Every week, holds the ten least volatile of the thirty most liquid USDT pairs, each weighted by the inverse of its volatility. Long only.
{
"benchmark": "BTCUSDT",
"costs": {
"feeBps": 10,
"slippageBps": 5
},
"crossSectional": {
"factors": [
{
"direction": "low_is_long",
"signal": {
"lookback": 60,
"type": "volatility"
},
"weight": 1
}
],
"long": 10,
"normalize": "rank",
"short": 0,
"volatilityLookback": 60,
"weighting": "inverse_volatility"
},
"kind": "cross_sectional",
"leverage": 1,
"rebalance": {
"everyDays": 7
},
"schema": 1,
"start": "2021-01-01",
"timeframe": "1d",
"universe": {
"assetClass": "crypto",
"count": 30,
"minHistoryDays": 90,
"quote": "USDT",
"type": "top_liquidity",
"volumeLookbackDays": 30
}
}