Predictive Strength
unravel
unravel
Predictive Strength
Equities Market Breadth measures the number of the top 400 large cap companies participating in a market rally. The index provides insights into market sentiment.
Broad-based equity rallies (high market breadth) signal robust investor confidence and risk-on behavior. This sentiment often spills into crypto markets, particularly when institutional capital seeks asymmetric returns.
The Equities Market Breadth data is sourced by tracking daily price movements of the top 400 large-cap companies, calculating the ratio of advancing stocks to total stocks in this cohort. This ratio is then normalized relative to historical averages, with values scaled to 1 and 0. The index quantifies broad market sentiment by measuring how widely these large-cap stocks participate in rallies or declines.
unravel
To understand a predictive factors predictive power, we create a simple long/short 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.