Per-coin daily series | z look 90d | targets forward 1/5/21d log return | IS < 2025-01-01 <= OOS | no costs
| signal | h(d) | IS IC | IS spread bps | OOS IC | OOS spread bps | n OOS |
|---|---|---|---|---|---|---|
| PREMIUM | 1 | +0.024 | +20.0 | +0.002 | +10.7 | 4856 |
| PREMIUM | 5 | +0.096 | +135.8 | +0.042 | +93.7 | 4856 |
| PREMIUM | 21 | +0.141 | +450.0 | +0.078 | +371.9 | 4832 |
| BIN_TAKERFLOW | 1 | -0.088 | -76.2 | +0.020 | +26.0 | 5000 |
| BIN_TAKERFLOW | 5 | -0.153 | -445.1 | +0.052 | +94.3 | 4968 |
| BIN_TAKERFLOW | 21 | -0.123 | -740.5 | +0.058 | +181.9 | 4840 |
| BIN_DEPTH_IMB | 1 | -0.042 | -31.8 | -0.024 | -1.7 | 4938 |
| BIN_DEPTH_IMB | 5 | -0.112 | -212.2 | +0.011 | +17.3 | 4938 |
| BIN_DEPTH_IMB | 21 | -0.147 | -699.6 | -0.022 | -153.9 | 4838 |
| BIN_TAPE_OBI | 1 | +0.039 | +29.2 | -0.012 | -12.8 | 1250 |
| BIN_TAPE_OBI | 5 | -0.019 | -48.1 | -0.030 | -40.8 | 1242 |
| BIN_TAPE_OBI | 21 | -0.083 | -335.2 | -0.079 | -242.2 | 1210 |
| BIN_L1_MPDEV | 1 | +0.037 | +68.1 | n/a | n/a | 0 |
| BIN_L1_MPDEV | 5 | +0.254 | +575.7 | n/a | n/a | 0 |
| BIN_L1_MPDEV | 21 | +0.229 | +994.6 | n/a | n/a | 0 |
| BYBIT_OB_IMB5 | 1 | +0.152 | +166.0 | n/a | n/a | 0 |
| BYBIT_OB_IMB5 | 5 | +0.130 | +397.6 | n/a | n/a | 0 |
| BYBIT_OB_IMB5 | 21 | +0.222 | +1536.2 | n/a | n/a | 0 |
| BYBIT_OFI | 1 | -0.015 | -76.7 | n/a | n/a | 0 |
| BYBIT_OFI | 5 | -0.034 | -357.3 | n/a | n/a | 0 |
| BYBIT_OFI | 21 | -0.082 | -1311.2 | n/a | n/a | 0 |
spread = high-tercile minus low-tercile mean forward return (bps), gross of costs.