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Crypto Market-Wide Liquidations (Polygon)
Tier 3

Measures the liquidations of all futures contracts.

Overview

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POL Price with Crypto Market-Wide Liquidations

Factor Plot

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

-0.12

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

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

Backtest - Strategy Performance

Benchmark (Polygon)Strategy
-86.9%
-67.2%
83.9%
40.6%
-0.35
-0.57
-47.6%
-27.1%
0.00
-0.12
1.00
0.38

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.

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