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US Cloud Computing Sector Momentum Spillover (Bitcoin Cash)
Tier 1

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

Overview

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BCH Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

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

0.26

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

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Scatter plot - US Cloud Computing Sector Momentum Spillover and BCH 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Bitcoin Cash)Strategy
-94.2%
-65.7%
100%
76.1%
0.67
0.94
19.9%
55%
0.00
0.26
1.00
0.67

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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