Treasury and Agency Securities, Overall Level (Chainlink)

Predictive Strength

Negligible

Chainlink historically had ▲ 23.64% 30 days returns when Treasury and Agency Securities, Overall Level was▆ Very High (0.8 - 1). It indicates higher than average expected returns.

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LINK Price with Treasury and Agency Securities, Overall Level

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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Potential Edge

Safe-Haven Dynamics & Risk Appetite Proxy

Rising Treasury holdings often signal institutional risk aversion, while crypto markets thrive on risk-on sentiment.

Monetary Policy Arbitrage Window

The Treasury-Fed balance sheet dance (QE/QT) directly impacts crypto valuations through liquidity channels. Machine learning models show Treasury market data contains leading recession signals, which crypto traders now front-run via instruments like the Bitcoin Trend Indicator (BTI) that dynamically allocate between BTC futures and T-bills.

Backtest (Strategy Performance) - Strategy

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

60.51%

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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