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Bitcoin (BTC) Predictive Risk Factors

US Cloud Computing Sector Momentum Spillover
Tier 1
Preview

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

Max Drawdown

-38%

Volatility

44%

CAGR

74%

Sharpe Ratio

1.47

Meta Risk Index
Index
Preview

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

Max Drawdown

-38%

Volatility

39%

CAGR

66%

Sharpe Ratio

1.51

Speculative Flow Index
Index
Preview

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

Max Drawdown

-41%

Volatility

43%

CAGR

66%

Sharpe Ratio

1.40

Long Short Ratio
Tier 1
Preview

Measures the accounts that are long versus the accounts that are short.

Max Drawdown

-39%

Volatility

34%

CAGR

50%

Sharpe Ratio

1.35

Fast Momentum
Tier 1
Preview

Measures the momentum of an asset, calculated on shorter timeframes.

Max Drawdown

-51%

Volatility

34%

CAGR

50%

Sharpe Ratio

1.37

Exchange Outflow
Tier 1
Preview

Measures the flow of digital asset out of trading venues.

Max Drawdown

-45%

Volatility

44%

CAGR

59%

Sharpe Ratio

1.27

Stablecoin Margin Borrow Rates
Tier 1
Preview

Measures the average borrowing rates across leading exchanges for stablecoins.

Max Drawdown

-49%

Volatility

42%

CAGR

52%

Sharpe Ratio

1.21

Bitcoin / Tech Sector Correlation
Tier 1
Preview

The Rolling Correlation between Bitcoin and the US Tech Sector.

Max Drawdown

-40%

Volatility

35%

CAGR

42%

Sharpe Ratio

1.18

Crypto Market-Wide Long-Short Ratio (Accounts)
Tier 2
Preview

Measures the long-short ratio of all futures contracts.

Max Drawdown

-39%

Volatility

32%

CAGR

44%

Sharpe Ratio

1.30

Stablecoin Exchange Inflow
Tier 2
Preview

Measures the inflow of stablecoins to leading exchanges.

Max Drawdown

-53%

Volatility

48%

CAGR

58%

Sharpe Ratio

1.19

BTC Implied Volatility (1 Month)
Tier 1
Preview

Measures the options market's expectation of Bitcoin's future price volatility.

Max Drawdown

-16%

Volatility

31%

CAGR

57%

Sharpe Ratio

1.60

Stablecoin Flow Index
Index
Preview

Measures the flow / activity of stablecoins, providing insights into forthcoming potential liquidity.

Max Drawdown

-52%

Volatility

45%

CAGR

53%

Sharpe Ratio

1.18

Crypto Market-Wide Liquidations
Tier 2
Preview

Measures the liquidations of all futures contracts.

Max Drawdown

-54%

Volatility

37%

CAGR

26%

Sharpe Ratio

0.81

Liquidations (Total)
Tier 1
Preview

Measures the total volume of liquidations across all exchanges.

Max Drawdown

-49%

Volatility

34%

CAGR

20%

Sharpe Ratio

0.72

Bitcoin / Gold Correlation
Tier 1
Preview

The Rolling Correlation between Bitcoin and Gold.

Max Drawdown

-49%

Volatility

33%

CAGR

32%

Sharpe Ratio

1.01

Crypto Market-Wide Borrow Rates
Tier 2
Preview

Measures the borrow rates of all futures contracts.

Max Drawdown

-49%

Volatility

33%

CAGR

38%

Sharpe Ratio

1.15

Crypto Market-Wide Funding Rates
Tier 2
Preview

Measures the funding rates of all futures contracts.

Max Drawdown

-59%

Volatility

37%

CAGR

36%

Sharpe Ratio

1.03

Funding Rates
Tier 1
Preview

Measures the aggregate funding rates for the asset across leading global exchanges.

Max Drawdown

-60%

Volatility

37%

CAGR

33%

Sharpe Ratio

0.96

Leverage Risk Index
Index
Preview

Measures ecosystem-wide leverage via proxy metrics, captures the inherent systemic risk.

Max Drawdown

-56%

Volatility

43%

CAGR

39%

Sharpe Ratio

0.99

Crypto Market-Wide Spot-Futures Volume Ratio
Tier 2
Preview

Measures the spot-futures volume ratio of all futures contracts.

Max Drawdown

-65%

Volatility

46%

CAGR

40%

Sharpe Ratio

0.97

Crypto Market-Wide Top Accounts Positions
Tier 2
Preview

Measures the top accounts positions of all futures contracts.

Max Drawdown

-71%

Volatility

39%

CAGR

28%

Sharpe Ratio

0.82

Crypto Market-Wide Top Accounts Ratio
Tier 2
Preview

Measures the top accounts of all futures contracts.

Max Drawdown

-72%

Volatility

40%

CAGR

20%

Sharpe Ratio

0.66

Liquidity Premium Index
Tier 2

Measures the cost of liquidity in the crypto market.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

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Bond Momentum Spillover Index
Index

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

ETF Net Flow
Tier 1

Measures the net flow of capital into ETFs.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

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Tech Sector Momentum Spillover
Tier 2

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

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Crypto Large Cap / Small Cap Correlation
Tier 1

The Rolling Correlation between Crypto Large Cap and Crypto Small Cap Indices.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Volume Delta
Tier 1

Measures the delta of the volume of a digital asset.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

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Net Positions
Tier 1

Measures the net positions taken by traders on all exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Top Accounts Long-Short Positions
Tier 1

Measures the long-short positions of the top accounts.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

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Top Accounts Long-Short
Tier 1

Measures the long-short accounts ratio of the top accounts.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Taker Buy-Sell Ratio
Tier 1

Measures the buy-sell ratio of the takers.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Attention Index
Tier 2

Measures the assets' overall share of all conversations about crypto.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Development Effort
Tier 1

Measures the ongoing development effort for the chain.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Whale Transactions
Tier 2

Tracks significant capital movements within digital assets by measuring high-value transaction volumes.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Short Term Holder Trading Activity
Tier 2

Measures short-term investor behavior.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Reddit Mentions
Tier 1

Measures interest in the asset by tracking the number of mentions on Reddit.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Telegram Mentions
Tier 2

Measures interest in the asset by tracking the number of mentions on Telegram.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Youtube Mentions
Tier 1

Measures interest in the asset by tracking the number of mentions on Youtube.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Reddit Sentiment
Tier 1

Measures the ratio of positive to negative mentions on Reddit.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Telegram Sentiment
Tier 2

Measures the ratio of positive to negative mentions on Telegram.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Aggregate Sentiment
Tier 2

Measures the ratio of positive to negative mentions across all tracked channels.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

MVRV
Tier 2

Measures Market Value to Realized Value (MVRV) ratio of a digital asset, designed to evaluate its valuation dynamics across various timeframes.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Inflation Linked Bonds Momentum Spillover
Tier 2

Measures the asset's sensitivity to inflation-linked US government bonds, captures the lead-lag relationship between the two assets.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Corporate Bond Momentum Spillover
Tier 2

Measures the asset's sensitivity to high quality corporate bond rates, captures the lead-lag relationship between the two assets.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

High Yield Bond Momentum Spillover
Tier 2

Measures the asset's sensitivity to high yield corporate bond rates, captures the lead-lag relationship between the two assets.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Equities Momentum Spillover
Tier 2

Measures the asset's sensitivity to global equity indices, captures the lead-lag relationship between the two assets.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Net Realized Profit/Loss
Tier 2

Measures the ratio of realized profit and loss of all participants.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

New Users
Tier 1

Measures the number of new users on-chain.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Miner Profitability
Tier 1

Measures mining profitability, providing insights into their impact on overall market selling pressure.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Open Interest (Aggregate)
Tier 1

Measures open interest data across leading global exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Stablecoin Supply
Tier 2

Measures the total supply of stablecoins across multiple blockchains, providing insights into forthcoming potential liquidity.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Active Addresses
Tier 1

Measures the number of unique addresses interacting with the Bitcoin network.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Futures Premium (CME)
Tier 1

Measures the difference between the price of Bitcoin futures contracts on CME, and the spot price.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Memecoin Index
Tier 1

Measures the market capitalization of meme-based cryptocurrencies.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Equities Market Breadth
Tier 1

Measures the ratio of the top 400 large cap companies participating in a market rally.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

BTC Market Dominance
Tier 1

Measures the market capitalization of Bitcoin as a percentage of all the total crypto market capitalization.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

MSTR Premium
Tier 1

Measures the difference between Microstrategy's market capitalization over its Bitcoin holdings.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

BTC Implied Volatility (3 Months)
Tier 1

Measures the options market's expectation of Bitcoin's future price volatility.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Aggregate Volume
Tier 1

Measures the total volume of futures and spot trading across leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Spot Volume
Tier 1

Measures the total volume of spot trading on leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Futures Volume
Tier 1

Measures the total volume of futures trading on leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Stablecoin Transfer Volumes
Tier 1

Measures the total volume of stablecoins transferred across blockchains.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Stablecoin Supply Ratio
Tier 1

Measures the ratio of stablecoin supply to Bitcoin market capitalization.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Exchange Spot Flow (Net)
Tier 2

Measures the inflows minus the outflows of the asset on exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Liquidations (Long)
Tier 1

Measures the total volume of long liquidations across all exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Liquidations (Short)
Tier 1

Measures the total volume of short liquidations across all exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Margin Borrow Rates
Tier 1

Measures the average borrowing rates across leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Stablecoin Exchange Netflow
Tier 2

Measures the net flow of stablecoins across leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Stablecoin Percentage of Supply on Exchanges
Tier 2

Measures the percentage of stablecoin supply on leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Futures Premium
Tier 1

Measures the difference between the price of perpetual futures contracts on leading exchanges and the spot price.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Spot / Futures Volume Ratio
Tier 1

Measures the ratio of spot volume to futures volume on leading exchanges.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Slow Momentum
Tier 1

Measures of the momentum of an asset, calculated on shorter timeframes.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Skew
Tier 1

Measures the skewness of the returns of an asset, calculated based on a range different lookback periods.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Instantenous Momentum
Tier 1

Measure of the instantenous momentum of an asset.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

Instantenous Volatility
Tier 1

Measure of the volatility of an asset.

Max Drawdown

100%

Volatility

100%

CAGR

100%

Sharpe Ratio

1.00

Get Access

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