Crypto Market-Wide Funding Rates (Polygon)
Tier 2

Measures the funding rates of all futures contracts.

Overview

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POL Price with Crypto Market-Wide Funding Rates

Factor Plot

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

Our Methodology

0.06

Overall

Crypto Market-Wide Funding Rates is the open-interest weighted funding rates of the top 100 market capitalization Cryptocurrencies.

Scatter plot - Crypto Market-Wide Funding Rates and POL 30 and 90 Day Average Returns

Backtest - Strategy Performance

	Benchmark (Polygon)	Strategy
Max Drawdown	-86.9%	-58%
Volatility	84.7%	50.6%
Sharpe Ratio	-0.68	-0.45
CAGR	-60.8%	-29.8%
Alpha	0.00	0.06
Beta	1.00	0.49

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 0.5% 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.