Mean Reversion
mean_reversionShort-horizon reversal against recent over-extension across the liquid universe.
How the factor is constructed
Mean Reversion is a basket-based signal diversified across different windows to capture reversal dynamics and statistical arbitrage opportunities in crypto assets.
The universe consists of the most liquid and actively traded assets, identified on a rolling basis and survivorship-bias free. Positions are scaled by the inverse of rolling volatility; the factor is available point-in-time with hourly updates.
Mean Reversion vs. factor average
This .40 series is a tradeable but demonstrative model portfolio — a liquid top-40 implementation that evidences Mean Reversion's cross-sectional predictive power. The product is the raw factor data: clients license it and apply it within their own models, universes and risk frameworks.
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | +4.58% | -14.73% | — | — | -3.6% |
| 3 months | +2.58% | +1.28% | — | — | -3.6% |
| Year to date | +7.48% | -22.25% | — | — | -4.2% |
| 1 year | +22.94% | -32.08% | 14.5% | 1.45 | -4.6% |
| Since inception | +249.50% | +858.10% | 15.6% | 1.33 | -22.4% |