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key-details-icon Key Metrics
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circle-chart-icon Performance
chart-image Chart
All Returns: -
Annualized Returns: -4.94%
1D
1W
1M
All - -
1 Jan 1970 - -
description-iconDescription
Manager: Delta Exchange

The large cap AMM strategy is an AMM (automated market maker) that looks to profit by providing liquidity on the books of large cap coins such as BTCUSDT and ETHUSDT on Delta Exchange.

The strategy is designed for a low risk profile and looks to minimize any drawdowns. The strategy looks to earn profits by capturing the premium that liquidity seekers are willing to pay over the fair price. It then looks to offload this position opportunistically using momentum indicators and by creating arbitrage opportunities.

The AMM enjoys a fee rebate from the exchange, just as any other market maker. In addition, it earns DETO rewards. The total returns made by the strategy are returns generated by the strategy on the funds invested and additional DETO rewards.

Total AMM Return=Returns generated by market making (USDT terms) + DETO rewards

The strategy is designed to have low drawdown and returns. Its objective is to generate yield without losing capital and earn rewards by providing liquidity.

The strategy does not have the concept of impermanent loss. Instead of hoping to recoup some of the losses in the future it measures the current performance. The strategy has been in production since 1 Jan 2021 and its real time performance is visible in the chart attached. The strategy has had a maximum drawdown of 3.81%. Thus, from it all time top it has never been down more than 4%. In absolute terms the funds deployed have never been down by more than 2%.

In the 6 months that the strategy has been deployed it has returned more than 7% as of August 2021. On an annualized basis the strategy is yielding close to 15% per annum with a drawdown of less than 4% and a Sharpe ratio of 1.69.

Under the hood:

AMM strategy provides both bids and offers to the orderbooks on BTCUSDT and ETHUSDT contracts on Delta Exchange. The strategy looks to capture dynamic premium that those seeking liquidity are willing to pay over the fair price. It uses orderbook and price information to generate its bids & offers. Further, it uses information on its current inventory and market conditions to limit the exposure it takes and to modify its open orders in the orderbook.

The strategy has equal allocation to BTC and ETH.

The contributions to the strategy are made in USDT. The returns generated on the strategy are in USDT terms while the DETO rewards are in DETO terms.

Comparing to DEXs:

Unlike other decentral AMMs that require LPs to contribute 2 currencies and take price risk of 1 or both the currencies, the Delta AMM requires only 1 currency, USDT. Thus, the LPs are not exposed to the price risk of currencies that they contribute to the AMM.

Risk Management:

The strategy can take a maximum leverage of only 3x in order to avoid any risk of liquidation. The strategy takes a naked position only in the direction of the prevailing momentum. Momentum direction is determined using various momentum indicators for determining short term price momentum. If the momentum bias is towards the long side, then the strategy holds the long inventory and looks to unwind it opportunistically. On the other hand, if the momentum is long and the strategy has a net short position, then it looks to offload it immediately in the order-book.

Fund Safety:

The strategy can take a maximum leverage of only 3x in order to avoid any risk of liquidation. The strategy takes a naked position only in the direction of the prevailing momentum. Momentum direction is determined using various momentum indicators for determining short term price momentum. If the momentum bias is towards the long side, then the strategy holds the long inventory and looks to unwind it opportunistically. On the other hand, if the momentum is long and the strategy has a net short position, then it looks to offload it immediately in the order-book.


Fee Structure
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