Katana month to date performance, as at May 16th is -0.88%. Bitcoin commenced May trading at US$59,850. Short positions established at April month end were stopped out after BTC found support at US$56,500 and rallied to a high of $65,500 as shorts were squeezed. The LT1 algo subsequently took a back seat with distant entry levels not threatened during the multi-day consolidation that followed the rally. Concurrently the mean-reversion strategy entered 5 trades on the short side and contributed some profit to make up for the losses on the earlier trend following short positions.

Overnight the lower-than-expected US CPI release sparked a rally in all risk assets including Bitcoin. The BTC price rallied to a high of $66,460 off an intraday low of $61,300 price. The Katana algos established long positions at an average of $64,460. It remains to be seen if the current rally can sustain at the current $66,000 level. We are encouraged that the $10,000 bounce from the May lows has occurred in a period where multiple retests of support occurred above the $60,000 mark.