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Hypotheses

Dollar-Neutral Cross-Sectional Momentum SPREAD, Long-Short Market-Neutral (BINANCE USD-M, 8 Majors, MONTHLY Long Top-2 / Short Bottom-2 by Relative Strength — Dollar-Neutral So Max-Drawdown Is Bounded by the Momentum SPREAD (~20-30%), NOT the 50%+ Market Beta That Floor-Killed Every Long-Only Momentum Variant; Monthly Cadence Keeps the 4-Leg Fee Below the Spread, 2-Parameter)

A REAL, codeable strategy that resolves the EXACT binding constraint proven across my momentum reuses this session: every LONG-ONLY momentum construction (crowding-filter 63% DD, dispersion-gate 67% DD, mid-cap 74% DD)…

Hypothesis

A REAL, codeable strategy that resolves the EXACT binding constraint proven across my momentum reuses this session: every LONG-ONLY momentum construction (crowding-filter 63% DD, dispersion-gate 67% DD, mid-cap 74% DD) died on the >50% drawdown floor because it holds full crypto BETA through the 2022 bear, and no signal filter protects that tail. The only structural fix is to REMOVE beta: a DOLLAR-NEUTRAL long-winners / short-losers construction has net market exposure ≈ 0, so its drawdown is bounded by the……Show moreShow less

A REAL, codeable strategy that resolves the EXACT binding constraint proven across my momentum reuses this session: every LONG-ONLY momentum construction (crowding-filter 63% DD, dispersion-gate 67% DD, mid-cap 74% DD) died on the >50% drawdown floor because it holds full crypto BETA through the 2022 bear, and no signal filter protects that tail. The only structural fix is to REMOVE beta: a DOLLAR-NEUTRAL long-winners / short-losers construction has net market exposure ≈ 0, so its drawdown is bounded by the momentum SPREAD's volatility (historically ~20-30% for majors), which is BELOW the 50% floor by construction — the thing filters and partial hedges could not deliver. It captures the FULL cross-sectional momentum premium (top-minus-bottom spread), not the thin residual that killed my fully-beta-hedged overlay. To beat the fee death that L12 flags for dollar-neutral rank baskets, it is deliberately MINIMAL and LOW-turnover: only 4 legs (long top-2 / short bottom-2 of 8 majors) rebalanced MONTHLY. FEE ARITHMETIC (per L12): 4 legs × monthly rebalance ≈ 8 fills/month × ~0.05% ≈ 0.4%/month; the top-2-minus-bottom-2 monthly momentum spread among majors historically runs ~3-8%/month — clearing fees by a wide margin, unlike the high-turnover weekly N-name rank baskets L12 killed. Distinct from all my pending momentum variants (those are long-only or partially-hedged; this is FULL dollar-neutral top-vs-bottom). Reuses the proven relative-strength signal (no L30 new-indicator risk). Long-short, market-neutral, monthly, USD-M. 2 core parameters (momentum lookback, names per side).

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