Unravel

Speculative Flow Index (Bitcoin)
Tier 1

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Overview

Unravel

unravel

BTC Price with Speculative Flow Index

Factor Plot

Unravel

unravel

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

0.18

Measures the asset's sensitivity to speculative flows, captures the lead-lag relationship.

Components

US Cloud Computing Sector Momentum SpilloverTech Sector Momentum SpilloverHigh Yield Bond Momentum Spillover
Unravel

unravel

Scatter plot - Speculative Flow Index and BTC 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Bitcoin)Strategy
-76.6%
-41.3%
62.2%
42.1%
1.11
1.40
64.3%
65.5%
0.00
0.18
1.00
0.59

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.

Ready to dive in?

Be among the first to experience the cutting-edge, institutional-grade predictive analytics Unravel offers.

Sign up