CO-P-01-02

This indicator is constructed from prediction market order book data. By analyzing structural changes in long/short positioning in the order book, it captures the implicit expectations of market participants regarding the future price movement of the underlying asset.

Indicator Interpretation:

• Indicator > 0: The order book structure implies that upward expectations for BTC dominate; overall market sentiment is bullish.

• Indicator < 0: The order book structure implies that downward expectations for BTC dominate; overall market sentiment is bearish.

• Indicator ≈ 0: Long and short expectations are relatively balanced; the market is in a neutral or conflicted state.

Feature: Point-in-time data Update frequency: 1 minute

Sample period: 2026-01-01 to 2026-01-28

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Indicator Overview Summary Report

Prediction target: Next-period return

(1) IC Test

For each natural trading day, cross-sectional correlations are computed:

$$corr(CO\text{-}P\text{-}01, return)$$

This produces a daily IC series. Key statistics are as follows:

1-minute time series

Metric	Value
IC Mean	0.053
IC Std	0.029
ICIR	1.8208
IC > 0 Ratio	100.00%
t-stat	9.2845

1-hour time series

Metric	Value
IC Mean	0.3148
IC Std	0.1981
ICIR	1.5886
IC > 0 Ratio	96.15%
t-stat	8.1007

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(2) Quantile Effectiveness Test

An intraday quantile evaluation is applied:

Samples are grouped by trading day. Within each day, the CO-P indicator is sorted into quintiles, producing 5 state intervals:

• Bin0 = lowest within the day

• Bin4 = highest within the day

For each day, the average future return of each bin is computed. These daily values are then averaged across days using equal weighting.

1-minute time series

Metric	Bin0 (Lowest)	Bin1	Bin2	Bin3	Bin4 (Highest)
Mean	-0.0031%	-0.0009%	+0.0002%	+0.0012%	+0.0028%
Std	0.0029%	0.0036%	0.0030%	0.0031%	0.0024%
IR	-1.0559	-0.2389	0.0539	0.3954	1.1701

1-hour time series

Metric	Bin0 (Lowest)	Bin1	Bin2	Bin3	Bin4 (Highest)
Mean	-0.1394%	-0.0253%	-0.0188%	+0.0188%	+0.1674%
Std	0.2414%	0.1296%	0.1539%	0.1314%	0.1883%
IR	-0.5776	-0.1953	-0.1222	0.1428	0.8889

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Conclusion: Returns improve monotonically as the factor value increases. The stratification effect is clear: the highest quantile shows significantly positive returns, while the lowest quantile shows significantly negative returns.