ramseshk
37b8496dc2
Optimal position sizing: 4x BTC, 40x ETH utilization
Strategy Old→New Notional Capital Utilization
─────────────────────────────────────────────────────────
OBI (BTC) 3→1 12%→51% (4x)
Iceberg (BTC) 3→4 13%→54% (4x)
Funding (BTC) 4→8 14%→58% (4x)
A-S MM (BTC) 5→1 15%→61% (4x)
Hurst VPIN (BTC) 5→4 15%→64% (4x)
Momentum (ETH) →8 1%→38% (40x)
Mean Reversion (ETH) →3 1%→43% (45x)
Kalman Pairs (ETH) 0→8 10%→48% (5x)
Pairs Trading (ETH) 1→2 11%→52% (5x)
ETH strategies were using <1% of capital — essentially generating no PnL.
Kelly-based optimal sizing: 40-65% utilization is the sweet spot for
balancing return vs drawdown at 00/strategy scale.