Crypto#131tier 2live in productionNew

`btc tech correlation regime`

cadence: Dailydata: lowlong onlyshort onlylong short

paper

2021

Source

Liu, Y., Tsyvinski, A. (2021). "Risks and Returns of Cryptocurrency." Review of Financial Studies, 34(6), 2689-2727.

Read the paper →

What it checks

Bitcoin miners and Coinbase track BTC with a 1-2 day lag.

Mechanism

BTC returns are distinct from equity-factor risk; a basket of crypto-proxy stocks tracks BTC with a 1-2 day lag.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag.

Signal rule

long basket when BTC 30d z > +2; short when z < -2; hold 5/10/20d (only fires for MSTR/COIN/RIOT/MARA/CIFR/BTBT)

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.

Expected edge

Paper alpha: ~2-5% over 5-20d
Paper window: T+0 to T+20d

Liu-Tsyvinski 2021: 2-5% drift over 5-20d.

Example tickers where this is likely to fire

MSTR COIN RIOT MARA CIFR

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

bitcoin treasury proxiesCrypto

BTC momentum (1w/1m) predicts itself; miners have 3-5x operating leverage to BTC.

cross sectional momentumMomentum

Cross-sectional momentum (Jegadeesh-Titman 1993): rank stocks vs peers on trailing 12m return excluding the most-recent month, long the top tercile. The single-ticker analog compares the stock to its sector ETF — without explicit peer-by-peer ranks we use the stock-minus-sector residual return as a proxy. Sweep formation periods (126/252d) and skip windows (0 vs 21d) for the Jegadeesh-Titman convention.

Explore `btc tech correlation regime` on alphactor.ai

See which tickers this family is currently firing on, with live signals and rankings.

Open universe with this filter →Browse all 201 families

btc tech correlation regime