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All hypotheses

Hypotheses

Intermediate-Horizon Cross-Sectional Momentum, Dollar-Neutral Long-Short — LOW-TURNOVER Monthly Rotation across 10 BINANCE USD-M Perps (Rank by 60-Day Return Skipping the Last 3 Days to Avoid Short-Term Reversal Contamination, LONG Top-3 / SHORT Bottom-3, Volatility-Scaled Legs, Beta-Neutral, 3-Parameter)

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional MOMENTUM strategy on 10 liquid BINANCE USD-M perps (BTC, ETH, SOL, BNB, XRP, ADA, AVAX, LINK, DOGE, LTC — all SAME venue, OHLCV-only, so no supplementary-feed…

Hypothesis

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional MOMENTUM strategy on 10 liquid BINANCE USD-M perps (BTC, ETH, SOL, BNB, XRP, ADA, AVAX, LINK, DOGE, LTC — all SAME venue, OHLCV-only, so no supplementary-feed availability ceiling like the L/S-ratio feed that just killed the retail-crowd hypothesis, and no L44 cross-venue problem). It deliberately leans into the ONLY edge family this factory has ever gotten to survive — cross-sectional relative-strength momentum is the deployed Sharpe-2.6 strategy, and……Show moreShow less

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional MOMENTUM strategy on 10 liquid BINANCE USD-M perps (BTC, ETH, SOL, BNB, XRP, ADA, AVAX, LINK, DOGE, LTC — all SAME venue, OHLCV-only, so no supplementary-feed availability ceiling like the L/S-ratio feed that just killed the retail-crowd hypothesis, and no L44 cross-venue problem). It deliberately leans into the ONLY edge family this factory has ever gotten to survive — cross-sectional relative-strength momentum is the deployed Sharpe-2.6 strategy, and dual-timeframe momentum is the Sharpe-2 paper survivor — while being engineered specifically against the two failure modes that killed the recent momentum variants: (1) FEE DEATH: the weekly spot rotations died because BINANCE_SPOT's ~0.20% round-trip on weekly turnover ate the edge; this trades PERPS (~0.10% RT) and rebalances only MONTHLY (~21 days), cutting turnover ~4x so per-trade edge clears fees with room; (2) OVERFIT DEATH: the single-name and short-formation variants died as best-of-N noise on thin trade counts; this uses a 60-day INTERMEDIATE formation (the most robust momentum horizon, less regime-fragile than 30-day) across a 10-name cross-section, giving a broad, diversified signal rather than a thin single-name bet, and only 3 parameters. It SKIPS the most recent 3 days of the formation window to avoid contaminating momentum with the opposing short-term-reversal effect (classic 12-1 style construction). Running it DOLLAR-NEUTRAL strips the crypto beta that produced the 46-81% drawdowns and negative expectancy in the long-only equal-weight blowups, and fills the under-represented long-short bucket (13.4% vs the <=55% long-only target). It is distinct from my in-flight flow-confirmed cross-sectional momentum book (that overlays an OPEN-INTEREST confirmation on a shorter horizon; this is PURE price momentum at a 60-day intermediate horizon with monthly turnover and no supplementary overlay) and from the dead weekly SPOT rotations (wrong venue/fees, long-only) and the dead risk-parity/BAB variants (different ranking).

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