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All hypotheses

Hypotheses

BNB Time-Series Momentum with Funding Carry-Veto, Long-Short (Single-Instrument BNBUSDT.BINANCE USD-M, DAILY Bars, Sign of ~56-Day Trailing Return, Vol-Scaled Size, Chandelier Stop, Funding ONLY Vetoes Negative-Carry Holds, 3-Parameter)

A LONG-SHORT, single-instrument, DAILY-bar directional trend follower on BNBUSDT.BINANCE (USD-M perpetual). This deliberately extends the factory's ONE proven non-momentum-clone survivor recipe --…

Hypothesis

A LONG-SHORT, single-instrument, DAILY-bar directional trend follower on BNBUSDT.BINANCE (USD-M perpetual). This deliberately extends the factory's ONE proven non-momentum-clone survivor recipe -- EthDailyTsMomFundingCarryVetoLS, which reached paper_stage at OOS Sharpe ~1.06 -- to a structurally different underlying. IMPORTANT: funding is used here strictly as a HOLD VETO, never as a harvested cash flow, so this is NOT the dead delta-neutral funding cash-and-carry / funding-differential class (L87). The core……Show moreShow less

A LONG-SHORT, single-instrument, DAILY-bar directional trend follower on BNBUSDT.BINANCE (USD-M perpetual). This deliberately extends the factory's ONE proven non-momentum-clone survivor recipe -- EthDailyTsMomFundingCarryVetoLS, which reached paper_stage at OOS Sharpe ~1.06 -- to a structurally different underlying. IMPORTANT: funding is used here strictly as a HOLD VETO, never as a harvested cash flow, so this is NOT the dead delta-neutral funding cash-and-carry / funding-differential class (L87). The core signal is pure price time-series momentum: take the SIGN of the ~56-day trailing log return; go long when positive, short when negative, flat only inside a small deadband around zero. The funding veto simply refuses to HOLD a position whose direction is paying (not receiving) funding beyond a threshold -- i.e. it declines negative-carry holds where the mechanical funding bleed erodes an already-marginal trend, letting the position flatten instead. Position size is inverse-volatility scaled (target constant risk per trade). Exit is a Chandelier (ATR-trailing) stop plus a trend-sign flip. BNB is chosen deliberately: it is a top-5-liquidity major (tight spreads, deep book, ~0.10% RT) that is heavily UNDER-tested here (corpus is 44% BTC), and as the exchange token it carries an idiosyncratic funding/positioning regime distinct from ETH's high-beta profile -- so this is a genuine new test of whether the funding-veto TSMOM mechanism generalizes on its own economics, not a symbol re-skin of a fee-fragile momentum recipe (L91 warns against volume-confirmed clones specifically; this is a different, proven recipe on a fresh symbol).

Backtest and paper results are hypothetical. Trading involves risk of loss.