Open Interest Divergence
open_interest_divergenceQuantifies open interest divergence and systematically takes positions, aiming to capitalize on behavioral inefficiencies.
How the factor is constructed
The index capitalizes on the persistent relationship between open-interest dynamics and future asset performance, systematically identifying and exploiting divergence in open-interest patterns across 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.
Open Interest Divergence
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -0.62% | -9.25% | — | — | -2.9% |
| 3 months | -6.67% | +20.88% | — | — | -9.3% |
| Year to date | -6.81% | -13.58% | — | — | -12% |
| 1 year | -3.63% | -30.69% | 11.3% | -0.28 | -12% |
| Since inception (CAGR) | +18.75% | +41.35% | 15.8% | 1.17 | -21.5% |
Putting Open Interest Divergence to work
There are two ways to take Open Interest Divergence from factsheet to live book: overlay it as a sleeve on the portfolio you already run, or use it as a building block in a standalone multi-factor portfolio. Both paths are documented in short, runnable notebooks that work out of the box against the public demo key — no signup required.
Add Open Interest Divergence to an existing portfolio
Size a Open Interest Divergence sleeve alongside your current book and quantify what it changes: correlation to your existing returns, then CAGR, volatility, Sharpe and maximum drawdown before and after the blend. One parameterized notebook runs for any factor — swap in Open Interest Divergence, then bring your own daily returns as a CSV or start from the built-in demo book.
Build a portfolio from scratch
Construct a market-neutral multi-factor portfolio from the ground up: ensemble the raw signals, apply inverse-volatility weights with a per-asset cap, and backtest net of transaction costs. The default factor list reconstructs the 7 Factor Composite; add Open Interest Divergence to the factors list to measure its marginal contribution to the blend.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.