12 因子设计

Factor Design Document

Overview

16 factors across 3 tiers, feeding into the SentimentTrend strategy. 14/16 are completely free with no API key required.

flowchart TB
    STRAT["<b>SentimentTrend Strategy</b><br/>regime → entry → sizing → exit"]
    SCORE["<b>Combined Sentiment Score</b><br/>weighted average of all tiers"]

    F1["<b>Market Sentiment</b><br/>Fear & Greed Index"]
    F2["<b>News + KOL</b><br/>RSS · Google News · Zyte"]
    F3["<b>Futures Metrics</b><br/>Funding rate · OI · L/S ratio"]
    F4["<b>On-Chain Data</b><br/>Santiment · exchange flows"]
    F5["<b>Macro / Cross-Market</b><br/>Nasdaq · Gold · DXY"]

    STRAT -- "reads" --> SCORE
    SCORE --> F1
    SCORE --> F2
    SCORE --> F3
    SCORE --> F4
    SCORE --> F5

    classDef strategy fill:#7f1d1d,stroke:#f87171,color:#f9fafb
    classDef score fill:#713f12,stroke:#fbbf24,color:#f9fafb
    classDef factor fill:#1f2937,stroke:#60a5fa,color:#f9fafb
    class STRAT strategy
    class SCORE score
    class F1,F2,F3,F4,F5 factor

Tier 1: Futures Market Microstructure (FREE, no key)

Factor 1: Funding Rate

Source: GET https://fapi.binance.com/fapi/v1/fundingRate?symbol=BTCUSDT&limit=10
Update: Every 8 hours (Binance schedule)
Signal Logic:
- Rate < -0.01% → shorts overcrowded → bullish (squeeze risk)
- Rate > 0.05% → longs overleveraged → bearish (correction risk)
- -0.01% to 0.01% → neutral
Weight: 0.15
Historical: Available from 2019-09 via Binance API
Status: [ ] Not implemented

Factor 2: Open Interest (OI)

Source: GET https://fapi.binance.com/futures/data/openInterestHist?symbol=BTCUSDT&period=1d&limit=30
Update: Daily
Signal Logic:
- OI rising + Price rising → trend continuation → bullish
- OI rising + Price falling → shorts building → bearish
- OI falling + Price rising → short covering rally → weak bullish (not sustainable)
- OI falling + Price falling → capitulation → watch for bottom
Weight: 0.10
Historical: Available from 2020 via Binance API
Status: [ ] Not implemented

Factor 3: Long/Short Account Ratio

Source: GET https://fapi.binance.com/futures/data/globalLongShortAccountRatio?symbol=BTCUSDT&period=1d&limit=30
Update: Daily
Signal Logic (contrarian):
- Retail heavily long (ratio > 2.0) → bearish (dumb money wrong)
- Retail heavily short (ratio < 0.5) → bullish (dumb money wrong)
- Also compare top traders vs retail for divergence
Weight: 0.10
Historical: Available from 2020 via Binance API
Status: [ ] Not implemented

Factor 4: Taker Buy/Sell Volume Ratio

Source: GET https://fapi.binance.com/futures/data/takerlongshortRatio?symbol=BTCUSDT&period=1d&limit=30
Update: Daily
Signal Logic:
- Ratio > 1.1 → aggressive buying → bullish
- Ratio < 0.9 → aggressive selling → bearish
- Trend of ratio matters more than absolute value
Weight: 0.08
Historical: Available from 2020 via Binance API
Status: [ ] Not implemented

Factor 5: Stablecoin Supply Change

Source: GET https://stablecoins.llama.fi/stablecoincharts/all?stablecoin=1 (USDT)
Update: Daily
Signal Logic:
- USDT supply growing week-over-week → new money entering → bullish
- USDT supply shrinking → money leaving crypto → bearish
Weight: 0.07
Historical: Available from 2020 via DefiLlama
Status: [x] Partially implemented (total only, need per-stablecoin trend)

Tier 2: Strategy Logic Enhancement (FREE, no key)

Factor 6: BTC ETF Net Flows

Source: KOL tracker (Google News) + dedicated RSS search
- https://news.google.com/rss/search?q=bitcoin+etf+inflow+OR+outflow
Update: Daily (when market is open)
Signal Logic:
- Consecutive inflow days → institutional accumulation → bullish
- Large outflow → institutional distribution → bearish
- BlackRock IBIT flow is the key indicator
Weight: 0.10
Implementation: LLM extracts flow numbers from news headlines
Status: [ ] Not implemented (partially via KOL tracker)

Factor 7: Options Market (Deribit)

Source: GET https://www.deribit.com/api/v2/public/get_book_summary_by_currency?currency=BTC&kind=option
Update: Real-time (poll every 4h)
Signal Logic:
- Put/Call OI ratio > 1.0 → hedging demand high → cautious
- IV percentile > 80 → expect big move → increase position sizing
- IV percentile < 20 → calm market → decrease sizing
- Max pain at expiry → price tends to gravitate toward it
Weight: 0.08
Historical: Limited public history
Status: [ ] Not implemented

Factor 8: Multi-Timeframe (Weekly)

Source: Binance OHLCV (already have)
Update: Weekly candle close
Signal Logic:
- Weekly EMA21 > EMA55 → macro uptrend confirmed → allow entries
- Weekly EMA21 < EMA55 → macro downtrend → block entries or reduce size
- Only enter daily signals when weekly trend agrees
Weight: Built into entry conditions (filter, not score)
Implementation: Add @informative('1w') decorator in strategy
Status: [ ] Not implemented

Factor 9: Momentum Pair Rotation

Source: OHLCV data (already have)
Update: Weekly rebalance
Signal Logic:
- Rank all pairs by 20-day rate of change (ROC)
- Only trade top N pairs (strongest momentum)
- Blacklist pairs with negative momentum in downtrend
Weight: Built into pair selection
Implementation: Custom PairList handler or confirm_trade_entry filter
Status: [ ] Not implemented

Factor 10: Sentiment-Based Exit

Source: Existing sentiment pipeline
Update: Every pipeline run (4h)
Signal Logic:
- Current: exit only on EMA cross (can be very late)
- New: also exit when FnG > 75 AND LLM says “sell” AND profit > 20%
- Also: tighten trailing when greed detected
Weight: Built into exit conditions
Implementation: custom_exit callback in strategy
Status: [ ] Not implemented

Tier 3: On-Chain + Cross-Market (mostly FREE)

Factor 11: Large BTC Transfers to Exchanges

Source: GET https://blockchain.info/q/24hrsbtcsent + exchange address heuristics
Alternative: News-based (“whale alert” detection in headlines)
Update: Daily
Signal Logic:
- Large BTC moving to known exchange addresses → sell pressure → bearish
- Large BTC moving from exchanges → accumulation → bullish
Weight: 0.05
Status: [ ] Not implemented

Factor 12: Miner Capitulation Index

Source: Mempool.space (already integrated)
Update: Daily
Signal Logic:
- Hashrate drops > 10% in 2 weeks → miners capitulating → bottom signal
- Difficulty ribbon inversion (fast MA < slow MA) → strong buy
- Miner revenue declining but hashrate stable → stress building
Weight: 0.05
Implementation: Compute hashrate MA crossover from existing data
Status: [ ] Not implemented (raw data exists)

Factor 13: Cross-Market Correlation

Source: Yahoo Finance (free, no key)
- https://query1.finance.yahoo.com/v8/finance/chart/{symbol}?interval=1d&range=30d
- Symbols: ^IXIC (Nasdaq), GC=F (Gold), DX-Y.NYB (DXY)
Update: Daily
Signal Logic:
- BTC-Nasdaq correlation > 0.7 → risk-on trade, follow stock market
- BTC-Nasdaq correlation breaking down → crypto decoupling → own trend
- DXY falling → dollar weakness → bullish for crypto
- Gold rising + BTC rising → safe haven narrative → bullish
Weight: 0.07
Historical: Full history via Yahoo Finance
Status: [ ] Not implemented

Factor 14: UTXO Age Distribution (Hodler Behavior)

Source: Blockchain.com API (free, basic metrics)
- GET https://blockchain.info/q/totalbc (total BTC)
- Long-term holder supply changes via news/LLM analysis
Update: Weekly
Signal Logic:
- Old coins (>1yr) starting to move → long-term holders selling → top signal
- Old coins dormant + price rising → strong hands holding → bullish
Weight: 0.05
Status: [ ] Not implemented

Factor 15: Liquidation Cascades (NEEDS API KEY - OPTIONAL)

Source: Coinglass API ($29/month)
Alternative: News-based (“$X billion liquidated” detection)
Signal Logic:
- Large long liquidations → forced selling done → bottom signal
- Large short liquidations → squeeze done → momentum may fade
Weight: 0.05
Status: [ ] Skip (use news detection as proxy)

Source: Santiment API (free tier limited)
Alternative: Already covered by Reddit scraping + KOL tracker + LLM
Signal Logic:
- Social volume spike → retail FOMO → contrarian caution
- Developer activity rising → fundamental improvement → bullish
Weight: 0.05
Status: [ ] Skip (existing coverage sufficient)

Weight Summary (all factors active)

Category	Factors	Combined Weight	Source
Market Sentiment	FnG, LLM, News KW	0.25	Existing
KOL Impact	Trump/Musk/BlackRock/Fed	0.15	Existing
Futures Microstructure	Funding, OI, L/S, Taker	0.20	NEW (Tier 1)
Market Structure	CoinGecko, DeFi TVL, Stables	0.10	Existing
Options & Derivatives	Put/Call, IV	0.05	NEW (Tier 2)
On-Chain	Exchange flows, miners, UTXO	0.10	NEW (Tier 3)
Cross-Market	Nasdaq, Gold, DXY correlation	0.05	NEW (Tier 3)
Strategy Logic	Weekly TF, rotation, exit	N/A	NEW (Tier 2, filters)

API Key Requirements

#	Factor	API Key Needed?	Cost
1-4	Binance Futures data	NO	Free
5	Stablecoin supply	NO	Free
6	ETF flows	NO	Free (news)
7	Deribit options	NO	Free
8-10	Strategy logic	NO	N/A
11	Exchange flows	NO	Free
12	Miner metrics	NO	Free
13	Cross-market	NO	Free
14	UTXO age	NO	Free
15	Liquidations	YES	$29/mo (skip)
16	Social analytics	YES	Limited free (skip)

Total new API keys needed: 0

Implementation Order

Phase	Factors	Est. Time	Impact
Phase A	1-4 (Binance Futures)	2 hours	HIGH — strongest alpha
Phase B	8, 10 (Weekly TF, sentiment exit)	1 hour	HIGH — reduces losses
Phase C	7 (Deribit options)	1 hour	MEDIUM — sizing signal
Phase D	5, 6 (Stablecoin, ETF flows)	1 hour	MEDIUM — flow signals
Phase E	9 (Momentum rotation)	1 hour	MEDIUM — pair selection
Phase F	11-14 (On-chain, cross-market)	2 hours	LOW-MED — confirmation

Start with Phase A (Binance Futures factors) — highest impact, easiest to implement.