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Crypto Market-Wide Funding Rates (Bitcoin)

Measures the funding rates of all futures contracts.
Tier 3
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Bitcoin)Strategy
-76.6%
-58.9%
59.4%
36.2%
1.20
1.03
71.3%
36%
0.00
0.01
1.00
0.51

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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0.14
1.04
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0.03
0

Factor Analysis

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BTC Price with Crypto Market-Wide Funding Rates

Factor Plot

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

Crypto Market-Wide Funding Rates is the open-interest weighted funding rates of the top 100 market capitalization Cryptocurrencies.

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Scatter plot - Crypto Market-Wide Funding Rates 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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