Signal Factory: How Coinfi rapidly tests trading signals

Updated 8 months ago by CoinFi

At CoinFi, we’ve gathered and continue to gather a large amount of valuable crypto data such as short positions, Ethereum transactions, ICO project wallets, historical prices, and historical trading volume.

To rapidly test our data for correlation with crypto price movements and turn them into trading signals, our data science team built an internal tool called Signal Factory.

Signal Factory allows our data scientists to quickly backtest trading signals on historical data. Specifically, we run our signal datasets through a battery of tests at multiple granularities (daily, hourly, minute), and we measure things like win rate, portfolio returns, etc. Naturally, we also test for significance (using both Bayesian and frequentist approaches). The basic idea is to test: if a signal triggered at time t, would it have predicted a price change at time t+n.

The purpose of the Signal Factory is in essence to speed up the build-measure-learn cycle. But it also ensures consistency in the way we backtest signals, allowing for comparable metrics on the same data.

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