Window: 2022-12-02 .. 2026-07-31 | features use prior completed day only | gates applied to gate60-long days
| Feature family | Gate | LongDays | Ret | Sharpe | PF |
|---|
| — | baseline (no gate) | 352 | +181.6% | 1.01 | 1.33 |
| OI | skip oi_chg_z>0 | 289 | +2.2% | 0.16 | 1.05 |
| OI | skip oi_chg_z<-0.5 | 305 | +330.0% | 1.45 | 1.56 |
| OI | skip oi_chg_z>+0.5 | 314 | +7.7% | 0.22 | 1.07 |
| OI | skip oi_chg_z<0 | 258 | +358.2% | 1.59 | 1.72 |
| OI | skip oi_lvl_z>0 | 247 | +52.5% | 0.57 | 1.21 |
| OI | skip oi_lvl_z<-0.5 | 319 | +221.7% | 1.17 | 1.42 |
| OI | skip oi_lvl_z>+0.5 | 266 | +38.4% | 0.46 | 1.16 |
| OI | skip oi_lvl_z<0 | 299 | +199.6% | 1.13 | 1.42 |
| FUNDING | skip funding>0 | 189 | +40.0% | 0.51 | 1.22 |
| FUNDING | skip funding<-0.5 | 352 | +181.6% | 1.01 | 1.33 |
| FUNDING | skip funding>+0.5 | 352 | +181.6% | 1.01 | 1.33 |
| FUNDING | skip funding<0 | 347 | +237.9% | 1.18 | 1.40 |
| FUNDING | skip funding_z>0 | 281 | +4.8% | 0.19 | 1.06 |
| FUNDING | skip funding_z<-0.5 | 296 | +270.8% | 1.34 | 1.52 |
| FUNDING | skip funding_z>+0.5 | 295 | +4.8% | 0.19 | 1.06 |
| FUNDING | skip funding_z<0 | 265 | +335.8% | 1.55 | 1.68 |
| TAKERFLOW | skip taker_imb_z>0 | 280 | +8.6% | 0.22 | 1.07 |
| TAKERFLOW | skip taker_imb_z<-0.5 | 291 | +262.4% | 1.29 | 1.50 |
| TAKERFLOW | skip taker_imb_z>+0.5 | 306 | +100.8% | 0.76 | 1.26 |
| TAKERFLOW | skip taker_imb_z<0 | 266 | +320.7% | 1.51 | 1.66 |
| ONCHAIN | skip txcnt_z>0 | 149 | +6.5% | 0.18 | 1.09 |
| ONCHAIN | skip txcnt_z<-0.5 | 267 | +183.1% | 1.07 | 1.40 |
| ONCHAIN | skip txcnt_z>+0.5 | 201 | +14.6% | 0.28 | 1.11 |
| ONCHAIN | skip txcnt_z<0 | 203 | +164.4% | 1.09 | 1.48 |
Long-day forward returns by feature quintile
| Feature | Q1(low) | Q2 | Q3 | Q4 | Q5(high) |
|---|
| oi_chg_z | -0.99% | -0.52% | +0.15% | +0.98% | +2.39% |
| oi_lvl_z | -0.33% | +0.34% | -0.56% | -0.29% | +2.91% |
| funding | -0.39% | -0.46% | +1.08% | +0.83% | +0.81% |
| funding_z | -0.22% | -0.65% | -0.24% | +1.40% | +1.81% |
| taker_imb_z | +0.09% | -0.78% | +0.03% | +1.42% | +1.33% |
| txcnt_z | +0.33% | -0.29% | +0.26% | +0.99% | +0.46% |