Crypto Market-Wide Top Accounts Positions (Internet Computer)
Tier 2

Measures the top accounts positions of all futures contracts.

Overview

Unravel

unravel

ICP Price with Crypto Market-Wide Top Accounts Positions

Factor Plot

Unravel

unravel

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

Our Methodology

0.05

Overall

Crypto Market-Wide Top Accounts Positions is the open-interest weighted positions of the top 100 market capitalization Cryptocurrencies.

Scatter plot - Crypto Market-Wide Top Accounts Positions and ICP 30 and 90 Day Average Returns

Backtest - Strategy Performance

	Benchmark (Internet Computer)	Strategy
Max Drawdown	-97.7%	-74.9%
Volatility	108%	53.2%
Sharpe Ratio	-0.18	-0.04
CAGR	-53.4%	-14.6%
Alpha	0.00	0.05
Beta	1.00	0.36

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

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 0.5% transaction costs applied on each position adjustment.

API

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.