Dear owls,
It is a great pleasure and relief to confirm that iRobot is back !
After long hours of re-building and re-processing, you will find below the updated results of the Robot Index backtest covering the initial period from 1st May to 31st July 2021. I am still working on extending this backtest without delaying the DG2 vote much further.
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Backtest Composition :
Illustrated below is the evolution of iRobot “v2” ’s composition from 1st May (inception) until 1st July (2nd and last rebalancing of the considered period):
As mentioned in the last updates, the new tool suite used to build the index not only opens the doors to a wider asset universe, but also enables a much more accurate calculation of the rankings based on bits of price history that were missing before.
Particularly worth mentioning are the appearance of our own $INDEX in iRobot’s composition from 1st June 2021 onwards, as well as the early inceptions of $ILV, $CVX and $PERP.
As before, the biggest additions / deletions to the portfolio would have been in a +/- 5 to 7% order of magnitude.
Last but not least : a 5% cap has been applied at inception on the tokens sourced from pools with less than 7 m$ liquidity. Preventively, the same cap has been applied on the weights of tokens whose liquidity was falling under 4 m$ during the course of the backtest.
- Performance Metrics :
Illustrated below are iRobot “v2” ’s average performance metrics from :
- 1st to 31st May
- 1st to 30th June
- 1st to 31st July
Similar to the 1st time, the focus has been put explicitly on this period to simulate the worst possible market conditions for the product launch :
The results of the 1st backtest haven’t been added here to avoid information overload, nevertheless I’m pleased to confirm that v2’s performance would have been very similar despite the extra constraints on less liquid tokens.
- Value of 1000$ initial investment :
The direct comparison between iRobot “v1” (first backtest), “v2”, the market benchmarks as well as the “average” and “losers” portfolios can be done here, confirming that the methodology helped to identify momentum over this 3 months period.
Note that the only constraint applied for the construction of the “average” and “losers” portfolios was the minimum of 1 month price history (without extra considerations on liquidity), therefore a greater advantage can be expected if these limitations were lifted up.
- Final ranking :
This graph confirms that the Robot Index and ETH were the only assets to post a positive Sortino ratio over the considered time range. As mentioned before, this performance could have been further improved by switching from a monthly to a bi-weekly rebalancing cadence.
Any comment or question, please do not hesitate to post it here or in Discord (#irobot-discussion). I am now going to amend the DG2-IIP with the link to these results.