We sincerely hope that Black Friday didn't impact you.
The single & multi-factor model portfolios we track performed according to expectations - thanks to being close to market neutral, they were mostly unaffected.
The current state of "Adaptive" portfolios are close to fully risk-off, with negligible overall allocation.
New Tickers
Our raw factor universe expanded with the following tickers: SKY 2Z OKB USELESS XPL FTT MOG SNEK MNT M FF A MYX CHEEMS BTT XEC B RLUSD TFUEL KCS WLFI LINEA SYRUP GT SAHARA FLR 0G ZBCN ASTER
A few of them found their way into the top 40 universe, without material changes to the backtests. Regular weekly additions will follow.
Directional Strategies Deprecation
We're sunsetting "Directional Strategies" and the corresponding normalized-series endpoint at the end of the year.
Our focus has completely shifted towards market-neutral factors and hard to justify maintaining an offering that has limited use (with limited universe and frequency).
Our efforts are going into a more scalable and appropriate approach: serving the raw metrics with a low-latency data infrastructure - work that's currently happening in the background.
New Data Offering (Coming Early Next Year)
We are building low-latency infrastructure to serve high-quality, point-in-time market data, standard and unique metrics with full exchange coverage.
More details coming soon!
Removal of Deprecated Data Sources
The following time series will be removed from the "Directional Strategies" list and endpoint this week:
- Whale Transactions
- Active Addresses
- Short Term Holder Activity
- Exchange Outflow
- Exchange Spotflow
- Net Positions
We're constantly re-evaluating our existing data catalog and these do not pass our current quality standards. We'll bringing them back when the situation changes.
Upgraded price Endpoint
We added a new convenience functionality to fetch historical closing prices for multiple tickers at the same time. The unravel-client python package has been updated with a new function called get_prices.
Further enhancements to the price endpoint will arrive this month to improve model portfolio backtest accuracy.
Keep tuned for further updates!
The Unravel Team