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High Yield Bonds Momentum Spillover measures the asset's sensitivity to high yield corporate bonds' momentum. It's designed to effectively capture the lead-lag relationship between the two assets.
Elevated high-yield bond rates, often reflective of heightened risk premiums and tighter credit conditions, may exert dual pressures on the crypto market, where rising junk bond yields signal a broader flight to safety amid economic uncertainty.
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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.