HYPERLIQUID Cross-Sectional Momentum — Wide-Universe Quintile Long/Short Factor (18-Asset, Daily Bars, Dollar-Neutral, 12-1 Momentum)

Hypothesis

Diversified cross-sectional momentum factor across ~18 liquid HYPERLIQUID perps. On daily bars, each rebalance compute the 12-1 momentum score for every asset = trailing 30-day return SKIPPING the most recent 2 days (avoids short-term reversal contamination). Rank the universe, then go LONG an equal-weighted basket of the TOP quintile (~4 names) and SHORT an equal-weighted basket of the BOTTOM quintile (~4 names). Hold dollar-neutral at gross exposure ~1.0 (0.5 long + 0.5 short), rebalance weekly but only trade names that CROSS a quantile boundary to minimize turnover/fee drag. This is the same Jegadeesh-Titman / Liu-Tsyvinski-Wu cross-sectional momentum premium as the prior attempt, but rebuilt for BREADTH: ~8 simultaneous positions averaging across many idiosyncratic moves instead of a single long/single short whose PnL was dominated by 1-2 outlier names. Fills under-represented buckets: HYPERLIQUID venue, MULTI scope, and market-neutral direction.