Unravel

Crypto Market-Wide Funding Rates (Ethereum)
Tier 3

Measures the funding rates of all futures contracts.

Overview

Unravel

unravel

ETH Price with Crypto Market-Wide Funding Rates

Factor Plot

Unravel

unravel

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

0.07

Crypto Market-Wide Funding Rates is the open-interest weighted funding rates of the top 100 market capitalization Cryptocurrencies.

Unravel

unravel

Scatter plot - Crypto Market-Wide Funding Rates and ETH 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Ethereum)Strategy
-79.4%
-51.2%
79.3%
46.9%
1.17
1.12
85%
51.7%
0.00
0.07
1.00
0.50

Predictive factors are designed to be translated into simple long-only strategy, with simulated past performance:

  • 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 0.05% transaction costs applied on each position adjustment.

Replicate the backtest

Get started by replicating the historical performance with our code snippets.

Ready to dive in?

Be among the first to experience the cutting-edge, institutional-grade predictive analytics Unravel offers.

Sign up