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US Cloud Computing Sector Momentum Spillover (Stellar)
Tier 1

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

Overview

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XLM Price with US Cloud Computing Sector Momentum Spillover

Factor Plot

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

0.23

Measures the asset's sensitivity to the US Cloud Computing Index, captures the lead-lag relationship between the two assets.

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Scatter plot - US Cloud Computing Sector Momentum Spillover and XLM 30 and 90 Day Average Returns

Backtest - Strategy Performance

Benchmark (Stellar)Strategy
-90.3%
-62.8%
105.8%
87.9%
0.86
1.05
48.3%
78.4%
0.00
0.23
1.00
0.76

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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