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Hypotheses

Cross-Sectional Nearness-to-High Momentum, Long-Short Across Majors (Proximity-to-Trailing-High Rank, Binance USD-M Futures, Pure OHLCV, Weekly Rebalance)

A LONG-SHORT, MULTI-INSTRUMENT, market-neutral momentum strategy across ~10 confirmed-full-history Binance USD-M major perpetuals that ranks assets by their NEARNESS TO THEIR OWN TRAILING HIGH rather than by trailing…

Hypothesis

A LONG-SHORT, MULTI-INSTRUMENT, market-neutral momentum strategy across ~10 confirmed-full-history Binance USD-M major perpetuals that ranks assets by their NEARNESS TO THEIR OWN TRAILING HIGH rather than by trailing return -- the documented George-Hwang '52-week-high' momentum factor, an empirically distinct (and often stronger) momentum anomaly than return-based momentum. It LONGS the majors trading closest to their trailing-period high (strength persisting -> continuation) and SHORTS those trading furthest……Show moreShow less

A LONG-SHORT, MULTI-INSTRUMENT, market-neutral momentum strategy across ~10 confirmed-full-history Binance USD-M major perpetuals that ranks assets by their NEARNESS TO THEIR OWN TRAILING HIGH rather than by trailing return -- the documented George-Hwang '52-week-high' momentum factor, an empirically distinct (and often stronger) momentum anomaly than return-based momentum. It LONGS the majors trading closest to their trailing-period high (strength persisting -> continuation) and SHORTS those trading furthest below their trailing high (weakness persisting), dollar-neutral. This stays strictly inside the ONLY validated direction this session (MOMENTUM/CONTINUATION: cross-sectional return-momentum is positive and in optimization; every fade/reversion was catastrophically anti-predictive -- 'crypto continues, it does not revert'), while using a genuinely DIFFERENT signal construction additive to the shipped return-momentum baskets. EVERY design choice respects this session's binding lessons: (1) MOMENTUM direction -- the only edge that works. (2) DISTINCT SIGNAL -- proximity-to-high, not trailing return, so it is additive to the cross-sectional/absolute/dual return-momentum baskets already in the portfolio, not a parameter tweak of them. (3) FUTURES venue -- SPOT strategies repeatedly hit a recurring sizing/accounting bug this session; USD-M futures size cleanly as discrete trades and allow the short leg. (4) PURE OHLCV, NO supplementary/funding -- funding_rates ends ~2024-12 (empty holdout) and all eight supplementary-stream attempts died on data coverage; nearness-to-high uses only price highs/closes. (5) MAJORS-ONLY CONFIRMED-DATA universe -- single-asset alt transfers and thin-alt baskets (ARB/AAVE) and HL transplants all died on data insufficiency; this uses only 2020-listed full-history majors with a drop-and-continue guard. (6) DIVERSIFIED BASKET -- the robust form (single-asset momentum doesn't transfer; the basket spreads idiosyncratic noise). (7) DENSE weekly rotation across ~10 names (distributed OOS, no rare-conjunction trade-starvation). (8) LET-TRENDS-RUN exit, not small-TP/big-SL. Intentionally minimal: 3 tunables (high_lookback, top_k, rebalance_days).

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