Aggregate Futures Volume (Toncoin)

Measures the total volume of Bitcoin futures contracts traded across leading exchanges.

Predictive Strength

Negligible

Toncoin historically had ▶ 2.53% 30 days returns when Aggregate Futures Volume was▆ Low (0.2 - 0.4). It indicates average expected returns.

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TON Price with Aggregate Futures Volume

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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Measures the total volume of Bitcoin futures contracts traded across leading exchanges.

Data Collection Methodology

The data is sourced by aggregating raw futures trading volumes from major cryptocurrency exchanges (e.g., Binance, CME, Deribit). These volumes are then normalized against historical averages to create a relative index, where values of 1 indicate higher-than-average activity and 0 indicate lower activity.

Backtest (Strategy Performance) - Strategy

Strategy Yearly Returns (CAGR)

100.00%

Sharpe Ratio

1.00

Max Drawdown

100.00%

Beta

1.00

Volatility

53.86%

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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