Skew (Ethereum)

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

Predictive Strength

Negligible

Ethereum historically had ▶ 5.18% 30 days returns when Skew was▆ Moderate (0.4 - 0.6). It indicates average expected returns.

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ETH 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.

Backtest (Strategy Performance) - Strategy

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

49.84%

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

Long when the predictive factor is above 0, with a position size equivalent to the predictive factor value.
Short when the predictive factor is below 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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