Real-World & Alternative DataCore researchinternal_heuristicNew

Crypto Volatility Equity Volatility Spillover

Updated dailyData needs: mediumlong only

2018

In plain terms

An in-house guess (no research behind it): after Bitcoin has a short, sharp jump in volatility, we bet that risk-loving money flows back into tech ETFs like QQQ for a few days. This is an untested idea, not something proven by an academic paper.

How it works

Conjectured risk-on flow co-movement: a BTC short-horizon realized-vol spike flags a risk-on flush, and once the vol spike clears, residual speculative flow rotates back into tech-beta equities for a short upward follow-through. NOTE: the formerly-cited Bouri-Shahzad-Roubaud (2019) paper studies GSADF price-bubble co-explosivity AMONG CRYPTOCURRENCIES ONLY and supports none of this; the citation is removed.

Live results

126 times picked on its own · 236 times inside a blend (230 beat the stock) · updated 2026-06-06

This strategy is a frequent ingredient in blends that combine a few strategies on one stock. It has contributed to 236 such blended picks (230 of which beat simply holding the stock). Picking it on its own is only one of the ways it shows up.

How its picks scored vs. buy & hold

Each pick is graded on a recent year it was never tuned on, against simply owning the same stock

Where its edge concentrates

Share of picks in each company-size group that beat buy & hold

How often it trades

Active vs. patient. Bars on the left mean it waits for rare setups; bars on the right mean it trades often

Return vs. buy & hold

How much each pick beat or trailed simply owning the stock over the test year (extreme microcap moves trimmed)

Loading substrate evidence…

Data dependencies

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

Expected edge

Tested over: 2013-2017

Bouri-Shahzad-Roubaud 2018: ~10% annualized conditional.

Example tickers where this is likely to fire

QQQ IWM ARKK SOXX SMH

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

Related families

Bitcoin Treasury ProxiesReal-World & Alternative Data

MSTR/miners track BTC momentum with leverage.

Btc Tech Correlation RegimeReal-World & Alternative Data

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

Volatility Of Volatility SignalEconomy & Policy

When the market's 'fear gauge' (VIX) is itself swinging wildly -- high vol-of-vol -- that uncertainty-about-risk predicts weak forward returns, so the strategy leans short; when VIX is calm and steady, it leans long. It applies the academic vol-of-vol effect (high vol-of-vol underperforms) to single stocks using VIX as a live stand-in for per-stock options data.

Explore Crypto Volatility Equity Volatility Spillover on alphactor.ai

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

Open universe with this filter →Browse all 572 families