CONCRETUM RESEARCH

In this Deep Dive, we unpack the research behind a crypto trend-following strategy that blends classic technical models with modern digital asset data. Using Donchian channels and volatility-based sizing, the paper explores how to rotate across top coins and generate consistent alpha—all while managing costs and execution risks.

Built on a survivorship bias-free dataset since 2015, the strategy shows strong performance versus Bitcoin and offers practical paths for both on-chain and off-chain implementation.

We explore how a classic trend-following strategy using Donchian channels performs in crypto markets. Tested on Bitcoin and a broad altcoin dataset since 2015, this approach delivers strong returns and risk-adjusted performance. We also cover transaction cost management and real-world execution tips.

In this episode, we share an approved Deep Dive by Notebook LM, discussing the experiment conducted by Carlo Zarattini and Marios Stamatoudis, as presented in their fascinating paper titled "The Power of Price Action Reading."

In this episode, we share an approved Deep Dive by NotebookLM discussing the key insights from our paper, "Does Trend Following Still Work on Stocks?"

This paper explores the performance of trend-following strategies in U.S. stock markets over the past 70 years, addressing practical implementation challenges and techniques to reduce transaction costs.