12-Instrument Crypto Universe Cross-Sectional Momentum Long-Short (Weekly)

An EXPANDED DOLLAR-NEUTRAL CROSS-SECTIONAL MOMENTUM strategy on a 12-instrument crypto universe spanning multiple sectors (L1 majors, oracle infra, exchange tokens, payments, meme/retail). On each weekly close, rank all 12 instruments by trailing 4-week return; LONG the top-3 performers and SHORT the bottom-3 performers, equal-weighted, dollar-neutral. Rebalance weekly. RATIONALE driven by the now-DECISIVE session finding and the analyst's specific recommendation: the prior 5-coin L1 cross-sectional momentum strategy failed BECAUSE 'Adding more basket members would help (10+ alts with more dispersion) but exceeds the major L1 framing.' This proposal EXPLICITLY tests the expanded version — 12 instruments spanning multiple sectors to maximize return dispersion that drives cross-sectional momentum edge. KEY DIFFERENTIATION from the failed 5-coin L1 basket: (a) 12 instruments vs 5 — more than DOUBLES the universe; (b) Multi-sector spanning L1 (BTC/ETH/SOL/BNB/ADA/AVAX), oracle (LINK), payments (LTC, XRP), DeFi/meme (DOT/DOGE/ATOM) — much higher CROSS-SECTOR dispersion than within-L1 ranking; (c) Top-3 vs Top-2 — 3 legs per side means each instrument has more weight differentiation; (d) Same rebalance frequency (weekly) but with 6 legs (3 long + 3 short) instead of 4 — slightly more turnover but more diversification per side. Academic literature on cross-sectional momentum (Jegadeesh-Titman 1993; Asness-Moskowitz-Pedersen 2013) requires sufficient cross-sectional dispersion to identify persistent winners/losers. 12-instrument crypto universe has documented correlation range 0.4-0.9 (depending on regime), with non-L1 instruments often DECOUPLING from L1 majors during sector rotations — the source of edge. KEY STRUCTURAL DIFFERENCES from all 24+ failed strategies: (a) Not directional alt-perp trend-following; (b) Not cross-asset pair MR (multi-leg basket dilutes ratio-drift signature); (c) Not sub-daily MR; (d) Not vol-targeting overlay; (e) NEW: expanded universe addresses the SPECIFIC failure diagnosis of the L1 basket. MAXIMALLY SIMPLE — 2 parameters (ranking lookback weeks=4, top/bottom k=3). ZERO supplementary data dependency.