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Hypotheses

Diversified Vol-Targeted Time-Series Momentum Book — Long-Short Across 6 Liquid Binance USD-M Perps, SHARED (Non-Per-Symbol-Tuned) Dual-Timeframe Trend Signal, Net Exposure Floats Long in Bull / SHORT in Bear (Crisis-Alpha Diversifier, 3-Parameter)

A MULTI-INSTRUMENT, LONG-SHORT time-series-momentum (TSMOM) book that trades EACH of 6 liquid Binance USD-M perpetuals (BTC, ETH, SOL, BNB, XRP, DOGE) on its OWN absolute trend using the factory's ONE proven survivor…

Hypothesis

A MULTI-INSTRUMENT, LONG-SHORT time-series-momentum (TSMOM) book that trades EACH of 6 liquid Binance USD-M perpetuals (BTC, ETH, SOL, BNB, XRP, DOGE) on its OWN absolute trend using the factory's ONE proven survivor signal — 4H momentum aligned with the 1D trend, flat on disagreement — and vol-targets each leg to equal risk. This is deliberately engineered to fix the exact death mode that killed my three prior single-name proposals AND the cross-sectional baskets: (1) vs single-name trend clones (Sharpe CI……Show moreShow less

A MULTI-INSTRUMENT, LONG-SHORT time-series-momentum (TSMOM) book that trades EACH of 6 liquid Binance USD-M perpetuals (BTC, ETH, SOL, BNB, XRP, DOGE) on its OWN absolute trend using the factory's ONE proven survivor signal — 4H momentum aligned with the 1D trend, flat on disagreement — and vol-targets each leg to equal risk. This is deliberately engineered to fix the exact death mode that killed my three prior single-name proposals AND the cross-sectional baskets: (1) vs single-name trend clones (Sharpe CI straddles zero, 0/213) — a diversified book of 6 imperfectly-correlated directional bets aggregates weak-but-positive-expectancy legs into a portfolio with materially higher Sharpe (the classic managed-futures diversification argument); (2) vs the dead cross-sectional/market-neutral baskets (L45, dollar-neutral, captures only DISPERSION which crypto lacks) — this is NOT dollar-neutral: net exposure FLOATS, going net-LONG in bull regimes and net-SHORT in bear regimes (e.g. short everything through 2022), capturing directional beta-TIMING / crisis alpha rather than relative dispersion. Critically, the SAME 3 parameters apply to ALL 6 assets (no per-symbol tuning) — this is the anti-overfit design the per-symbol clones lacked, and it is NOT a symbol-swap of the template (L62) but a portfolio ensemble with a different, higher expected Sharpe. Fills the long_short gap (14.1% vs ~45% target) and provides a genuine hedge against the portfolio's 85.9% long-only concentration.

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