Unravel

US Cloud Computing Sector Momentum Spillover (Bitcoin)

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.
Tier 1
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Bitcoin)Strategy
-76.6%
-38%
61.5%
42.9%
1.08
1.41
60.1%
67%
0.00
0.22
1.00
0.58

Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:

  • 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 0.05% transaction costs applied on each position adjustment.

Unravel

unravel

0.94
1.41
Unravel

unravel

-0.01
0.04

Factor Analysis

Unravel

unravel

BTC Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

Unravel

unravel

▆ Very Low▆ Low▆ Moderate▆ High▆ Very High

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

Unravel

unravel

Scatter plot - US Cloud Computing Sector Momentum Spillover and BTC 30 and 90 Day Average Returns

Replicate the backtest

Get started by replicating the historical performance with our code snippets.

Ready to dive in?

Be among the first to experience the cutting-edge, institutional-grade predictive analytics Unravel offers.

Sign up