Daily | coins ['BTC', 'ETH'] | IV = Binance BVOL close | RV30 = annualized realized vol from Binance 5-min klines | IS < 2025-01-01 <= OOS | no costs (gross)
| signal | target | IS IC | IS spread bps | OOS IC | OOS spread bps | n OOS |
|---|---|---|---|---|---|---|
| vrp_z | ret1 | +0.050 | +25.9 | +0.030 | +13.3 | 1208 |
| vrp_z | ret5 | +0.104 | +144.3 | +0.056 | +48.8 | 1200 |
| vrp_z | ret21 | +0.106 | +354.0 | +0.094 | +262.9 | 1168 |
| vrp_z | fwd_rv30 | +0.204 | +41749.5 | -0.052 | -17338.7 | 1150 |
| bvol_z | ret1 | +0.059 | +29.5 | +0.019 | +5.3 | 1208 |
| bvol_z | ret5 | +0.109 | +87.8 | +0.008 | -12.0 | 1200 |
| bvol_z | ret21 | -0.007 | -117.6 | +0.101 | +379.9 | 1168 |
| bvol_z | fwd_rv30 | +0.192 | +72425.1 | +0.084 | +42218.9 | 1150 |
| bvol_chg | ret1 | +0.048 | +50.3 | +0.018 | -10.2 | 1208 |
| bvol_chg | ret5 | +0.039 | +103.7 | -0.002 | -15.6 | 1200 |
| bvol_chg | ret21 | +0.062 | +226.5 | +0.006 | -17.8 | 1168 |
| bvol_chg | fwd_rv30 | +0.048 | +9476.2 | +0.061 | +6769.1 | 1150 |
| rv_z | ret1 | -0.029 | -31.7 | -0.022 | -10.7 | 1208 |
| rv_z | ret5 | -0.070 | -141.7 | -0.064 | -105.2 | 1200 |
| rv_z | ret21 | -0.160 | -640.3 | -0.113 | -350.0 | 1168 |
| rv_z | fwd_rv30 | -0.049 | -24227.7 | +0.098 | +46435.7 | 1150 |
IC = pooled corr(signal, target); spread = high-tercile minus low-tercile mean target (bps). fwd_rv30 is forward realized vol (vol-forecast test); ret{h} are forward log returns.