Skew (Polkadot)

Measures the skewness of the returns of an asset, calculated based on a range different lookback periods.

Predictive Strength

Negligible

Polkadot historically had ▲ 9.21% 30 days returns when Skew was▆ High (0.6 - 0.8). It indicates higher than average expected returns.

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DOT Price with Skew

Factor Plot

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

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Our Methodology

Predictive Strength

Negligible

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Skew Factor is a measure of the skewness of the returns of an asset, calculated based on a range different lookback periods.

Potential Edge

Sentiment-Driven Asymmetry

Skew reflects real-time shifts in market sentiment by quantifying the asymmetry of return distributions.

Positive skew (frequent small losses, rare large gains) signals speculative "lottery ticket" behavior, often preceding corrections as overbought conditions reverse.
Negative skew (frequent small gains, rare large losses) indicates risk-aversion, which can foreshadow capitulation or accumulation phases.
Options-based skew metrics (e.g., 25 Delta Skew) amplify this signal by quantifying the premium traders pay for upside/downside protection.

Data Collection Methodology

The Skew factor is sourced by analyzing historical return data across multiple time periods (lookback periods), calculating skewness using statistical methods, then normalizing results relative to historical averages to create a standardized index.

Track this predictive factor on your dashboard

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Scatter plot - Skew and DOT 30 and 90 Day Average Returns

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Backtest - Strategy Performance

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

100.00%

Alpha

1.00

To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):

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 0.5% transaction costs applied on each position adjustment.

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API

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.