Hypotheses
BTC Perp Funding-Confirmed Trend (Single-Instrument USD-M, Long-Short, Daily, Carry-Momentum Confluence, Flat on Disagreement)
A long-SHORT, SINGLE-INSTRUMENT, single-venue directional strategy on BTCUSDT.BINANCE USD-M perpetual futures using DAILY bars, that takes a position ONLY when the price trend and the funding rate AGREE in direction,…
Strategies
- BtcPerpDailyFundingConfirmedTrendLS Abandoned
Hypothesis
A long-SHORT, SINGLE-INSTRUMENT, single-venue directional strategy on BTCUSDT.BINANCE USD-M perpetual futures using DAILY bars, that takes a position ONLY when the price trend and the funding rate AGREE in direction, and stays FLAT when they disagree. This completes the factory's ONE promoted mechanism — the ETH Perp Daily Funding-Confirmed Trend (Sharpe 2.74, PAPER) — on BTC, the asset with the deepest and cleanest data coverage in the catalog. EVERY design choice is dictated by this session's accumulated kills:……Show moreShow less
A long-SHORT, SINGLE-INSTRUMENT, single-venue directional strategy on BTCUSDT.BINANCE USD-M perpetual futures using DAILY bars, that takes a position ONLY when the price trend and the funding rate AGREE in direction, and stays FLAT when they disagree. This completes the factory's ONE promoted mechanism — the ETH Perp Daily Funding-Confirmed Trend (Sharpe 2.74, PAPER) — on BTC, the asset with the deepest and cleanest data coverage in the catalog. EVERY design choice is dictated by this session's accumulated kills: (1) SIGNAL = FUNDING on BTC, the single safest crypto-native data source. This session HARD-BLOCKED open_interest, taker_ratio, and top/global L/S account ratios as primary signals because they have only ~30-56 days of catalog history (three identical data-insufficiency abandons); funding_rates is the lone supplementary stream with proven multi-year coverage — it cleared the promoted ETH strategy's data-span gate — and BTC has the oldest, most-completely-collected funding history of any perp. (2) NOT a fade / mean-reversion — intraday VWAP-MR was just shown to be anti-predictive on higher-vol alts (excursions trend through fair value, −80% on SOL); this is a confluence-gated TREND, not a vol-regime-dependent reversion that fails to transfer. (3) NOT naked trend/breakout (regime-dead across 14+ abandons) — the funding-confluence AND-gate plus flat-on-disagreement filters the unsupported whipsaws that the 2024-26 chop punishes; this gate is the proven differentiator that carried ETH to PAPER while every Donchian/dual-EMA/TSM-naked variant was abandoned. (4) NOT a closed family: NOT pairs-ratio MR (single asset, no non-stationary spread), NOT delta-neutral funding CARRY (funding is a directional SIGNAL on a single price-creditable leg, never booked as cash flow), NOT cross-venue/HL, NOT COIN-M (engine-blocked). (5) NOT a rare-conjunction gate — it uses the continuous funding SIGN/level so it fires across all regimes, populating every walk-forward OOS window densely (the explicit anti-event-sparsity requirement). (6) Uses only BTCUSDT, a fully-collected symbol — avoiding the alt-collection gaps (ARB/AAVE/NEAR/ATOM) that failed the reversal basket. Intentionally minimal: 3 tunables (trend_lookback, funding_lookback, funding_deadband).
Backtest and paper results are hypothetical. Trading involves risk of loss.