Crypto Market-Wide Top Accounts Positions (Aptos)
Tier 2

Measures the top accounts positions of all futures contracts.

Overview

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APT Price with Crypto Market-Wide Top Accounts Positions

Factor Plot

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

Our Methodology

0.23

Overall

Crypto Market-Wide Top Accounts Positions is the open-interest weighted positions of the top 100 market capitalization Cryptocurrencies.

Scatter plot - Crypto Market-Wide Top Accounts Positions and APT 30 and 90 Day Average Returns

Backtest - Strategy Performance

	Benchmark (Aptos)	Strategy
Max Drawdown	-76.3%	-28.1%
Volatility	103.9%	43.5%
Sharpe Ratio	0.57	0.91
CAGR	7.7%	35.8%
Alpha	0.00	0.23
Beta	1.00	0.28

To understand a predictive factors predictive power, we create a simple long-only strategy and simulate its past performance (with daily rebalancing):

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 0.5% transaction costs applied on each position adjustment.

Reproduce the backtest using our API

Get started by validating the historical performance of this factor with our transparent code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.