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
Non-Custodial Trading Accounts on Arbitrum
Each user deploys their own CliffTradingAccountV2 smart contract on Arbitrum via a factory. Your wallet owns the contract. You fund it with USDC. CLIFF executes trades in your account on GMX V2 but can never withdraw your funds. You keep full custody. Withdraw anytime — no timelock. Revoke operator access instantly. Every trade is an on-chain GMX V2 order viewable on Arbiscan.
Fee: 20% software licensing fee on trading gains above your deposited capital. No management fee. No fee on losses. Gas costs covered by the operator. Collected on-chain via high-water mark.
Tech Stack
- Language: TypeScript (strict mode, ESM)
- Contracts: Solidity 0.8.24, Foundry/Forge
- Chain: Arbitrum L2
- Protocol: GMX V2 Perpetuals
- Accounts: CliffTradingAccountV2 (per-user, non-custodial, USDC)
- Data: Binance klines + Chainlink oracles
- Dashboard: cliff.surf (real-time SSE)
Autonomous trading software. Not investment advice. Past performance is not indicative of future results. Terms of Service