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Crypto Market-Wide Liquidations (Aave)
Tier 3

Measures the liquidations of all futures contracts.

Overview

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AAVE Price with Crypto Market-Wide Liquidations

Factor Plot

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

0.29

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 AAVE 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Aave)Strategy
-92.2%
-60.3%
111.8%
71.6%
0.88
1.18
44.4%
80.8%
0.00
0.28
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.

Replicate the backtest

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

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