Crypto Market-Wide Liquidations (MANTRA)
Tier 2

Measures the liquidations of all futures contracts.

Overview

Unravel

unravel

OM Price with Crypto Market-Wide Liquidations

Factor Plot

Unravel

unravel

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

Our Methodology

0.28

Overall

Crypto Market-Wide Liquidations is the sum of all liquidations of the top 100 market capitalization Cryptocurrencies.

Scatter plot - Crypto Market-Wide Liquidations and OM 30 and 90 Day Average Returns

Backtest - Strategy Performance

	Benchmark (MANTRA)	Strategy
Max Drawdown	-97.6%	-74.9%
Volatility	149.9%	96.6%
Sharpe Ratio	1.08	1.25
CAGR	50.3%	113.7%
Alpha	0.00	0.28
Beta	1.00	0.58

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.

Reproduce the backtest using our API

Get started by replicating the historical performance with our code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.