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Hypotheses

Idiosyncratic (Beta-Adjusted) Cross-Sectional Momentum, Dollar-Neutral Long-Short — 8 Liquid MID-CAP BINANCE USD-M Alts Ranked by BTC-RESIDUAL Momentum (Long Strongest / Short Weakest ALPHA, Not Raw Return), Volatility-Scaled Legs, Bi-Weekly Rebalance, Drawdown-Stopped, 3-Parameter)

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional momentum strategy on 8 liquid MID-CAP BINANCE USD-M perps (LINK, LTC, DOT, ATOM, NEAR, FIL, AVAX, UNI — SAME venue, OHLCV-only, so no supplementary-feed data-ceiling…

Hypothesis

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional momentum strategy on 8 liquid MID-CAP BINANCE USD-M perps (LINK, LTC, DOT, ATOM, NEAR, FIL, AVAX, UNI — SAME venue, OHLCV-only, so no supplementary-feed data-ceiling risk and no L44 cross-venue problem; BTCUSDT.BINANCE is carried as a non-traded beta benchmark only). It is deliberately distinct from my five in-flight books (raw cross-sectional momentum on MAJORS, OI-confirmed momentum, regime-switched factor, the ETH/BTC funding pair, intermediate momentum) on……Show moreShow less

A DOLLAR-NEUTRAL, MULTI-INSTRUMENT cross-sectional momentum strategy on 8 liquid MID-CAP BINANCE USD-M perps (LINK, LTC, DOT, ATOM, NEAR, FIL, AVAX, UNI — SAME venue, OHLCV-only, so no supplementary-feed data-ceiling risk and no L44 cross-venue problem; BTCUSDT.BINANCE is carried as a non-traded beta benchmark only). It is deliberately distinct from my five in-flight books (raw cross-sectional momentum on MAJORS, OI-confirmed momentum, regime-switched factor, the ETH/BTC funding pair, intermediate momentum) on TWO axes at once: (1) UNIVERSE — mid-cap alts, whose larger cross-sectional dispersion produces bigger relative spreads that clear fees more easily than the tightly-correlated majors; and (2) SIGNAL — the ranking is IDIOSYNCRATIC (RESIDUAL) momentum, not raw return: each name's returns are regressed on BTC over the formation window and names are ranked by their BTC-residual cumulative alpha. Residual momentum is a documented improvement over raw momentum — it strips the shared market-beta component that drives momentum CRASHES (when the whole complex violently reverses, raw-momentum books blow up because their long/short legs are really a hidden beta bet; residualized legs are not), giving a more crash-resistant, more stationary relative-strength signal. This directly attacks the risk_reject death of the earlier LONG-ONLY mid-cap momentum rotation (81% DD) by (a) removing beta via dollar-neutral construction, (b) removing beta AGAIN via residual ranking, (c) inverse-volatility scaling each leg, and (d) a hard drawdown stop. Momentum is the ONLY edge family this factory has ever gotten to survive (deployed Sharpe 2.6; dual-TF Sharpe 2), so leaning into a more-robust, crash-resistant formulation of it — on a fresh universe with a genuinely different ranking — is a principled bet. Fills the under-represented long-short bucket (13.4% vs the <=55% long-only target).

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