Predictive Strength
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Predictive Strength
Measures the total volume of Bitcoin futures contracts traded across leading exchanges.
The data is sourced by aggregating raw futures trading volumes from major cryptocurrency exchanges (e.g., Binance, CME, Deribit). These volumes are then normalized against historical averages to create a relative index, where values of 1 indicate higher-than-average activity and 0 indicate lower activity.
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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.
Predictive Strength