| Benchmark (Bitcoin) | Strategy | |
|---|---|---|
100% | 100% | |
100% | 100% | |
1.00 | 1.00 | |
100% | 100% | |
1.00 | 1.00 | |
1.00 | 1.00 |
Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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Futures (CME) Premium Index measures the difference between the price of Bitcoin futures contracts on CME, and the spot price. The index provides insights into market sentiment and institutional demand. The index is normalized using a wide range of lookback windows in order to be easily modelable and interpretable.
CME's regulated environment and large contract sizes ($125k+/contract) make it the primary venue for institutional players rather than retail traders. When CME futures trade at sustained premiums (contango), it signals sophisticated money positioning for upside - a notable divergence from 2022's backwardation periods that preceded bear markets.
The Futures Premium (CME) is calculated by comparing CME Bitcoin futures prices (cash-settled to the CME CF Bitcoin Reference Rate) against real-time spot prices from constituent exchanges. The premium measures the difference between these two prices, reflecting market expectations and arbitrage opportunities. The index normalizes this premium relative to historical averages to provide a standardized measure of market sentiment and institutional demand.
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Get started by replicating the historical performance with our code snippets.