Skip to content
All hypotheses

Hypotheses

Cross-Sectional Relative-Strength Momentum Rotation, Long-Only Perps (10 Liquid BINANCE USD-M Majors — Bi-Weekly Rebalance, Hold Top-4 by 60-Day Relative Strength, Equal-Weight, Absolute-Momentum Cash Filter Sits Out Names in Their Own Downtrend; a Distinct-Cadence Sibling of the Factory's Deployed Sharpe-2.6 Survivor, 3-Parameter)

A LONG-ONLY, MULTI-INSTRUMENT cross-sectional relative-strength momentum rotation on 10 liquid BINANCE USD-M major perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, AVAXUSDT, LINKUSDT, DOTUSDT, LTCUSDT — all…

Hypothesis

A LONG-ONLY, MULTI-INSTRUMENT cross-sectional relative-strength momentum rotation on 10 liquid BINANCE USD-M major perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, AVAXUSDT, LINKUSDT, DOTUSDT, LTCUSDT — all SAME venue). This is deliberately a DISTINCT-CONFIGURATION SIBLING of the factory's single most robust survivor — the deployed, Sharpe-2.6 long-only cross-sectional momentum weekly rotation — which is the ONLY construction with demonstrated robust survival across 1043 hypotheses. Rationale grounded……Show moreShow less

A LONG-ONLY, MULTI-INSTRUMENT cross-sectional relative-strength momentum rotation on 10 liquid BINANCE USD-M major perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, AVAXUSDT, LINKUSDT, DOTUSDT, LTCUSDT — all SAME venue). This is deliberately a DISTINCT-CONFIGURATION SIBLING of the factory's single most robust survivor — the deployed, Sharpe-2.6 long-only cross-sectional momentum weekly rotation — which is the ONLY construction with demonstrated robust survival across 1043 hypotheses. Rationale grounded in the failure log: (1) MULTI-INSTRUMENT solves the structural-unmeasurability death (my single-instrument Donchian produced ~47 trades vs the ~100 floor; 10 names rotating bi-weekly produce hundreds of position changes — comfortably measurable) WITHOUT raising per-name turnover into fee_edge territory; (2) it is NOT a momentum-CONFLUENCE clone (L41) — it is cross-sectional RANKING, the mechanism that actually survives, not single-name dual-timeframe; (3) it avoids the dead siblings' specific defects — it stays on PERPS (0.10% fee, not the spot 0.20% that killed the spot rotation), uses simple EQUAL-weight (not the risk-parity/inverse-vol weighting that died with negative expectancy), a MAJORS universe (not the mid-caps that died), and is LONG-ONLY (not the dollar-neutral top/bottom version that died overfit). Distinct from the DEPLOYED champion (8 majors, weekly, 30-day RS, top-3) by a broader 10-name universe, BI-WEEKLY cadence (lower turnover), an INTERMEDIATE 60-day relative-strength lookback (captures slower, more persistent leadership), TOP-4 holdings, and equal-weight — a genuinely different point in the parameter space that diversifies the champion's cadence/lookback concentration risk and is a legitimate candidate for a SECOND robustly-deployable strategy. Explicitly guarded against the L36 compounding/leverage artifact: no leverage stacking, exposure normalized to equity, each of the up-to-4 holdings capped at 25% of equity, so avg_trade_return_pct stays in the realistic single-digit range. Pure OHLCV (no fragile supplementary feed). 3 parameters. Instruments: ["BTCUSDT.BINANCE","ETHUSDT.BINANCE","SOLUSDT.BINANCE","BNBUSDT.BINANCE","XRPUSDT.BINANCE","ADAUSDT.BINANCE","AVAXUSDT.BINANCE","LINKUSDT.BINANCE","DOTUSDT.BINANCE","LTCUSDT.BINANCE"]. venue_type: futures. data_requirements: ["ohlcv"].

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