CTA-Momentum (R* Research) [Paused]

Disclaimer (R* Research)

We’ve excluded R* Research’s full name to mitigate alpha leaking. Neutral Trade has already completed thorough due diligence, including eight solid months of live, real-money testing.

Overview

The CTA-Momentum Strategy is a multi-asset, machine learning-driven trading strategy operated by Neutral Trade in collaboration with R* Research. It is designed to capture short-term momentum and mean-reversion inefficiencies in highly liquid digital assets.

The strategy is executed on two of the most liquid centralized exchanges globally, providing the lowest available trading fees and superior execution quality. It is structured with robust institutional-grade risk controls and custody and settlement architecture, enabled by our strategic partnerships.

R* Research CTA-Momentum embodies Neutral Trade’s mission to bring hedge-fund-quality strategies to on-chain users.

Strategy Design

CTA-Momentum's objective is to generate consistent, risk-adjusted returns by identifying short-term mispricings across highly liquid digital assets. It aims to deliver uncorrelated alpha that is resilient across varying market regimes.

Alpha Source

• Momentum + Mean Reversion patterns in L2 order book data and price action

• High-Frequency Signal Generation (every minute)

• Alternative Data for sentiment and behavioral insight

Asset Coverage

• BTC

• ETH

• SOL

• BNB

• XRP

• DOGE

Frequency & Turnover

• Median Holding Period: ~1–3 hours

• Trades: 3-5 per asset per day

• Monthly Turnover: Up to 1000x TVL

Risk Controls

• Target Volatility: 15%

• Dynamic Position Sizing: If risk thresholds are breached, positions are reduced by 50%

• Drawdown Protection Cap: 20%

  • Full strategy pause and reevaluation if a drawdown exceeds 20%

• Max Historical Drawdown: 15%

Custodial Infrastructure

Copper/CEFFU Custody & ClearLoop/MirrorX Settlement

• Assets remain in Copper and CEFFU cold wallets

• Reduced counterparty risk - PnL and margin are net settled to OKX and Binance via ClearLoop & MirrorX

• Protected by English Law trust structure

• 2-of-3 MPC security infrastructure (ensuring funds are never exposed to a single private key being compromised)

Execution

OKX & Binance

• Market Maker Tier Accounts (VIP 7 for OKX and MM-1 for Binance)

  • Institutional-grade liquidity and speed

  • Minimal fees

• Strategy executes via an externally managed Neutral Trade account

  • Protects trader alpha

Why R* Research?

• Extensive Hedge Fund Experience

• Proprietary ML Engine tuned for real-time crypto markets

• Diversification: Adds uncorrelated alpha to Neutral Trade's strategy mix

• On-Chain Transparency and operational alignment with Neutral Trade

Historical Performance

Backtest Results (1x leverage, 2bps fees)

Asset	Sharpe	APR	Max DD	Median Holding
BTC	3.5	150%	10%	2 hours
ETH	3.5	200%	12%	3 hours
SOL	4.0	300%	15%	1 hour

Live Trading on OKX

Monthly OKX & Binance Reports

https://drive.google.com/drive/folders/19NykpcRylT41y3GDnfxrewCfO7D52-mn?usp=drive_link

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CTA-Momentum (R-Research). Launch Date - 4 July 2025