Meme-Coin Momentum Rotation with Funding Rates and Risk Controls
Summary
This market-neutral strategy ranks USDT perpetual contracts using a weighted composite of cross-sectional price momentum and funding-rate information. It goes long the highest-scoring coins and short the lowest-scoring ones. Funding intervals are normalized to an eight-hour basis, and the document says both live scoring and regression fitting use the premium index so their inputs align. Rolling Fama-MacBeth regressions estimate factor weights, with t-statistic-based shrinkage for less statistically supported factors.
Risk controls include inverse-volatility weights within each leg, portfolio-level exposure scaling to a target volatility, and cross-margin to let gains and losses offset across legs. The design also screens the universe for turnover, volatility, spread, and trading history, and describes reconciliation procedures intended to keep long and short exposures matched. A simulated execution mode is available, but no historical performance results are reported. Estimated portfolio volatility and funding behavior may not capture future conditions, while leveraged shorts can face severe squeeze risk.
Key ideas
- The strategy ranks perpetual contracts with a composite of price momentum and funding-related information, then pairs long and short baskets.
- Funding inputs are normalized across contract settlement intervals and aligned between model fitting and live scoring.
- Rolling cross-sectional regressions adjust factor weights, with shrinkage based on coefficient t-statistics.
- Inverse-volatility allocation and portfolio-level scaling aim to balance risk within and across the two legs.
- Execution controls reconcile positions to reduce unintended net exposure, but the document reports no performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.