Hypotheses
Hyperliquid Multi-Factor Composite Cross-Sectional Book (Source Replication), Point-in-Time Top-15 Universe, Daily Rebalance with Opposite-Tercile Hysteresis
The closest faithful version of what the source actually trades. It is ranked last because multi-leg neutral books have a 0/150 record here (lesson 137). Setup: HL 4H bars. Each day, the universe is rebuilt…
Hypothesis
The closest faithful version of what the source actually trades. It is ranked last because multi-leg neutral books have a 0/150 record here (lesson 137). Setup: HL 4H bars. Each day, the universe is rebuilt point-in-time as the top 15 names by trailing 30-day dollar volume among listed candidates with at least 30 days of bars. The composite is an equal-weight sum of three z-scored factors, each clipped at the 20th/80th cross-sectional quantiles: -(24h/96h volume ratio), -(96h close-volume correlation), -(24h vol of close/open). The source's 3h-momentum term is dropped as below fees, and its buy-ratio term is dropped because HL has no taker split. Long the bottom tercile, short the top tercile. A secondary, separately scored variant stays flat when composite dispersion is below its 90-day median.
Backtest and paper results are hypothetical. Trading involves risk of loss.