Skip to content
All hypotheses

Hypotheses

Mid-Cap Cross-Sectional Momentum Rotation, Long-Only with Absolute-Momentum Cash Gate (BINANCE USD-M, 10 Deep-History LIQUID MID-CAPS — NOT the Deployed Majors — Weekly Hold Top-3 by Relative Strength, Skip to Cash Any Slot Whose Own Momentum Is Negative; Mid-Cap Cross-Sectional Dispersion Is FAR Larger Than Majors, Giving Real Fee Headroom, 2-Parameter)

A REAL, codeable strategy that reuses the strongest LIVE, non-decayed, non-options deployed winner — cross-sectional relative-strength momentum rotation (majors version Sharpe 2.6) — but on a genuinely DIFFERENT,…

Hypothesis

A REAL, codeable strategy that reuses the strongest LIVE, non-decayed, non-options deployed winner — cross-sectional relative-strength momentum rotation (majors version Sharpe 2.6) — but on a genuinely DIFFERENT, materially-larger-edge OPPORTUNITY SET: deep-history liquid MID-CAP USD-M perps rather than the 8 majors. This is more than an L24 re-weight: mid-cap crypto exhibits substantially STRONGER cross-sectional momentum and much larger return DISPERSION than the majors (winners and losers separate by tens of……Show moreShow less

A REAL, codeable strategy that reuses the strongest LIVE, non-decayed, non-options deployed winner — cross-sectional relative-strength momentum rotation (majors version Sharpe 2.6) — but on a genuinely DIFFERENT, materially-larger-edge OPPORTUNITY SET: deep-history liquid MID-CAP USD-M perps rather than the 8 majors. This is more than an L24 re-weight: mid-cap crypto exhibits substantially STRONGER cross-sectional momentum and much larger return DISPERSION than the majors (winners and losers separate by tens of percent per week vs single digits for majors), so the relative-strength premium per rotation is far larger relative to the ~0.10% USD-M round-trip — the fee headroom the majors version only marginally has. To control the higher mid-cap drawdown/blowup risk that killed naive long-only baskets, it adds an ABSOLUTE-momentum cash gate (a held slot goes to CASH if that name's own trailing momentum is negative), so in broad mid-cap bear phases the book de-risks toward cash rather than holding falling knives, and conservative per-name caps prevent single-name blowups. Universe = 10 liquid, multi-year-history mid-caps (LTC, ETC, ATOM, ALGO, FIL, EOS, XLM, AAVE, SAND, MANA) — deep enough for a valid backtest, liquid enough to trade. This diversifies the portfolio's heavy majors concentration (single/majors dominate) into a distinct symbol set. NOT the deployed majors rotation (different universe with a documented stronger effect), NOT funding/order-flow/options/reversion. Long-only, diversified top-3, weekly, USD-M. 2 core parameters (momentum lookback, number held).

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