Bitcoin / Tech Sector Correlation (Bitcoin)

The Rolling Correlation between Bitcoin and the US Tech Sector.

Predictive Strength

Significant

Bitcoin historically had ▲ 10.24% 30 days returns when Bitcoin / Tech Sector Correlation was▆ Moderate (0.4 - 0.6). It indicates higher than average expected returns.

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BTC Price with Bitcoin / Tech Sector Correlation

Factor Plot

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

Our Methodology

Predictive Strength

Significant

The Rolling Correlation between Bitcoin and the US Tech Sector.

Track this predictive factor on your dashboard

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Scatter plot - Bitcoin / Tech Sector Correlation and BTC 30 and 90 Day Average Returns

Backtest - Strategy Performance

Strategy Yearly Returns (CAGR)

45.82%

Sharpe Ratio

1.21

Max Drawdown

-40.01%

Beta

0.46

Volatility

36.75%

Alpha

0.12

To understand a predictive factors predictive power, we create a simple long/short 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.

API

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