Unravel

Get Started with Risk Overlay (Exchange Outflow)

1. Understand Exchange Outflow

Based on our proprietary predictive analytics platform thats surfaces Predictive Factors we create Predicitive Indices. The underlying factors are a variety of on-chain, sentiment, macro and other alternative data.

For the purpose of this guide we will use the "Exchange Outflow" which measures the flow of digital asset out of trading venues.

Data is normalized.

Exchange Outflow

2. Historical Performance

Through the Terminal you can explore the historical performance of the Index.

Benchmark (Bitcoin)Strategy
-53.7%
-53.7%
44.7%
44.7%
0.94
0.94
37.5%
37.5%
0.27
0.27
0.22
0.22

To understand a predictive factors predictive power, we create a simple long-only strategy and simulate its past performance (with daily rebalancing):

  • 100% Long when the predictive factor is close to 1, with a position size equivalent to the predictive factor value.
  • Flat when the predictive factor is close to 0, with a position size equivalent to the predictive factor value.

The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.


You can read about the Methodology here.

Factor Plot

3. Reproduce and validate backtest

With our fully transparent code, you can validate the performance of the index and deploy it to production.

4. Deploy to production

Integrate the Predictive Index into your production environment with our comprehensive API.

Ready to enhance your portfolio with exogenous risk overlay?

Get started by using individual Predictive Factors or use our Index API to access highly curated Risk Indices or build your own.

Index API
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