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Sherpa Trend Signal Updates 2024-02-17
What is good internet!? Welcome to the inaugural Sherpa trend model signal update, where we break down new the new longs and shorts across trad and crypto asset markets. Keep reading to find all out our new longs and shorts. We'll break down the signals and track their historical performance.
But first, some highlights (obviously not financial advice):
- Total signal flips: 3
- New longs: 3 (0 trad, 3 crypto)
- New shorts: 0
- "Best" long crypto idea - None.
Inauspicious debut, but that’s what the market gave us this week. The few new signals we have from deep in alt coin world have either terrible forward expected returns based on past signals, small sample size of past signals, or both.
Obv past performance doesn't guarantee future results. That said momentum is a well-researched market phenomenon and trend following as a strategy has been practiced successfully for decades. Assets can go through periods where they trend strongly or mean revert over varying time scales. We like trend following because it tends to exhibit positive skew. No idea what the future holds, but signals like these improve our edge.
Quick notes on the models:
- On the site we maintain daily time series momentum models with 3-month and 12-month lookback windows for hundreds of assets, ranging from s&p 500 constituents, sector, asset class, and country ETF's, to the top 100 cryptocurrencies by market cap. These signals come from this universe.
- The signals are calculated on a daily close basis, and for the purposes of this report, a new signal must persist for 5 days in order to be considered valid. The five days is arbitrary, but its a solid first-pass naive filter to help reduce chop and reduce market noise.
(If you're interested in a ticker that we don't currently cover, we can generate models for you on the fly. Search our extended universe here.)
Let's dive into the latest signal changes.
TRAD
No new signals
CRYPTO
Short Term Trend (3 month lookback)
Asset | Fwd Return Horizon | Num Signals | Mean Fwd Return | Median Fwd Return | Fwd Return Std | Signal Direction |
---|---|---|---|---|---|---|
ApeCoin (apecoin) | 1m Fwd Return | 5 | -4.2% | 1.4% | 10.5% | Long |
ApeCoin (apecoin) | 3m Fwd Return | 4 | -35.0% | -36.9% | 22.2% | Long |
ApeCoin (apecoin) | 12m Fwd Return | 3 | -72.6% | -71.9% | 5.3% | Long |
GALA (gala) | 1m Fwd Return | 8 | 121.4% | -9.8% | 376.3% | Long |
GALA (gala) | 3m Fwd Return | 8 | 295.5% | 56.6% | 601.6% | Long |
GALA (gala) | 12m Fwd Return | 6 | 3812.3% | 191.3% | 8874.2% | Long |
Decentraland (decentraland) | 1m Fwd Return | 22 | 9.7% | 4.0% | 46.6% | Long |
Decentraland (decentraland) | 3m Fwd Return | 22 | 136.8% | -16.9% | 339.0% | Long |
Decentraland (decentraland) | 12m Fwd Return | 21 | 824.1% | -34.9% | 1617.0% | Long |
That’s a wrap for this week’s Sherpa Trend Signals. Keep your radio tuned to this station, each week we’ll uncover the latest short and long term trend changes across traditional and crypto markets.
ty,
macro sherpa