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All hypotheses

Hypotheses

SOL Perp-Index Premium Overshoot Fade, Long-Short (Single-Instrument BINANCE USD-M Perp vs its INDEX, DEEP mark/index Klines, Fade the Perp Back Toward Spot Index When the Basis Dislocates > 0.35% During a Fast Move — Mechanical Convergence ENFORCED by Funding + Arbitrage, a Non-Price Basis Signal — Fast Snapback Hold, Hard Widen-Stop, 2-Parameter)

A LONG-SHORT, single-instrument strategy on SOLUSDT.BINANCE (USD-M perp) that trades the PERP-vs-INDEX basis dislocation — a genuine NON-PRICE, mechanically-anchored signal — deliberately outside every class this…

Hypothesis

A LONG-SHORT, single-instrument strategy on SOLUSDT.BINANCE (USD-M perp) that trades the PERP-vs-INDEX basis dislocation — a genuine NON-PRICE, mechanically-anchored signal — deliberately outside every class this session confirmed dead: L30 (pure-OHLCV = 0/213 → this uses the mark/index BASIS, not price geometry), L29 (no options), L28 (no funding CARRY — this trades the intraday basis EXCURSION, not funding accrual, so it is immune to the funding-level edge DECAY that just killed the negative-funding basket……Show moreShow less

A LONG-SHORT, single-instrument strategy on SOLUSDT.BINANCE (USD-M perp) that trades the PERP-vs-INDEX basis dislocation — a genuine NON-PRICE, mechanically-anchored signal — deliberately outside every class this session confirmed dead: L30 (pure-OHLCV = 0/213 → this uses the mark/index BASIS, not price geometry), L29 (no options), L28 (no funding CARRY — this trades the intraday basis EXCURSION, not funding accrual, so it is immune to the funding-level edge DECAY that just killed the negative-funding basket family), and it is not the shallow-metrics/liquidation-feed trap (mark-price and index-price klines are DEEP historical Binance Vision series). Mechanism: during fast moves the leveraged perp OVERSHOOTS its spot index (aggressive takers push the perp above/below the composite index), creating a basis = (perp_mark − index)/index that dislocates transiently; funding (which mechanically pulls the perp toward the index TWAP) plus cross-market arbitrage FORCE the basis back toward zero within minutes. The strategy fades the overshoot: when the perp trades ≥ +0.35% RICH to index, SHORT the perp; when ≥ 0.35% CHEAP, LONG the perp; exit on convergence. This is a mechanically-enforced convergence (not a hopeful price-reversion), the basis is a real non-price feed, and it is a potentially LIVE edge (unlike the decayed funding premium). SOL is chosen because its higher volatility produces meaningfully-sized, fee-clearing basis excursions that BTC/ETH rarely reach. Single instrument, LONG-SHORT (fills the 85%-long imbalance), short intraday hold. 2 core parameters (basis dislocation threshold, convergence-exit threshold).

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