What CLIFF Does
CLIFF is an automated quantitative trading system for crypto perpetual futures on GMX V2 (Arbitrum). It uses a two-stage signal architecture: predictive positioning before major moves via pattern recognition (V3 formation detection), and reactive capture of momentum events as they unfold (regime-adaptive z-score breakout detection). Currently trading ETH, BTC, SOL, DOGE, and NEAR perpetual futures.
Walk-Forward Validated Performance
All results include realistic costs (GMX execution fees + slippage + gas). Dataset: exchange hourly data, Feb 2024 — Feb 2026 (17,520 bars per asset). Walk-forward OOS = out-of-sample (model never trained on this data).
Walk-Forward Out-of-Sample Results (2yr, 21 windows per asset)
- ETH/USD: OOS Sharpe 1.337
- BTC/USD: OOS Sharpe 2.058
- SOL/USD: OOS Sharpe 2.194
- DOGE/USD: OOS Sharpe 1.900
- NEAR/USD: OOS Sharpe 1.519
- Portfolio: Sharpe 1.667, 7/7 institutional robustness
The portfolio passes all 7 institutional robustness metrics: Deflated Sharpe (DSR), Probabilistic Sharpe (PSR), Min Track Record Length (minTRL), Equity R-squared, Tail Ratio, Calmar Ratio, and Monte Carlo P5 Sharpe.
2-Year Returns (Feb 2024 — Feb 2026, $1M, 4-asset equal-weight)
- ETH/USD: CLIFF +95.2% ($488K) vs Buy-and-Hold -34.8% ($163K) — Alpha +130%
- BTC/USD: CLIFF +123.4% ($559K) vs Buy-and-Hold +29.9% ($325K) — Alpha +93%
- SOL/USD: CLIFF +135.0% ($588K) vs Buy-and-Hold -20.3% ($199K) — Alpha +155%
- DOGE/USD: CLIFF +136.0% ($590K) vs Buy-and-Hold +14.0% ($285K) — Alpha +122%
- Combined: CLIFF +122% ($2.2M) vs Buy-and-Hold -3% ($972K)
Past performance is not indicative of future results. Expected live Sharpe: 0.8-1.2 (meta-overfitting discount applied).
Overfitting Validation — All 4 Tests Pass
- Look-ahead bias test: Signal is NOT an execution artifact
- Fee stress test (2x): Alpha survives doubled transaction costs
- Temporal holdout: Signal strengthens in recent unseen data
- Sensitivity analysis: Parameters on plateau, not fragile peak
Execution
Trades via Hyperliquid API wallet. Operator mode — direct wallet execution. Gasless, 2bps fees, instant fills.
Tech Stack
- Language: TypeScript (strict mode, ESM)
- Venue: Hyperliquid (gasless, 2bps, instant fills)
- Execution: API wallet operator mode
- Data: Binance klines + HL oracles
- Dashboard: cliff.surf (real-time SSE)
Personal trading system. Not investment advice. Past performance is not indicative of future results.