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Speculative Flow Index (Bitcoin)

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.
Tier 1
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Bitcoin)Strategy
-76.6%
-41.3%
61.7%
41.9%
1.08
1.36
60.8%
61.9%
0.00
0.17
1.00
0.59

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.

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0.87
1.36
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-0.05
0.03

Factor Analysis

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BTC Price with Speculative Flow Index

Factor Plot

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

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Components

US Cloud Computing Sector Momentum SpilloverTech Sector Momentum SpilloverHigh Yield Bond Momentum Spillover
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Scatter plot - Speculative Flow Index and BTC 30 and 90 Day Average Returns

Replicate the backtest

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

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