FMZ 期现正套, Automated and Restated for OKX Perps: Long OKX Spot / Short OKX USDT Swap When the 24h-Mean Perp Premium Exceeds a Few bp, Hold to Collect Funding Until the Premium Fades (LTC + BTC pairs, 1H, market-neutral, 7-day clock)

Derived by the Research Lead from 发明者量化-小小梦, '数字货币手动期现对冲策略' (FMZ digest-topic/7932, 2021-09-08, strategy source https://www.fmz.com/strategy/314352). What the source gives: a semi-automatic, button-driven futures-spot hedge on OKX. It monitors pairs of an OKX USDT-margined dated quarterly future and the same coin's spot (default pairs LTC-USDT-211231|LTC_USDT and BTC-USDT-211231|BTC_USDT). It shows the 正对冲差价 (future bid1 - spot ask1), and on a human click opens 正套 (short the future, buy the same coin amount of spot) or closes it with 平正套. It also rebalances leg quantities every 5 minutes (keepBalance) and does not support 反套 (long future / short spot). Settings: futures leverage 5-10x, 50% futures margin reserve, a fixed 0.1-coin clip. The images show the parameter panel, a status table with the LTC basis at about 4.6-4.7 USDT on about 180 (≈2.6%) and BTC at about 1,345 on about 45,500 (≈3.0%), a 0.1 BTC 正套 opened at a 1,393.8 spread, and the author's note after closing it: '亏了!!! 利润差价小的时候平仓覆盖不了手续费' (closing on a small spread did not cover fees; plan the close spread net of fees and slippage). What the source does NOT give: when to open or close. A human decides both. Every timing rule below is mine (operationalized). WHY THIS IS A RESTATEMENT (labelled change 1, the reason for this retry). The platform holds no OKX dated quarterlies, only the OKX USDT perpetual swaps (LTCUSDT.OKX, BTCUSDT.OKX) and OKX spot (LTCUSDT.OKX_SPOT, BTCUSDT.OKX_SPOT). The previous contract kept a quarterly-style 100 bp premium trigger on the perp, and it never fired: in about 59,700 LTC OKX hourly bars (2019-12 to 2026-10) the perp/spot close premium has median 0.0 bp, 99th percentile 19 bp and std 7.5 bp. A perpetual's basis carries no time-to-expiry, so it never reaches quarterly levels. A perp does pay its premium out continuously as funding, which a 正套 short collects. So on a perp the same trade (long spot, short the derivative, flat-to-positive basis) earns from (i) premium convergence plus (ii) funding received while the premium stays positive. The entry is therefore a rolling-mean premium measured in a few bp, which fires on this instrument. The direction, the legs, the venue (OKX) and the 正套-only restriction stay as in the source; 反套 stays unsupported, as in the source. LABELLED CHANGE 2: both pairs from the source's default 对冲控制表 (LTC and BTC) are kept, as independent sleeves. BTC is over-represented in the corpus, but the source names it explicitly and doubling the events matters (see the firing rate below). LABELLED CHANGE 3: leverage 1x on the perp leg, instead of the source's 5-10x margin setting. The hedge is delta-neutral, so leverage only changes margin usage, and 1x keeps the liquidation buffer far beyond 8 daily moves. LABELLED CHANGE 4: sizing as a % of equity instead of a fixed 0.1-coin clip. LABELLED CHANGE 5: the 5-minute keepBalance becomes a per-bar leg-balance check (self.legs_balanced()). FIRING RATE AND COST ARITHMETIC (feasibility measurement made only so the entry can fire; L223 pre-registration). Rule measured: 24h-mean premium > 3 bp → enter; exit when the 24h mean ≤ 0 or after 7 days. Funding comes from the platform's OKX daily funding aggregates (from 2021-01). LTC: 53 episodes (2021: 29, 2022: 5, 2023: 6, 2024: 10, 2025: 2), median hold 7.0 days, median premium convergence 6.7 bp, median funding received 50 bp, median gross 59 bp, mean 70 bp. BTC: 47 episodes, median gross 52 bp, mean 68 bp. That makes about 100 episodes in total. Cost per episode on the hedged notional: spot round trip 0.20% plus perp round trip 0.10% = 0.30%, so the expected net is about +0.25-0.40% per episode on the hedged notional, roughly 2x cost on the mean. The measurement is gross of slippage, and the events cluster in 2021 and 2024 bull phases. The backtest decides; these numbers are predictions only. RISK CONTROL ROUTE (b): signal and time exits with capped, unlevered sizing. Each pair's spot leg is at most 40% of equity, and its perp short is the same coin quantity (≤40% notional at 1x). Combined gross across both pairs is at most 160% of equity, while net delta is about 0. Intended realized volatility is about 3-8% annualized. EVALUATION NOTE FOR THE ANALYST: each episode closes TWO positions (spot long, perp short) whose price PnLs largely cancel. Read per-position avg_trade_return_pct as roughly half of the episode's net capture on hedged notional. The pre-registered numbers below are stated at the per-position level, and the pair-level figure is about twice that. Funding must be in PnL (the funding ledger for OKX swaps); without it, the carry half of the edge is missing.