BTC Perp-Spot Basis Cash-and-Carry Arbitrage (4H)

A DOLLAR-NEUTRAL CASH-AND-CARRY ARBITRAGE strategy: simultaneously SHORT BTCUSDT perpetual futures (Binance USD-M) and LONG BTCUSDT spot (Binance Spot) in equal dollar notional, triggered when the perp-spot premium exceeds a threshold. RATIONALE driven by the now-decisive session finding: 5 mechanism classes have ALL been falsified (supp-data, alt-perp trend-following, channel breakouts, oscillators, cross-asset pair MR). The analyst's remaining untested categories are: (a) sub-daily intraday (BTC 5-min Bollinger MR already in pipeline), (b) sector-basket (L1 cross-sectional momentum already in pipeline), (c) cross-VENUE arbitrage, (d) wait. This proposal tests a STRUCTURAL ARBITRAGE that is genuinely DIFFERENT from cross-asset pair MR (3 failed): instead of betting that the ratio between TWO DIFFERENT ASSETS will mean-revert (a non-stationary assumption that broke ETH/BTC, BNB/ETH, SOL/ETH), this strategy exploits the perp-spot basis on the SAME asset (BTC), which is STRUCTURALLY BOUNDED by arbitrage forces — specifically, the perpetual funding mechanism. When perp price > spot price by N bps, funding rate becomes positive, longs pay shorts, and this funding payment FORCES traders to close perp longs, mechanically driving perp back toward spot. This is the foundational cash-and-carry trade in crypto, run continuously by institutional arb desks. KEY DIFFERENTIATION from the falsified pair-MR class: (a) Pair MR assumes ratio reverts to mean — empirically false in crypto (ratios drift). (b) Basis arbitrage uses the SAME asset across venues with a STRUCTURAL convergence force (funding payments) — the basis CANNOT permanently drift because funding compensates for it. (c) The 'short' leg is on the SAME asset as the 'long' leg, eliminating the asymmetric win-rate trap that killed all 3 pair MRs (long_win_rate > short_win_rate due to one asset structurally outperforming). DESIGN CHOICES ELIMINATING ALL 5 PRIOR FAILURE MODES: (i) Not directional alt-perp (single-asset BTC), (ii) Not single-asset MR (uses cross-venue basis, not own-price reversion), (iii) Not pair MR on two different assets (uses same asset BTC on perp + spot — structurally hedged), (iv) ZERO supplementary data dependency (premium computed from OHLCV directly), (v) MAXIMALLY SIMPLE — only 2 parameters (entry premium threshold, exit premium threshold).