Rule / Decile

xs_oi_velocity

Cross-sectional open-interest velocity decile rule. Most orthogonal arm; negative IC.

Rank · #28 of 28
WF IC (shared metric) · -0.0614
Status · Rule arm · most orthogonal but negative IC
Mechanism diagram · Rule / Decile
CROSS-SECTIONAL RULE / DECILE Feature value funding-z or OI velocity Cross-sectional rank at each bar Decile partition top decile vs bottom Weights no model training · single feature

How it works

At each bar, the per-coin open-interest velocity (change in OI over a fixed lookback) is computed.

Coins are ranked cross-sectionally; the top decile is taken short and the bottom decile long (or vice versa, depending on the convention).

No model training.

Pros and cons on this universe

Pros

  • Most distinct arm on the screen (distinctness 0.70) — totally orthogonal to the rest.
  • Strong tail per-coin IC on some names (AVAX +0.291, SUI +0.242).
  • Zero training cost.

Cons / failure modes

  • Negative IC overall (−0.061) — direction flips on majors.
  • Single-feature rule — likely overfit to the historical regime in which the cluster was identified.
  • Not deployable as standalone.

References