Unravel

US Cloud Computing Sector Momentum Spillover (NEAR Protocol)
Tier 1

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

Overview

Unravel

unravel

NEAR Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

Unravel

unravel

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

0.37

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

Unravel

unravel

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

Backtest - Strategy Performance

Benchmark (NEAR Protocol)Strategy
-95.1%
-67.7%
124.3%
89%
0.87
1.16
37.8%
92.2%
0.00
0.36
1.00
0.62

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.

Ready to dive in?

Be among the first to experience the cutting-edge, institutional-grade predictive analytics Unravel offers.

Sign up