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AlphaData
Cross-Sectional Factors
Terminal & API

Cross-Sectional Factor Catalog

Liquidity

Altair
Measures short-term liquidity dynamics, slippage and market order imbalances.
Benchmark (BTC)Portfolio
42.9%
54.8%
0.90
1.64
1.00
0.12
Rank IC t-stat by year
’20’21’22’23’24’25’26All
2.93.43.91.84.33.51.98.3
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 3
Market-Neutral
Derivatives Metrics
Single-Factor
Relative Illiquidity
Captures the effect of assets with higher relative illiquidity tending to outperform.
Benchmark (BTC)Portfolio
42.9%
32%
0.90
1.14
1.00
0.03
Rank IC t-stat by year
’20’21’22’23’24’25’26All
1.72.84.93.64.03.22.58.3
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Derivatives Metrics
Single-Factor

Reversion

Enhanced Mean Reversion
Basket-based mean reversion signal diversified across time frames and transformations with enhanced conditioning for robustness.
Benchmark (BTC)Portfolio
42.9%
37.4%
0.90
2.06
1.00
0.01
Rank IC t-stat by year
’20’21’22’23’24’25’26All
1.42.74.21.62.4−0.2−1.14.2
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 3
Market-Neutral
Survivorship-Bias Free
Single-Factor
Mean Reversion
Basket-based mean reversion signal diversified across different windows to capture broad reversal dynamics.
Benchmark (BTC)Portfolio
42.9%
32.5%
0.90
1.10
1.00
0.04
Rank IC t-stat by year
’20’21’22’23’24’25’26All
0.11.42.8−0.2−0.40.9−2.70.6
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Survivorship-Bias Free
Single-Factor

Positioning

Margin Risk
Assets with higher at-risk-of-liquidation positions tend to underperform less leveraged assets.
Benchmark (BTC)Portfolio
19.5%
51.8%
0.60
1.61
1.00
0.03
Rank IC t-stat by year
’21’22’23’24’25’26All
3.65.82.63.73.22.88.7
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 3
Market-Neutral
Derivatives Metrics
Single-Factor
Retail Flow
Quantifies retail money flow, positioning, and activity and systematically takes contrarian positions.
Benchmark (BTC)Portfolio
31.5%
28.1%
0.77
0.97
1.00
-0.01
Rank IC t-stat by year
’20’21’22’23’24’25’26All
0.02.30.6−1.10.4−1.1−0.00.5
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Derivatives Metrics / Positioning
Single-Factor
Open Interest Divergence
Quantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
Benchmark (BTC)Portfolio
39.9%
38.1%
0.87
1.20
1.00
-0.02
Rank IC t-stat by year
’20’21’22’23’24’25’26All
0.7−0.94.02.64.03.22.36.3
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 1
Market-Neutral
Survivorship-Bias Free
Single-Factor

On-Chain

Supply Velocity
Assets with lower inflation perform better than assets with higher inflation.
Benchmark (BTC)Portfolio
42.9%
40.2%
0.90
1.29
1.00
0.13
Rank IC t-stat by year
’20’21’22’23’24’25’26All
3.01.04.12.43.53.84.98.4
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Fundamental
Single-Factor

Momentum

Instantaneous Momentum
Propertiary measure of momentum, assets with higher instantaneous momentum tend to outperform.
Benchmark (BTC)Portfolio
42.9%
69.7%
0.90
1.71
1.00
0.03
Rank IC t-stat by year
’20’21’22’23’24’25’26All
0.1−2.2−2.6−3.1−0.11.5−0.5−2.4
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Survivorship-Bias Free
Single-Factor
Polaris
Proprietary measure of short-term, normalized momentum effects across crypto assets.
Benchmark (BTC)Portfolio
42.9%
67.4%
0.90
1.69
1.00
0.00
Rank IC t-stat by year
’20’21’22’23’24’25’26All
0.5−1.1−2.7−1.7−0.31.7−0.2−1.2
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Survivorship-Bias Free
Single-Factor
Enhanced Momentum
Captures short-term momentum effects, measured by a wide range of proprietary methods.
Benchmark (BTC)Portfolio
42.9%
51.5%
0.90
1.52
1.00
0.02
Rank IC t-stat by year
’20’21’22’23’24’25’26All
−0.3−2.1−4.2−1.9−0.42.0−0.9−2.5
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 1
Market-Neutral
Survivorship-Bias Free
Single-Factor
Trend Consensus Adaptive (Long-Only)
Exploiting the tendency of assets with positive trend consensus, when overall market trend is positive.
Benchmark (BTC)Portfolio
42.9%
102.4%
0.90
1.68
1.00
0.44
Rank IC t-stat by year
’20’21’22’23’24’25’26All
1.2−1.1−0.4−2.3−0.31.6−0.8−0.5
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Long-Only
Survivorship-Bias Free
Single-Factor
Instantaneous Volatility
Propertiary measure of volatility, assets with higher instantaneous volatility tend to outperform in certain market conditions.
Benchmark (BTC)Portfolio
42.9%
43.9%
0.90
1.25
1.00
0.07
Rank IC t-stat by year
’20’21’22’23’24’25’26All
1.10.0−0.20.31.81.01.01.9
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 3
Market-Neutral
Single-Factor
Momentum
Captures short-term momentum opportunities, aiming for uncorrelated returns while minimizing directional exposure.
Benchmark (BTC)Portfolio
42.9%
28.8%
0.90
0.91
1.00
0.07
Rank IC t-stat by year
’20’21’22’23’24’25’26All
−0.0−2.20.5−2.0−1.21.1−1.6−1.7
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 1
Market-Neutral
Survivorship-Bias Free
Single-Factor

Carry

Enhanced Carry
Captures cross-sectional funding premium across a wide range of exchanges, exploiting funding imbalances.
Benchmark (BTC)Portfolio
46.4%
50.1%
0.95
1.60
1.00
0.01
Rank IC t-stat by year
’20’21’22’23’24’25’26All
2.25.31.81.43.11.22.36.6
Factor returns
Rolling 90D Rank IC
Top 40 Market Cap
Tier 2
Market-Neutral
Survivorship-Bias Free
Single-Factor
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