Wallet-behaviour forecast (monthly factors)
Progold_wallet_factors_1mo monthly scores, one row per (wallet, coin, month)
Address-level behaviour forecasts — the part of Tessera Analytics that can't be reconstructed from public price data. For every wallet, a model scores next month's realized PnL, PnL-per-volume, and 5-minute taker markout (toxicity). Tens of thousands of wallets scored per coin per month. Pro only.
A non-linear, tree-based forecast: ship it as a feature into your own model, not as a standalone score. Each wallet gets a forecast-rank score and an in-cohort percentile for each target. Out-of-sample it adds ~0.11 IC on next-month PnL and ~0.04 on toxicity, replicated on unseen wallets and coins across a single market regime. It is orthogonal to price — it forecasts wallet behaviour, not coin returns.
BTC wallets scored / month · BTC · sample
Data dictionary
Keys
| Column | Type | What it means |
|---|---|---|
coin | string | Which market the wallet's behaviour was measured in. HIP-3 markets carry a deployer prefix. How it's computed: HL coin symbol (HIP-3 prefixed, e.g. xyz:NVDA). |
user | string | The on-chain wallet address being scored. How it's computed: On-chain wallet address. |
month | timestamp[us] | The month whose behaviour the forecast is built from (the wallet's track record window). How it's computed: Feature month (the wallet's behaviour month), UTC. |
forecast_month | timestamp[us] | The month the scores are predicting — always the month after the behaviour month. How it's computed: Month the scores forecast (= month + 1), UTC. |
Forecast scores & percentiles
| Column | Type | What it means |
|---|---|---|
factor_pnl_next | float64 | How likely this wallet is to make money next month, as a forecast rank. Higher means the model expects stronger realized PnL — a 'smart money' tilt you can weight toward. How it's computed: LightGBM predicted-rank score for next-month realized PnL (higher = larger forecast). |
factor_pnl_next_pct | float64 | The same PnL forecast expressed as a 0–1 percentile within its coin and month. Threshold it (e.g. top 20%) to define a smart-money cohort. How it's computed: Within-(coin, month) percentile [0,1] of the next-month realized PnL score. |
factor_pnl_per_vol_next | float64 | Forecast rank for next month's profit per unit of volume — skill relative to how much the wallet trades, not just raw size. How it's computed: LightGBM predicted-rank score for next-month PnL-per-volume (higher = larger forecast). |
factor_pnl_per_vol_next_pct | float64 | The PnL-per-volume forecast as a 0–1 in-cohort percentile. How it's computed: Within-(coin, month) percentile [0,1] of the next-month PnL-per-volume score. |
factor_markout_next | float64 | Forecast rank for next month's taker toxicity (5-minute markout): how much the market tends to move against you right after this wallet trades. High means informed, toxic flow — flow you'd rather not be on the other side of. How it's computed: LightGBM predicted-rank score for next-month 5m taker markout (higher = larger forecast). |
factor_markout_next_pct | float64 | The toxicity forecast as a 0–1 in-cohort percentile. How it's computed: Within-(coin, month) percentile [0,1] of the next-month 5m taker markout score. |
Provenance
| Column | Type | What it means |
|---|---|---|
model_version | string | Which frozen model version produced this row, so results are reproducible as the model is refit over time. How it's computed: Version of the frozen LightGBM model that produced this row (fit cutoff month). |