Polaris
polarisProprietary measure of short-term, normalized momentum effects across crypto assets.
How the factor is constructed
Polaris is a proprietary, market-neutral measure designed to identify short-term, normalized momentum effects across 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.
Polaris
| Period | Return | BTC | Ann. vol | Sharpe | Max DD |
|---|---|---|---|---|---|
| 1 month | -1.80% | -9.25% | — | — | -3.3% |
| 3 months | -9.61% | +20.88% | — | — | -11.3% |
| Year to date | +2.14% | -13.58% | — | — | -13.3% |
| 1 year | +7.71% | -30.69% | 14% | 0.56 | -13.3% |
| Since inception (CAGR) | +30.35% | +41.35% | 16.9% | 1.65 | -17.1% |
Putting Polaris to work
There are two ways to take Polaris 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 Polaris to an existing portfolio
Size a Polaris 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 Polaris, 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, which already ensembles Polaris into Enhanced Momentum — add Polaris as its own entry in the factors list to weight its signal beyond what Enhanced Momentum alone captures.
New to the platform? The five-step guide covers data access, a proof of concept, and licensing.