The Katana program performance was flat for the month of May. The Bitcoin price rally mentioned in the mid month report exhausted itself at just over US$72,000. The subsequent retracement bottomed at $66,000. The remainder of the month saw price consolidate in a range between $66,000 and $70,000. Profits were taken on 4 long positions established by the Trend following component of the program. The mean revision algo was unable to take advantage of the range trade and closed two losing trades.

Eight spot ETH ETFs were approved in May. The bullishness that ensued on this announcement was tempered late month by rumours surrounding potential selling of Bitcoin by Mt Gox accounts. As we enter the summer months in the Northern hemisphere, we may see subdued trading across financial markets as is common during this traditional holiday period. For May, BTC’s spot and futures volumes were down 30.4% and 20% respectively, from their March averages. We will need to see a recovery in these market volumes to be confident of a sustainable break beyond the current price range.

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