Meta Risk Index (Bitcoin)

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Tier 1

☑ Point-in-Time

Preview

Backtest Performance - Risk Managed (Long Only) Strategy

	Benchmark (Bitcoin)	Strategy
Max Drawdown	-76.6%	-37.8%
Volatility	62.8%	38.2%
Sharpe Ratio	1.10	1.49
CAGR	63.6%	64.7%
Alpha	0.00	0.19
Beta	1.00	0.55

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 0.5% transaction costs applied on each position adjustment.

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Latest0.89

1.5

Overall

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Latest0.03

0.06

Overall

Factor Analysis

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BTC Price with Meta Risk Index

Factor Plot

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

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Components

BTC Implied Volatility (1 Month)Exchange Outflow Corporate Bond Momentum Spillover US Cloud Computing Sector Momentum Spillover

Scatter plot - Meta Risk Index and BTC 30 and 90 Day Average Returns

Reproduce the backtest using our API

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.