Predictive Strength
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Predictive Strength
Measures the asset's sensitivity to global equity indices, captures the lead-lag relationship between the two assets.
Global equity markets act as first responders to Fed policy shifts and macroeconomic shocks. Crypto markets may subsequently price in these reactions with a lag due to:
CME Bitcoin futures now show 89% correlation with S&P 500 E-mini order flow patterns. This creates mechanical linkages through:
The "Equities Demand" factor measures sensitivity to global equity indices by analyzing lead-lag relationships between asset prices and index movements. Data is sourced from global equity indices, with normalization applied to historical averages to create a relative sensitivity score (1 = above average, 0 = below average).
To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):
The strategy is rebalanced daily, on a continuous basis. There are 0.5% transaction costs applied on each position adjustment.
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Predictive Strength