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Hypotheses

Cross-Sectional Short-Term Reversal, Dollar-Neutral Long-Short (8–10 Liquid BINANCE USD-M Majors — Each Week LONG the Biggest Idiosyncratic LOSERS / SHORT the Biggest Idiosyncratic WINNERS After Removing Market Beta, Bet on Overreaction Reversal, Dispersion-Gated; 3-Parameter)

A DOLLAR-NEUTRAL, MARKET-NEUTRAL, MULTI-INSTRUMENT cross-sectional REVERSAL strategy on a fixed universe of ~8–10 liquid Binance USD-M perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, DOGEUSDT, LINKUSDT,…

Hypothesis

A DOLLAR-NEUTRAL, MARKET-NEUTRAL, MULTI-INSTRUMENT cross-sectional REVERSAL strategy on a fixed universe of ~8–10 liquid Binance USD-M perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, DOGEUSDT, LINKUSDT, AVAXUSDT, LTCUSDT). This is deliberately the OPPOSITE sign of the dead cross-sectional MOMENTUM family (L52: 0/97) and is exactly the 'non-momentum-rank selection edge' L52 says a new basket must specify. Every `rebal_days` (default 5, weekly), it measures each name's recent `lookback`-day return,……Show moreShow less

A DOLLAR-NEUTRAL, MARKET-NEUTRAL, MULTI-INSTRUMENT cross-sectional REVERSAL strategy on a fixed universe of ~8–10 liquid Binance USD-M perps (BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, DOGEUSDT, LINKUSDT, AVAXUSDT, LTCUSDT). This is deliberately the OPPOSITE sign of the dead cross-sectional MOMENTUM family (L52: 0/97) and is exactly the 'non-momentum-rank selection edge' L52 says a new basket must specify. Every `rebal_days` (default 5, weekly), it measures each name's recent `lookback`-day return, SUBTRACTS the cross-sectional mean (removing market beta / the crypto-complex move), ranks names by that idiosyncratic residual, then goes LONG the bottom `n_legs` (biggest relative losers) and SHORT the top `n_legs` (biggest relative winners), equal dollar per leg so the book is dollar- and approximately beta-neutral. It holds to the next rebalance. The edge is short-horizon overreaction reversal in relative performance — names that idiosyncratically overshoot tend to mean-revert versus their peers over days. CRITICALLY, this design is engineered against the exact killer that destroyed every trend idea I proposed (single-name OHLCV trend is 0/213, an OUTLIER MIRAGE where a few extreme days carry everything): here the edge is AVERAGED across many names AND many weekly rebalances, so no single instrument's extreme day can carry (or fake) the result — it structurally SURVIVES outlier removal. Market-neutrality also removes the full bear-beta that got the long-only spot baskets risk-rejected (L48). It is NOT single-name directional trend (dead), NOT cross-sectional momentum (L52), NOT betting-against-beta/min-variance (those rank on risk, not reversal), NOT a basis/carry/microstructure/options idea (all confirmed dead), NOT a single-name fade (L53 — this is a cross-sectional relative-value book, not a single-instrument stretch fade). A DISPERSION GATE only deploys when cross-sectional return dispersion is wide enough that the expected reversal comfortably exceeds the ~0.10% per-leg round trip. Fills the under-represented long-short/market-neutral bucket.

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