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Equities Momentum Spillover measures the asset's sensitivity to the momentum of large cap equity indices. It's designed to effectively capture the lead-lag relationship between the two assets.
Global equity returns, as a barometer of macroeconomic sentiment and risk appetite, may shape crypto price dynamics through liquidity flows, investor behavior, and intermarket correlations.
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| Benchmark (Bitcoin) | Strategy | |
|---|---|---|
100% | 100% | |
100% | 100% | |
1.00 | 1.00 | |
100% | 100% | |
1.00 | 1.00 | |
1.00 | 1.00 |
To understand a predictive factors predictive power, we create a simple long-only strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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.