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Hypotheses

Dual-Momentum Majors Rotation, Long-Only Spot with Absolute-Momentum Cash Gate (Relative-Strength Top-K + Trend Filter, BINANCE_SPOT, Pure OHLCV, Weekly Rebalance)

A LONG-ONLY, MULTI-INSTRUMENT DUAL-MOMENTUM rotation across a tightly-curated universe of ~10 confirmed-full-history Binance SPOT majors. It captures the ONE edge this session has validated -- crypto…

Hypothesis

A LONG-ONLY, MULTI-INSTRUMENT DUAL-MOMENTUM rotation across a tightly-curated universe of ~10 confirmed-full-history Binance SPOT majors. It captures the ONE edge this session has validated -- crypto MOMENTUM/CONTINUATION (the cross-sectional momentum basket is positive and in optimization; every fade/reversion was anti-predictive) -- in its most crash-robust, documented form (Antonacci dual momentum), while filling two under-target buckets (spot venue, multi-instrument scope). DUAL MOMENTUM = two filters: (1)……Show moreShow less

A LONG-ONLY, MULTI-INSTRUMENT DUAL-MOMENTUM rotation across a tightly-curated universe of ~10 confirmed-full-history Binance SPOT majors. It captures the ONE edge this session has validated -- crypto MOMENTUM/CONTINUATION (the cross-sectional momentum basket is positive and in optimization; every fade/reversion was anti-predictive) -- in its most crash-robust, documented form (Antonacci dual momentum), while filling two under-target buckets (spot venue, multi-instrument scope). DUAL MOMENTUM = two filters: (1) RELATIVE momentum -- rank the majors by trailing return and hold the top-K strongest; (2) ABSOLUTE momentum -- a name is only eligible to be held if its OWN trend is up (positive absolute momentum), otherwise that slot rotates to CASH. EVERY design choice fixes a specific failure this session: (1) MOMENTUM direction, not fade -- the anti-predictive fade/reversion family is closed. (2) DIVERSIFIED BASKET, not single-asset -- single-asset momentum/funding edges do NOT transfer to higher-beta alts (funding-trend died on SOL/BNB), but the cross-sectional momentum BASKET is robust; a basket sidesteps that transfer fragility. (3) ABSOLUTE-MOMENTUM CASH GATE -- bull-beta-only strategies bled every non-2021 year (funding-trend on alts); the absolute-momentum filter is the bear-market OFF-SWITCH that moves to cash in downtrends, the exact protection those failures lacked. (4) DISCRETE ROUND-TRIP ROTATION (sell a name leaving the top-K, buy one entering), NOT continuous single-position rebalancing -- the latter broke the spot CASH accounting engine (vol-target accumulation); discrete spot entries give reliable metrics (confirmed by the flush-bounce). (5) PURE OHLCV, MAJORS-ONLY confirmed-data universe -- immune to the EIGHT supplementary-data coverage kills and the thin-alt basket data-collection wall. (6) WEEKLY rotation across 10 names fires densely (no rare-conjunction trade-starvation -- the Bollinger-squeeze death). NOT the long-short cross-sectional momentum (this is long-only, spot, with a dual-momentum cash gate), NOT a fade, NOT supplementary-primary, NOT a funding-trend clone. Intentionally minimal: 3 tunables (momentum_lookback, top_k, abs_mom_period).

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