Trading strategy
The underlying SPV trading strategies
The investment structure of The ICOA Fund is as follows (A & B):
Maximum of 30% will be invested into Market Making and liquidity pools of carefully selected projects
A maximum of 70% will go towards three BTC yield generating strategies
A
Maximum of 30% will be invested into Market Making and liquidity pools of carefully selected projects:
Liquidity Provision: The ICOA Fund is currently in collaboration with recognized partners to allow for effortless fiat conversions and has recently entered into a one-of-a-kind partnership with our sister subsidiary, iBG.
Through a strategic buyback and burn relationship, The ICOA Fund will provide liquidity to the iBG ecosystem.
To ensure committed yield is achieved, the fund will invest in market makers, liquidity providers, and opportunities relevant to BTC by leveraging CGCX.io’s crypto exchange experience.
The 30-day maximum short-term crypto loans serve to exchange platforms through a network developed by CGCX.io.
B
B1: Covered Call Strategy:
- Algorithm identifies market opportunities in real time and assesses probability of trade success.
- Filters include Delta, Theta, Gamma, Vega, Duration, Realised Volatility, Implied Volatility, Moving
Leverages and RSI. - Machine learning algorithim calculates a trade confidence of success based on historical
parameters, against current market parameters. - Trade taken based on outlier parameters likely to result in profitable trades. Threshold of 70% likely success rate is minimum.
- Algorithm identifies risk free opportunities in real time due to market inefficiencies across exchanges.
- Offsetting trades are executed simultaneously to lock in profits.
B2:Negative Gamma Strategy:
- Fundamental blockchain analysis is used to identify medium term trend.
- Factors examined include exchange in/out flows, weak and strong hands, bitcoin liquidity ratio, difficulty of mining, miner
flows. - Technical analsyis is used in combination to reinforce blockchain analysis. Factors include RSI, Moving Averages, and Fibonacci levels.
- Trend is influential in determining machine learning probability success rate threshold. Threshold is lower for calls in Bull Markets and Puts in Bear Markets.
B3:Volatility Trading Strategy:
- Exchange arbitrage (vol surface & futures, CME vs Deribit, etc).
- Directional trading (cash and volatility).
- Relative value trading (duration and smile).
- Efficient portfolio construction (trading Greeks). Special situations (event led)
- Forward looking lead indicators used to preempt directional moves:
– Put/Call Ratio
– Gamma/Risk Premium Ratio
– Volatility Smile
– Risk Reversal Prices
– Gamma/Theta Ratio
-ATM/Skew Ratio
Fund Structure
