The portfolio is designed to captitalize on the persistent effect of assets with smaller relative open interest tend to outperform. During the weights calculation it'll short assets with larger open-interest-to-market-capitalization ratio and going long assets with smaller ratios.
Its universe consists of the most liquid and actively traded assets, identified on rolling basis - various techniques employed to keep it both stable and relevant, as well as survivorship-bias free.
To balance each asset's risk contribution, positions are scaled according to the inverse of their rolling volatility.
The portfolio is rebalanced daily, at midnight UTC, weights are calculated at 11:55am UTC.
The backtest displayed here assumes fixed 0.5% transaction costs.
| Benchmark (BTC) | Portfolio | |
|---|---|---|
1.07 | 0.63 | |
60.3% | 18.4% | |
0.00 | 0.18 | |
1.00 | -0.10 | |
-76.6% | -62.5% | |
63.4% | 39.2% | |
1.07 | 0.63 | |
0% | 0.9% | |
100% | 3.6% | |
100% | 178.1% |
Open Interest Divergence - Top 30 Market Cap
Quantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
CAGR
27%
Sharpe Ratio
0.80
Volatility
40%
Alpha
0.25
Open Interest Divergence - Top 40 Market Cap
Quantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
CAGR
61%
Sharpe Ratio
1.46
Volatility
37%
Alpha
0.50
| Ticker | Name | Arrival Price | Weight | Date |
|---|---|---|---|---|
| BTC | Bitcoin | 105530.016 USD | 0.00% | 2025-06-03 |
| ETH | Ethereum | 2593.301 USD | 0.00% | 2025-06-03 |
| SOL | Solana | 155.701 USD | 0.00% | 2025-06-03 |
| XRP | Ripple | 2.254 USD | 0.00% | 2025-06-03 |
| DOGE | Dogecoin | 0.193 USD | 0.00% | 2025-06-03 |
| SUI | Sui | 3.246 USD | 0.00% | 2025-06-03 |
| BNB | Binance Coin | 661.427 USD | 0.00% | 2025-06-03 |
| ADA | Cardano | 0.686 USD | 0.00% | 2025-06-03 |
| LTC | Litecoin | 89.744 USD | 0.00% | 2025-06-03 |
| LINK | Chainlink | 14.117 USD | 0.00% | 2025-06-03 |
| AVAX | Avalanche | 21.126 USD | 0.00% | 2025-06-03 |
| DOT | Polkadot | 4.148 USD | 0.00% | 2025-06-03 |
| BCH | Bitcoin Cash | 402.396 USD | 0.00% | 2025-06-03 |
| HBAR | Hedera | 0.172 USD | 0.00% | 2025-06-03 |
| TRX | TRON | 0.27 USD | 0.00% | 2025-06-03 |
| BGB | BGB | 4.793 USD | 0.00% | 2025-06-03 |
| TON | Toncoin | 3.184 USD | 0.00% | 2025-06-03 |
| XLM | Stellar | 0.273 USD | 0.00% | 2025-06-03 |
| SHIB | SHIB | 0.000013049172594037373 USD | 0.00% | 2025-06-03 |
| XMR | Monero | 343.784 USD | 0.00% | 2025-06-03 |
| 0.00% | ||||
Get started by replicating the historical performance with our code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.
Universe
Top 20 Market Capitalization Cryptocurrencies
| Ticker | Name |
|---|---|
| BTC | Bitcoin |
| ETH | Ethereum |
| SOL | Solana |
| XRP | Ripple |
| DOGE | Dogecoin |
| SUI | Sui |
| BNB | Binance Coin |
| ADA | Cardano |
| LTC | Litecoin |
| LINK | Chainlink |
| AVAX | Avalanche |
| DOT | Polkadot |
| BCH | Bitcoin Cash |
| PEPE | PEPE |
| HBAR | Hedera |
| TRX | TRON |
| AAVE | Aave |
| FIL | Filecoin |
| TAO | Bittensor |
| NEAR | NEAR Protocol |
| UNI | Uniswap |
| APT | Aptos |
| BGB | BGB |
| TON | Toncoin |
| FET | FET |
| EOS | EOS |
| ETC | Ethereum Classic |
| XLM | Stellar |
| RENDER | RENDER |
| KAS | Kaspa |
| OP | OP |
| OM | MANTRA |
| ARB | Arbitrum |
| ATOM | ATOM |
| INJ | INJ |
| VET | VeChain |
| APE | APE |
| SHIB | SHIB |
| SAND | SAND |
| LDO | LDO |
| ALGO | Algorand |
| ICP | Internet Computer |
| STX | STX |
| MANA | MANA |
| IMX | IMX |
| NEO | NEO |
| IOTA | IOTA |
| AXS | AXS |
| CRO | CRO |
| COMP | COMP |
| GRT | GRT |
| THETA | THETA |
| EGLD | EGLD |
| BSV | BSV |
| XMR | Monero |
| XTZ | XTZ |
| QNT | QNT |
| FLOW | FLOW |
| SNX | SNX |
| QTUM | QTUM |
| LUNC | LUNC |
| BAT | BAT |
| DASH | DASH |
| ZEC | ZEC |
| ONT | ONT |
| UMA | UMA |
| XCN | XCN |
| WAVES | WAVES |