BtcInterExchangeFundingDifferentialCarryDeltaNeutralLS1H

BTC Inter-Exchange Funding-Rate Differential Carry (Binance USD-M vs Hyperliquid Perp, Delta-Neutral Long-Short)

A delta-neutral, cross-venue, two-leg carry strategy that harvests the persistent FUNDING-RATE DIFFERENTIAL between the BTC perpetual on Binance USD-M and the BTC perpetual on Hyperliquid. The two venues have different participant mixes (Binance: global retail + institutional; Hyperliquid: on-chain/DeFi-native flow), so their 8-hour funding rates routinely diverge while their mark prices stay tightly coupled (both track the same BTC spot index, basis typically < 0.10%). When venue A's funding is materially higher than venue B's, a trader who is LONG the cheaper-funding venue and SHORT the richer-funding venue collects the net funding differential each period while carrying ~zero net price exposure. This is NOT a price-pattern strategy (the class that has repeatedly failed this session) — it is a structural cash-flow harvest. It is also mechanically distinct from the in-pipeline ETH spot-perp funding-basis carry: this is perp-vs-perp ACROSS two exchanges, capturing the funding DIFFERENTIAL rather than an absolute spot-perp basis. Fills three under-represented quota buckets at once (cross-venue 6.7%→target 15%, HYPERLIQUID 5.8%→target 20%, long_short 14.1% vs long-only 85.9%). Deliberately minimal parameter count (3) to avoid the walk-forward overfitting that abandoned the RSI-bounce and Three-White-Soldiers strategies.

Implements the hypothesis as a structural cash-flow harvest rather than a price pattern. (1) Cross-venue funding DIFFERENTIAL: the signal is Binance-8h minus Hyperliquid-8h-equivalent funding in matched per-8h percent units, thresholded in should_enter against a same-unit threshold (no [-1,1] clipping). (2) Delta-neutral: both legs entered equal-and-opposite in NOTIONAL (HL size = primary notional / HL price) so directional BTC risk cancels and only the differential (plus small basis convergence) is harvested. (3) Perp-vs-perp across two exchanges, mechanically distinct from spot-perp basis carry. (4) Fills cross-venue + HYPERLIQUID + long_short quota buckets, the last from both directions via the symmetric flip. (5) Minimal 3-knob parameterization (entry/exit/position_frac) to resist walk-forward overfitting. (6) Futures venue chosen because the edge is funding-rate-based and the strategy goes both long and short; leverage left at 1.0 with fixed equal-notional sizing for bounded exposure. (7) Atomic hedge validation ensures the Binance leg is never submitted without its HL hedge on the same bar. Note: the backtest engine does not credit funding cash-flows, so realized backtest PnL reflects basis convergence net of fees while funding drives the entry/exit signal — this faithfully tests the differential-detection and neutral-execution logic.

Duplicate of the just-abandoned BtcCrossVenueFundingDivergenceCarryNeutral1H (hypothesis 8043ffed) — functionally identical code and a byte-identical backtest report (-0.194% return, 9 entries, avg_win $244.37 / avg_loss $245.35, Sharpe -13.74, PF 0.80, commission $426.85). The trade-level economics, verified on the identical sibling, are structurally negative: funding IS credited (this is a fair credited-result judgment, not a 'funding invisible' claim), but captured funding differential is ~$2-14 per round-trip pair while two-leg commission is ~$47 — the carry does not clear fees even with a perfect hedge (best pair $11.62 funding still nets -$35 vs commissions before any price effect). On top of that, the 'delta-neutral' legs leave a large residual basis P&L (-$62 to -$108 per pair) that swamps the funding carry by 5-50x. The failure is not tunable: lowering entry_spread_pct (the only knob that would raise the 9-trade count) enters on smaller divergences and captures LESS funding for the same fees; the current threshold already selects the widest divergences and even those don't pay. This is structural to BTC specifically — the most-arbitraged perp has tiny, short-lived cross-venue funding divergences and a Binance-HL basis that moves more than the differential pays, falsifying the hypothesis's 'persistent, material divergence' premise. Also un-optimizable on 9 trades / ~7 months of overlapping HL data. FAILURE PATTERN (now confirmed twice this session on BTC): market-neutral cross-venue Binance-vs-Hyperliquid funding-differential carry on BTC fails because BTC's cross-venue funding differential (~0.01-0.06%/8h of notional) is an order of magnitude too small to clear the two-leg round-trip fee (~0.19%) and is dwarfed by cross-venue basis noise (~0.4%/trade); lowering the entry threshold only reduces the captured carry. This mechanism needs a venue/asset with a persistent, large funding skew (a high-funding alt perp), NOT BTC — the Research Lead should stop re-proposing the BTC inter-exchange funding-differential carry and redirect the cross-venue funding family to high-funding altcoin perps.

Delta-neutral, equal-notional cross-venue funding-differential carry on BTC perps. Primary leg = BTCUSDT.BINANCE USD-M, hedge leg = BTCUSD.HYPERLIQUID, on 1H bars. Each bar it computes the per-8h funding-rate differential (Binance per-8h funding minus Hyperliquid hourly funding scaled x8), in percent. When the differential exceeds the entry threshold (default 0.025%/8h ~= 27% annualized) it SHORTs the richer-funding venue and LONGs the cheaper one, sizing both legs to the SAME notional (equity * position_frac) so net BTC price exposure is ~zero. It exits when the differential converges inside the exit band, or after a max hold. Symmetric: legs flip when the differential reverses sign, so it trades long_short from both sides. Reads funding from `funding_rates` (Binance) and `hl_funding_rates` (Hyperliquid) via nearest-timestamp lookup; stays flat with no price-only fallback when either is missing. Leverage 1.0; atomic two-leg entry prevents naked legs.

Cleanly implemented and genuinely backtestable: funding is credited on both legs, atomic two-leg hedge, no naked legs, fills under-quota cross-venue/HYPERLIQUID/long-short buckets.

Sensible low-parameter design and proper holds (3-17h, not churning), so the trade-level economics are a fair test of the edge.

Identical to the just-abandoned BtcCrossVenueFundingDivergenceCarryNeutral1H (same code, same byte-identical backtest report) — the structural verdict carries over directly.

Funding carry per round trip ($2-14, verified on the identical sibling's trades) is structurally smaller than the two-leg commission (~$47): the edge does not clear fees even with a perfect hedge.

'Delta-neutral' legs leave large residual basis P&L (-$62 to -$108/pair) that swamps the ~$2-14 funding carry by 5-50x.

Only 9 entries over ~7 months of overlapping HL data, exposure 5.28% — not optimizable; lowering entry_spread_pct captures even less funding for the same fees, so there is no robust region to tune toward.

BTC is the most-arbitraged perp; cross-venue funding divergences are structurally tiny, falsifying the 'persistent, materially divergent' premise.

enough for stable optimization

net basis residual $50-110/pair

~0 residual

$2-14 funding vs ~$47 commission

funding > round-trip fees

BtcInterExchangeFundingDifferentialCarryDeltaNeutralLS1H re-proposed the Binance-vs-Hyperliquid BTC funding-differential carry as a delta-neutral pair to fill three under-quota buckets, with clean code and a deliberately minimal parameter set. But it was functionally identical to a strategy abandoned moments earlier — same code, byte-identical backtest (-0.19% return, 9 trades, Sharpe -13.7, PF 0.80) — and the trade-level economics were structurally negative: ~$2-14/pair funding against ~$47 commission, with a basis residual swamping the carry 5-50x. The analyst ruled it a duplicate with no tunable region, structural to BTC specifically, and directed the cross-venue funding family toward high-funding altcoins instead. It ended after one iteration as abandoned, never advancing to optimization or risk review.

Confirmed twice this session: cross-venue funding-differential carry on BTC is a dead target — the most-arbitraged perp's differential (~0.01-0.06%/8h) is an order of magnitude below the ~0.19% two-leg fee and dwarfed by Binance-HL basis noise, and lowering the entry threshold only captures less funding — the cross-venue funding family must be redirected to a high-funding altcoin perp, and re-proposing the BTC version should stop.

It was abandoned at the pre-optimization backtest-review gate (verdict: abandon) as a duplicate of the just-abandoned BtcCrossVenueFundingDivergenceCarryNeutral1H (identical code and backtest report) with the same structural verdict — funding is credited but too small to clear fees even with a perfect hedge, no tunable region exists, and only 9 trades — so optimization and all later stages were never reached.

A delta-neutral cross-venue funding-rate differential carry on BTC perps — longing the cheaper-funding venue and shorting the richer one in equal USD notional between BTCUSDT.BINANCE (USD-M) and BTCUSD.HYPERLIQUID when the per-8h funding differential crossed a threshold — to harvest the funding spread while staying price-neutral, with atomic both-legs-validated entry and a minimal 3-parameter design, filling the cross-venue, Hyperliquid, and long_short quota buckets.

It produced a byte-identical result to its just-abandoned sibling: the spread cleared the threshold only 9 times (18 leg-trades, ~7 months overlapping HL data, exposure 5.28%) with structurally negative economics — profit factor 0.80, Sharpe -13.7 (CI [-23.4, -8.5]), expectancy -$27.7/trade, total return -0.19%, commission 21.8% of gross — capturing only ~$2-14/pair in funding against ~$47 two-leg commission, plus a -$62 to -$108/pair residual basis PnL that swamped the carry by 5-50x.