Farside daily net flows | IS < 2025-01-01 <= OOS | flows known after close -> predict t+1
| asset | signal | target | IS IC | IS spread | OOS IC | OOS spread | n OOS |
|---|---|---|---|---|---|---|---|
| btc | flow | ret_t | +0.363 | +344.9 | +0.294 | +202.5 | 235 |
| btc | flow | fwd1 | +0.037 | -3.8 | +0.019 | +36.0 | 234 |
| btc | flow | fwd5 | +0.118 | +85.8 | -0.072 | -34.9 | 230 |
| btc | flow_z | ret_t | +0.394 | +409.2 | +0.336 | +225.7 | 235 |
| btc | flow_z | fwd1 | +0.046 | +59.6 | +0.076 | +56.4 | 234 |
| btc | flow_z | fwd5 | +0.135 | +300.6 | +0.006 | +104.1 | 230 |
| btc | flow5 | ret_t | +0.161 | +117.2 | +0.091 | +88.2 | 235 |
| btc | flow5 | fwd1 | +0.078 | +47.8 | -0.056 | -41.1 | 234 |
| btc | flow5 | fwd5 | +0.163 | +226.6 | -0.215 | -429.5 | 230 |
| btc | flow5_z | ret_t | +0.183 | +218.2 | +0.170 | +159.2 | 235 |
| btc | flow5_z | fwd1 | +0.075 | +99.6 | +0.012 | +10.2 | 234 |
| btc | flow5_z | fwd5 | +0.217 | +384.7 | -0.094 | -56.5 | 230 |
| btc | STRAT(flow5>0) | ret | IS Sh +2.38 | IS ret +99% | OOS Sh -0.40 | OOS ret -28% | B&H OOS Sh -0.40 |
| eth | flow | ret_t | +0.091 | +116.3 | +0.153 | +329.5 | 227 |
| eth | flow | fwd1 | +0.115 | +75.2 | +0.062 | +68.1 | 226 |
| eth | flow | fwd5 | -0.023 | -236.7 | +0.029 | -150.2 | 222 |
| eth | flow_z | ret_t | +0.340 | +356.8 | +0.263 | +332.6 | 227 |
| eth | flow_z | fwd1 | +0.223 | +211.1 | +0.105 | +133.1 | 226 |
| eth | flow_z | fwd5 | +0.142 | +159.7 | +0.133 | +263.7 | 222 |
| eth | flow5 | ret_t | +0.004 | -14.5 | +0.044 | +81.2 | 227 |
| eth | flow5 | fwd1 | -0.025 | -90.4 | +0.016 | -95.6 | 226 |
| eth | flow5 | fwd5 | -0.204 | -513.7 | -0.006 | -367.0 | 222 |
| eth | flow5_z | ret_t | +0.196 | +214.3 | +0.163 | +252.8 | 227 |
| eth | flow5_z | fwd1 | +0.120 | +103.2 | +0.095 | +138.7 | 226 |
| eth | flow5_z | fwd5 | +0.014 | -200.5 | +0.193 | +599.8 | 222 |
| eth | STRAT(flow5>0) | ret | IS Sh +1.97 | IS ret +27% | OOS Sh -0.41 | OOS ret -53% | B&H OOS Sh -0.41 |
ret_t = contemporaneous (leakage, context only); fwd1/fwd5 = tradable. STRAT = long next day when trailing 5d flow > 0.
Partial IC of flow_z on forward returns (controls)
| asset | target | raw IC | ctrl trail5+21 | ctrl +same-day | n |
|---|---|---|---|---|---|
| btc | fwd1 | +0.076 | +0.071 | +0.059 | 234 |
| btc | fwd5 | +0.006 | +0.023 | +0.010 | 230 |
| eth | fwd1 | +0.105 | +0.091 | +0.095 | 226 |
| eth | fwd5 | +0.133 | +0.110 | +0.109 | 222 |
Partial IC on OOS rows: if flow_z dies after controlling trailing/same-day returns, it is momentum/leakage in disguise.
Economic test — pos = sign(flow_z) next day, 10bps/switch
| asset | IS Sharpe | IS ret | OOS Sharpe | OOS ret | OOS maxDD | B&H OOS Sh | avg pos OOS | switches/yr |
|---|---|---|---|---|---|---|---|---|
| btc | -0.16 | -15.5% | +1.27 | +50.3% | -30.1% | -0.43 | -0.17 | 259 |
| btc weekly | +3.54 | +168.1% | +1.09 | +39.2% | -26.8% | -0.43 | -0.17 | ~50 |
| eth | +1.53 | +12.7% | +0.75 | +13.9% | -65.0% | -0.42 | -0.18 | 236 |
| eth weekly | +2.49 | +24.6% | +0.27 | -20.4% | -63.4% | -0.42 | -0.18 | ~50 |
pos = sign of 30d flow z, held next day, 10bps charged per position switch. avg pos ~0 => market-neutral; large negative => the OOS win is short beta in a bear.