Overview

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ARB Price with Speculative Flow Index

Factor Plot

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▆ Very Low▆ Low▆ Moderate▆ High▆ Very High
-0.08
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Scatter plot - Speculative Flow Index and ARB 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Arbitrum)Strategy
-88.3%
-80.3%
92.8%
72%
-0.17
-0.38
-44.3%
-41.1%
0.00
-0.07
1.00
0.76

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.

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Our Methodology