🪙 Crypto Carry Trade Strategies with Perpetuals, Staking and Pendle
📍 EPFL – Master in Financial Engineering, Year 1 (2025)
👥 Team: Matthias Wyss, William Jallot, Yassine Wahidy
📄 Final Report: Report
🔗 GitHub Repository: GitHub
This project investigates the implementation and performance of delta-neutral crypto carry trade strategies leveraging:
- Perpetual futures to capture funding rate arbitrage
- ETH staking via Lido to enhance passive yield
- Pendle Finance for fixed yield via tokenized future yield streams (e.g., PT-stETH)
We evaluate strategy performance over major crypto market regimes from 2019 to 2024, including:
- 📈 The 2021 Bull Market
- 💥 Luna Collapse
- 🧨 FTX Crisis
- 🚀 ETF Bull Market (2024)
Our analysis includes backtests, risk metrics, and drawdown analysis, using data from Binance, CoinGlass, and Dune Analytics.
🛠 Tools & Libraries:
- Python
- Jupyter Notebooks
- Dune Analytics API
- CoinGlass API
🧠 Techniques:
- Delta-Neutral Trading
- Crypto Derivatives
- Staking & DeFi Yield
- Historical Backtesting
- Risk Management