Price volatility in Bitcoin over the course of the first two weeks of 2024 has been extreme. Whilst the range has only been a little over $8,000 there have been numerous instances of violent price retracements of $4,000 over very short time periods. The most dramatic have been as a result of a questionable report on the potential for the ETF approvals to fail, the incompetence of the SEC releasing an approval twitter and then announcing its account had been hacked and then finally, rejection of a blow off top to $49,000 on actual confirmation of the ETFs all being approved. Unfortunately the Katana Programme has been adversely affected by this volatility. Performance for the first two weeks of 2024 was -16%. The extreme price moves have caused the algorithm to reduce trade size after a series of losses.

An examination of the long term simulation of the Katana Programme trading over 4 years back to 2020 illustrates quite clearly that percentage movements of this size have been experienced a number of times during this period.

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As much as it is painful to participate in these sorts of adverse moves, the inherent volatility of the Bitcoin price means we cannot shield a systematic approach from these drawdowns if we are to generate alpha that makes the exercise profitable and worthwhile.  A systematic approach to trading Bitcoin has been and will continue to be a marathon not a sprint. We remain optimistic the Katana Programme will continue to generate alpha over the medium term.