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quantools

A set of personal trading and quant research projects in the crypto markets.

In particular:

Carry

Backtesting system for carry trades with futures. Historical market data from FTX. Available expirations (the ones without year are for 2022): ['0325', '0624', '0930', '1230', '20200327', '20200626', '20200925', '20201225', '20210326', '20210625', '20210924', '20211231']

Some backtesting results:

AAVE future with expiry 2020-12-25

AAVE

XAUT future with expiry 2021-09-24

XAUT

Distribution of the final PNL of each expiration for all the backtested futures

profits_by_expiration

Distribution of the final PNL of each future for all the backtested expirations

profits_by_coin

Carry live

Live trading system to monitor and systematically trade carry opportunities on FTX.

MEV

Simple DeFi projects to learn the mechanics arbitrage on AMMs.

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A set of personal trading and quant research projects in the crypto markets.

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