BtcCoinMUsdmFundingBasisRelativeValueNeutral

BTC Coin-Margined vs USD-Margined Funding-Basis Relative Value, Delta-Neutral Cross-Venue (Short the Higher-Funding BTC Perp / Long the Lower-Funding BTC Perp Across BINANCE_CM and BINANCE USD-M, Harvest the Persistent Inter-Margin Funding Spread, 2-Parameter)

A MARKET-NEUTRAL relative-value strategy that harvests the persistent FUNDING-RATE SPREAD between Binance's two BTC perpetuals with structurally different collateral bases: the COIN-margined inverse perp (BTCUSD_PERP.BINANCE_CM, margined and settled in BTC — dominated by miners and long-term holders) and the USD-margined linear perp (BTCUSDT.BINANCE — dominated by leveraged USDT traders). Because the two contracts track the same BTC index but have a different participant mix and a different collateral/PnL currency, their 8-hour funding rates persistently diverge. When one perp's funding runs materially richer than the other's, you SHORT the richer-funding perp and go LONG an equal-USD-notional of the cheaper-funding perp; the two BTC-price exposures cancel (delta ≈ 0) while you collect the funding differential 3x/day until it normalizes. This is NOT a momentum/OHLCV directional bet (the dead BTC-perp classes L9/L38/L41), NOT a single-leg option VRP short (which just timed out in verification), and NOT the spot-perp funding carry already in the pipeline — the edge is the CROSS-CONTRACT funding SPREAD, a distinct structural cash flow. Fills three of the most under-represented portfolio buckets at once: BINANCE_CM venue (3.2% vs ≥5% target), cross-venue scope (6.8% vs 15%), and market-neutral direction (13.3% long_short). Deliberately low-parameter (spread entry + exit thresholds) to resist the overfit/deflated-Sharpe deaths.

verifying_stuck_3_timeouts

BtcCoinMUsdmFundingBasisRelativeValueNeutral sought to harvest a persistent funding spread between Binance's COIN-M and USD-M BTC perps as a delta-neutral pair. Across three iterations it hit a hard verification wall: the USD-M leg's per-instrument funding is never generated on the inline Layer-3 supplementary path, so the pair could never open, and threshold loosening (the literal fix requested) could not reach a series that wasn't there. The developer then measured the real data directly and refuted the premise — both contracts' funding derive from the same index premium and formula, leaving a near-zero spread 55-200x underwater against the ~0.20% pair round trip. It was ultimately abandoned as 'verifying_stuck_3_timeouts', never reaching a backtest, with both an infrastructure blocker and a falsified edge documented.

Two perpetuals whose funding is computed from the same index premium and formula have no harvestable funding spread regardless of differing collateral currency — verify the economic input actually diverges before building a relative-value book; and a cross-leg edge is untestable if the second leg's per-instrument funding series isn't provided on the sandbox's supplementary-data path.

It was abandoned for 'verifying_stuck_3_timeouts': the verification stage failed to complete after three timeouts across three iterations, so it never cleared to a valid backtest, review, optimization, or analysis. Substantively, the premise was also refuted by the developer's direct measurement — Binance computes both contracts' funding from the same BTC index premium with the same formula, so no persistent inter-margin differential exists to harvest and the tiny spread is far below the two-leg round-trip cost.

A market-neutral, cross-venue relative-value strategy that shorted the richer-funding and longed the cheaper-funding of Binance's two BTC perpetuals — the COIN-margined inverse (BTCUSD_PERP.BINANCE_CM) and the USD-margined linear (BTCUSDT.BINANCE) — in equal USD notional (delta ≈ 0) on the 8h funding grid, aiming to harvest the persistent inter-margin funding-rate spread until it normalized.

The developer's own measurement over 305 matched 8h prints (2025-05-25 to 2026-05-02) showed the spread mean was +0.0038 bps — indistinguishable from zero — and simulating the exact rules harvested only ~0.0022-0.0036% gross per trade against a ~0.20% pair round trip (55-200x underwater), with total accrual of ~0.23% over 11 months (about one round trip). It also could not run in the sandbox: the USD-M leg's funding (funding_rates_by_instrument) is structurally absent from the inline Layer-3 supplementary path, so the pair never opened.

Verification failed (Layer 3 — sandbox backtest): No trades produced Bar type used: BTCUSD_PERP.BINANCE_CM-8-HOUR-LAST-EXTERNAL, Bars processed: 6384 Diagnostics: should_enter() returned a side 0 times over 6380 evaluated bars -> your ENTRY CONDITION never triggered. Loosen the entry logic / thresholds. Ensure your strategy produces trades with the given data and parameters.