We continuously onboard new data and regularly highlight some of the latest datasets available via our platform. In this month’s edition of the Data Spotlight we highlight three new additions for SigTech users:
1. CME Bitcoin Futures
Bitcoin Futures are highly liquid, volatile and show the strongest price-swing momentum in the digital asset industry. Pricing data from CME can be an input for event-driven signal testing, for example comparing price levels to influencer mentions of Bitcoin on Twitter. The data can also be used for technical, momentum-based signal development, as our product manager Nav showed here. His long-only strategy, which used a negative signal as a risk-measure rather than a short entry, returned an annualised return of 114%, Sharpe of 1.65 and max drawdown of 33.7%.
2. G10 Inflation (CPI, and others)
After broad fiscal and monetary policy measures were enacted by central banks and governments globally to offset the effects of Covid, many investors are watching inflation as an indicator. In the U.S., The Federal Reserve is looking at the latest data release as a transitory surge, however since 2015 we have seen a sustained increase in the CPI Index that correlates with higher S&P 500 prices, shown below. Apparel, new autos, residential real estate and medical care CPI series are also available to assess whether the reflation trade continues to be relevant for those sectors.
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3. CFTC Commitment of Traders Report
The Commodity Futures Trading Commission and other regulatory bodies publish data for greater market transparency that can be useful for research. Traders can use the security level data found in the Commitment of Traders report to study weekly flows or liquidity trends, or even for signal generation. For more granular data that observes a wider segment of market activity, including OTC trades, investors can look to providers like CLS (here is an example of CLS data used for research in a recent webinar).
Our next-gen quant trading platform incorporates a wide range of curated datasets. We have partnered with many of the world’s leading data vendors, exchanges and data aggregators. All datasets available via our platform are validated, clean, normalised and presented in a powerful, user-friendly, unified data layer.
To read our previous data spotlight, click here.