these strategies were unable to generate profits.
As the flat market continued in the second half of July, our quant team partially revised the strategy, replacing approximately 20% of the total strategy with a new model that has a different correlation from the existing strategy. We expect that the addition of strategies with lower correlations will reduce volatility and gradually accumulate stable profits. Also, if the market's low trading volume continues, the strategy's slippage will increase. We are consistently managing this by adjusting the turnover rate of the strategy. In August, we will do our utmost to find models with new correlations and manage more strictly to renew the high point.
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