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

XAUT future with expiry 2021-09-24

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

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

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.