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Hypotheses

Binance SPOT Long-Only Cross-Sectional Relative-Strength Rotation across 8 Liquid Majors, BTC-Regime-Gated to Cash (Weekly Rebalance, Single 28-Day Momentum Rank, No Leverage, 2-Parameter)

A LONG-ONLY, SPOT, weekly-rebalanced cross-sectional momentum rotation across a fixed universe of 8 liquid Binance spot majors: BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, LINKUSDT, DOGEUSDT (all…

Hypothesis

A LONG-ONLY, SPOT, weekly-rebalanced cross-sectional momentum rotation across a fixed universe of 8 liquid Binance spot majors: BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, LINKUSDT, DOGEUSDT (all .BINANCE_SPOT). This is the SPOT analog of the factory's one surviving long rotation ('Cross-Sectional Momentum Weekly Rotation across Eight Major Crypto Perpetuals Long', 2.63 Sharpe, reached paper) — but relocated to the under-represented BINANCE_SPOT venue (10.3% vs 15% target), naturally long-only, zero……Show moreShow less

A LONG-ONLY, SPOT, weekly-rebalanced cross-sectional momentum rotation across a fixed universe of 8 liquid Binance spot majors: BTCUSDT, ETHUSDT, SOLUSDT, BNBUSDT, XRPUSDT, ADAUSDT, LINKUSDT, DOGEUSDT (all .BINANCE_SPOT). This is the SPOT analog of the factory's one surviving long rotation ('Cross-Sectional Momentum Weekly Rotation across Eight Major Crypto Perpetuals Long', 2.63 Sharpe, reached paper) — but relocated to the under-represented BINANCE_SPOT venue (10.3% vs 15% target), naturally long-only, zero leverage, zero funding cost, and driven purely by reliable OHLCV daily bars (no funding/liquidation/options/tick feed that has caused 23 data_unavailable and 53 verification_loop deaths). Mechanism: each Monday close, rank the 8 names by trailing 28-day total return, hold the TOP 3 equal-weight (~30% equity each), and rotate weekly. A single regime gate keeps ALL capital in cash (USDT) whenever BTCUSDT closes below its 100-day SMA, so the book is fully flat in bear regimes — this is the drawdown-control mechanism that pure momentum baskets lack. Deliberately 2 tunable parameters (rank lookback = 28d, regime SMA = 100d) with fixed top-3 / weekly cadence to resist the overfit deaths (202x) that killed multi-parameter trend baskets. Per L12: the historical WEEKLY cross-sectional return spread between the top-decile and bottom-decile major is typically 8-15% (crypto majors routinely disperse >10%/week), and turnover is ~1-3 legs/week, so gross dispersion (~800-1500 bps) dwarfs the fee cost of rebalancing (2-3 legs x ~0.20% RT = 40-60 bps). Not a market-neutral basket (which has 0/53 survival) — it is a long-or-cash directional rotation, the exact structure that survived on futures.

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