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US Cloud Computing Sector Momentum Spillover (Ethereum)
Tier 1

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

Overview

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ETH Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

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

0.32

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

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Scatter plot - US Cloud Computing Sector Momentum Spillover and ETH 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Ethereum)Strategy
-79.4%
-46.2%
82.3%
57%
1.15
1.51
82%
101.6%
0.00
0.32
1.00
0.58

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.

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