Every day, ranks the most liquid USDT pairs on five signals (medium-term return, short-term reversal, distance from the 90-day high, volume trend and volatility), holds the strongest long and the weakest short, and stays close to market neutral.
{
"benchmark": "BTCUSDT",
"costs": {
"feeBps": 10,
"slippageBps": 5
},
"crossSectional": {
"factors": [
{
"direction": "high_is_long",
"signal": {
"lookback": 30,
"skip": 1,
"type": "return"
},
"weight": 0.3
},
{
"direction": "low_is_long",
"signal": {
"lookback": 7,
"type": "return"
},
"weight": 0.1
},
{
"direction": "high_is_long",
"signal": {
"lookback": 90,
"type": "high_distance"
},
"weight": 0.2
},
{
"direction": "high_is_long",
"signal": {
"long": 30,
"short": 7,
"type": "volume_ratio"
},
"weight": 0.2
},
{
"direction": "low_is_long",
"signal": {
"lookback": 30,
"type": "volatility"
},
"weight": 0.2
}
],
"long": 8,
"normalize": "zscore",
"short": 8,
"weighting": "equal"
},
"kind": "cross_sectional",
"leverage": 1.3,
"rebalance": {
"everyDays": 1
},
"schema": 1,
"start": "2021-01-01",
"timeframe": "1d",
"universe": {
"assetClass": "crypto",
"count": 80,
"exclude": [
"USDCUSDT",
"DAIUSDT"
],
"minHistoryDays": 120,
"quote": "USDT",
"type": "top_liquidity",
"volumeLookbackDays": 30
}
}