Predictive Strength
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Predictive Strength
Measures short-term investor behavior.
STH behavior acts as a real-time sentiment gauge, with their profit-taking (STH SOPR >1) and panic selling (STH SOPR <1) creating self-reinforcing cycles. Their shorter time horizons make them first movers in reacting to news/price swings, creating leading signals before institutional flows adjust.
STHs dominate 63-78% of exchange inflows during volatility spikes, making their activity a direct measure of retail liquidity.
The data is sourced through tracking wallet addresses categorized as short-term holders (STHs) based on holding periods under 14 days. After analyzing address activity, and realized profits/losses to quantify short term holder behavior, we normalize metrics against historical averages to create a comparative index.
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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
Predictive Strength