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Meta Risk Index (Bitcoin)
Tier 1

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Overview

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BTC Price with Meta Risk Index

Factor Plot

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

0.17

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Components

BTC Implied Volatility (1 Month)Exchange OutflowUS Cloud Computing Sector Momentum Spillover
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Scatter plot - Meta Risk Index and BTC 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Bitcoin)Strategy
-76.6%
-37.8%
61.6%
37.5%
1.09
1.46
61.3%
60.9%
0.00
0.17
1.00
0.55

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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