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Crypto Market-Wide Liquidations (Ethereum)

Measures the liquidations of all futures contracts.
Tier 3
☑ Point-in-Time
Preview
Backtest Performance - Risk Managed (Long Only) Strategy
Benchmark (Ethereum)Strategy
-79.4%
-57.5%
82.4%
52.1%
1.18
1.18
87.7%
61.6%
0.00
0.06
1.00
0.57

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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-0.63
1.18
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-0.03
0.04

Factor Analysis

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ETH Price with Crypto Market-Wide Liquidations

Factor Plot

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

Crypto Market-Wide Liquidations is the sum of all liquidations of the top 100 market capitalization Cryptocurrencies.

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Scatter plot - Crypto Market-Wide Liquidations and ETH 30 and 90 Day Average Returns

Replicate the backtest

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

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