Meta Risk Index (Ripple)

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Predictive Strength

Significant

Ripple historically had ▶ 4.90% 30 days returns when Meta Risk Index was▆ Low (0.2 - 0.4). It indicates average expected returns.

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XRP Price with Meta Risk Index

Factor Plot

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

Our Methodology

Predictive Strength

Significant

Our composite predictive risk factor, encompassing liquidity,on-chain, cross-asset factors.

Components

Implied Volatility (1 Week)Exchange Outflow Corporate Bond Momentum Spillover US Cloud Computing Sector Momentum Spillover

Track this predictive factor on your dashboard

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Scatter plot - Meta Risk Index and XRP 30 and 90 Day Average Returns

Backtest - Strategy Performance

Strategy Yearly Returns (CAGR)

73.90%

Sharpe Ratio

1.10

Max Drawdown

-67.12%

Beta

0.64

Volatility

74.99%

Alpha

0.15

To understand a predictive factors predictive power, we create a simple long/short strategy and simulate its past performance (with daily rebalancing):

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.

API

Get started by validating the historical performance of the strategy with our transparent code snippets.
Copy and paste the code snippets below into your Python environment or download the files below.