5-Asset Crypto Majors 4H Negative-Funding-Rate Long-Only Carry Basket (BTC+ETH+SOL+AVAX+ADA on BINANCE USD-M, NO Trend Filter, 3-Parameter, Basket-Diversification, Direct Implementation of Analyst Recommendation)

A LONG-ONLY multi-instrument carry-collection basket strategy on 5 BINANCE USD-M perpetuals: BTCUSDT, ETHUSDT, SOLUSDT, AVAXUSDT, ADAUSDT. Mechanism: at each 4H bar close, for each asset in the basket, check the most recent 8h funding rate (received from supplementary data feed). If funding rate is below funding_entry_threshold (default -0.02%/8h = -0.06%/day equivalent, meaning shorts are paying longs), OPEN LONG to capture the funding payment stream. Exit when funding regime turns positive (regime reset) OR after max 48-bar (~8 day) time stop. Per-asset position 15% (basket sizing across 5 assets = 75% max gross exposure). STRATEGIC RATIONALE: (1) DIRECT IMPLEMENTATION OF ANALYST RECOMMENDATION — the BTC Persistent Negative Funding Carry Long abandon notes explicitly recommend 'The right place to test this mechanism is 4H bars on a basket of crypto majors (BTC + ETH + SOL) where the conjunction probability is higher and individual asset noise is averaged' AND 'Future hypotheses in this class should drop the SMA filter entirely and use a different protection'. This proposal implements BOTH recommendations: 4H bars on a 5-major basket, NO trend filter, NO SMA gate — the failing conjunction (negative funding + above SMA, ~1 trade in 6 years on daily BTC) is structurally avoided. (2) MECHANISM PROVENANCE — funding rate carry is among the most mechanically-guaranteed cash flows in crypto: when funding < 0, shorts pay longs every 8h. Unlike directional strategies (Donchian, momentum) which depend on price prediction, funding carry has documented edge because it's a STRUCTURAL transfer between counterparties. The mechanism's edge is the funding payment itself, not a trade thesis about future price direction. (3) BASKET DIVERSIFICATION SOLVES THE TRADE-COUNT PROBLEM — single-asset BTC daily produced 1 trade in 6.4 years; with 5 assets at 4H and no trend filter, expected ~50-150 trades/year (negative funding occurs ~10-30% of time per asset, 5 assets × 4H bars × 365 days × probability ≈ 60-120 per year). Comfortably above the 5-trade walk-forward floor. (4) PORTFOLIO QUOTA FILL — multi-instrument scope at 8.9% (target ≥10%), this adds a 5-asset basket. Long-only at 87.5% over-represented but the basket structure is structurally different from single-asset long-only (5 partial positions vs 1 full position, basket-level Sharpe vs single-asset Sharpe). Funding-rate signal class has had zero successful basket implementations in the 1101-experiment portfolio — this opens an under-explored signal class. (5) AVOIDS ALL FAILED MECHANISM CLASSES: NOT Donchian-breakout (system-wide regime decay confirmed: BTC, AVAX, XRP, SOL all abandoned); NOT funding+SMA (conjunction failure confirmed 3+ times); NOT premium-index basis MR (cliff failure); NOT cross-venue basis arb (fee math failure); NOT skewness (mechanism class refuted); NOT OI surge (regime dependent); NOT volume surge daily (conjunction failure); NOT Connors down-day (deprecated); NOT Bollinger MR (cliff-prone); NOT BNB single-asset (moratorium, but BNB is intentionally NOT in this basket — replaced by ADA). (6) ITERATION-SAFE: only 3 hypothesis-declared tunable parameters (funding_entry_threshold, min_consecutive_funding_periods_negative, position_pct_per_asset). NO stop_loss parameter, NO take_profit parameter — explicit fix for LINK/ETH iter-2 optimizer-reversal failure. Risk is bounded by (a) funding regime reset exit (when funding turns positive, exit immediately), (b) hard 48-bar time exit (NOT tunable), (c) 15% per-asset sizing × 5 max = 75% max gross. The optimizer CANNOT push extreme parameter values because there are no risk-tunable parameters. (7) FEE MATH EXPLICITLY VIABLE: at funding -0.02%/8h, ~3 funding events captured per trade (avg 2-5 day hold) = ~0.06% funding collected per trade. Plus typical directional gain when funding regime ends with positive price move (correlated with negative funding squeeze): 0.5-1.5% per trade. Gross per winning trade: ~0.6-1.6%. Per losing trade (funding stays negative but price falls): bounded by 48-bar time exit + price drop typically 1-3% × 15% sizing = 0.15-0.45% per losing trade. Net of 0.10% RT fees: 0.5-1.5% per winner, -0.25 to -0.55% per loser. At 55-65% win rate: EV ≈ +0.5-0.9% per trade NET. ANNUAL: ~80 trades × 0.7% net = ~56% gross basket return at 15% per-asset sizing (across 5 assets = ~11% per-asset annualized). Sharpe target 1.0-1.8.