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All hypotheses

Hypotheses

ETH/BTC Relative-Strength Regime Momentum, Dollar-Neutral Long-Short (ETHUSDT.BINANCE vs BTCUSDT.BINANCE USD-M, DAILY bars, slow 21-day ratio momentum with deadband, low-turnover, 3-parameter)

A DOLLAR-NEUTRAL, TWO-INSTRUMENT long-short strategy that trades the persistent multi-week REGIME of the ETH/BTC ratio, on DAILY bars, holding the strong leg long and the weak leg short. This is NOT the dual-timeframe…

Hypothesis

A DOLLAR-NEUTRAL, TWO-INSTRUMENT long-short strategy that trades the persistent multi-week REGIME of the ETH/BTC ratio, on DAILY bars, holding the strong leg long and the weak leg short. This is NOT the dual-timeframe confluence recipe and NOT a symbol-swap of the promoted winner: it is a deliberate, evidence-driven re-engineering of the ONE dimension that killed the prior SOL/ETH ratio attempt. That death (profit_factor 1.0108, impact_cost_pct 66.78%, capacity only ~$224k) was a MARKET-IMPACT / capacity failure……Show moreShow less

A DOLLAR-NEUTRAL, TWO-INSTRUMENT long-short strategy that trades the persistent multi-week REGIME of the ETH/BTC ratio, on DAILY bars, holding the strong leg long and the weak leg short. This is NOT the dual-timeframe confluence recipe and NOT a symbol-swap of the promoted winner: it is a deliberate, evidence-driven re-engineering of the ONE dimension that killed the prior SOL/ETH ratio attempt. That death (profit_factor 1.0108, impact_cost_pct 66.78%, capacity only ~$224k) was a MARKET-IMPACT / capacity failure from over-trading a thin leg (SOL) on 4H+1D confluence (1612 trades over 6y). This design attacks that root cause three ways: (1) both legs are the two DEEPEST instruments in all of crypto (ETH and BTC USD-M) so per-fill impact is an order of magnitude smaller than SOL; (2) a SLOW 21-day daily momentum signal with a deadband cuts turnover to ~1 rotation every ~2 weeks (target ~120-150 round-trips over 6y, not 1600), so fee+impact drag per unit of capture collapses; (3) the traded object is the ETH/BTC RATIO regime, a real structural phenomenon (capital rotates between BTC-dominance and alt-risk-on in persistent multi-week cycles), not a generic price trend gated by a filter (L92) nor a re-skin of the volume-confirmed momentum winner (L91). Because it is dollar-neutral it also removes crypto-beta, so it is not another long-only trend follower (long_only is 85.7% of the corpus and 1% survival).

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