Hypotheses

Daily Altcoin Loser Basket with a Persistent Bitcoin Short Hedge

Hypothesis

Derived by the Research Lead from Kakushadze and Yu's Altcoin-Bitcoin Arbitrage: preserve the daily negative-momentum selection, equal-weight long altcoin basket and constant-dollar Bitcoin short. Use Binance spot for altcoin holdings and Hyperliquid for the Bitcoin hedge. This is an adapted-universe experiment, not reproduction of the paper's historical market-cap tiers: historical market-cap membership is not provided by the available data specification. The named basket is fixed before testing, and no claim is made that its members reproduce the paper's low-liquidity universe. Trade synchronized UTC daily bars. A market order at the completed signal day's close substitutes for the following day's open on these continuous markets. Preserve signal-based exits without adding price stops. The supplied full text establishes the rules, although its appendix uses close-to-close momentum while Section 2 specifies open-to-close momentum; this contract follows Section 2 explicitly. Paper returns remain unverified.

Analysis

Altcoin-Bitcoin Arbitrage

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