BtcCrossVenueFundingRateDifferentialCarryNeutral1H

BTC Cross-Venue Funding Rate Differential Carry (Binance vs Hyperliquid, 1H Monitoring, Market-Neutral)

A delta-neutral CROSS-VENUE funding-rate-differential carry strategy on BTC perpetuals. Continuously monitors the normalized 8h-equivalent funding rate differential between BTCUSDT.BINANCE (funding accrues every 8h) and BTCUSD.HYPERLIQUID (funding accrues hourly). When the differential exceeds entry_threshold, opens opposing equal-dollar-notional positions: short the high-funding venue + long the low-funding venue, collecting the funding spread while remaining net-zero on BTC price exposure. Closes when differential mean-reverts. This is a structurally different mechanism from BtcInterExchangeBasisMR (which trades the PRICE basis between venues) — this trades the FUNDING RATE differential, which is a distinct mechanically-driven cash flow. Hyperliquid funding rates are documented as substantially more volatile than Binance funding because: (1) HL's funding rate has a higher cap (1.0% vs 0.75%) and recalculates hourly versus Binance's 8h cycle, (2) HL has thinner depth and retail-heavy flow producing more extreme funding regime shifts during sentiment swings, (3) HL's predicted_fundings stream provides forward-looking divergence signals. When extreme HL funding diverges from Binance, the spread reliably mean-reverts over 12-36h as cross-venue arbitrageurs close the gap. FILLS MULTIPLE UNDER-REPRESENTED PORTFOLIO BUCKETS: HYPERLIQUID (4.8% vs ≥20% target), cross-venue (6% vs ≥15% target), long_short market-neutral (12.3% vs ≤55% long-only target). KEY DESIGN DISCIPLINE LEARNED FROM RECENT FAILURES: only 4 hypothesis-declared tunable parameters, every other internal constant hard-coded to prevent parameter bloat. Symmetric reward/risk via small fixed stop on basis divergence (no asymmetric TP<SL). Mechanism class proven structurally sound (funding carry is one of the few mechanically-guaranteed cash flows in crypto), distinct from the failed mechanism classes this session (BB-MR, volume-confirmed breakout, multi-week trend following, drawdown accumulation cross-asset transfer, volume-surge momentum continuation).

Implements the hypothesis's cross-venue funding-rate-differential carry (distinct from the price-basis trade). I verified the data this session: HL BTC funding (hl_funding_rates) is hourly with history 2025-03→2026-05; Binance BTCUSDT funding (funding_rates) is 8h with history 2020→2026-04; HL BTCUSD 1-HOUR bars span 2025-10→2026-05, fully inside the dual-funding-coverage window — so the backtest runs where BOTH funding legs exist, avoiding the empty-HL-funding window that causes a 'only 1 entry / non-evaluable' result. From the real overlap I measured the 8h-equivalent differential: mean|diff|≈0.7bps, with |diff|≥0.0002 (the entry default) occurring ~4% of hourly bars — enough distinct mean-reversion episodes to be evaluable. Crucially I use the economically correct carry polarity: carry of (long A + short B) per period = rate_B − rate_A, so the strategy SHORTS the higher-funding venue (receives the rich funding) and LONGS the lower one; QA checks signal polarity, so the sign is what makes the carry positive rather than negative. Both legs are MARGIN futures venues, enabling genuine long+short and delta-neutrality via equal dollar notional. The funding-series parsers are module-level functions (not methods) so the Layer-2 proxy's MethodType rebinding can't strip their arity, and uses hl_funding_rates (historical) rather than hl_predicted_fundings (a forward snapshot with no history that would void all backtest trades). Two-leg execution overrides _submit_entry/_submit_exit (not on_bar), preserving the base class's correct position-lookup and warmup handling. Exactly 4 tunables with all operational constants hard-coded to prevent parameter bloat, and a symmetric combined-PnL stop (no asymmetric TP<SL). Leverage stays 1.0 (per-leg 0.30 → gross 0.60 < 1×) and is referenced consistently in sizing, avoiding the leverage_set_but_unused gate. A generous 5-day max hold lets the thin carry accumulate against the ~19bps round-trip taker cost; built-in coverage/differential diagnostic logs let the analyst confirm net fee viability.

Edge structurally below trading costs on BTC — NOT a funding-creditability issue (funding is credited: +$90.4 collected, visible in trade records). The cross-venue funding differential captures only ~$5.32/pair while the two-leg taker round-trip costs ~$57.12/pair (~11x), and the legs fail to hedge (total price_pnl -$1,279.7, a consistent one-way leak that also explains the 81.7% drawdown on a 'neutral' book). Net -$1,189 (+90 funding -971 commission -1,280 leakage); even a perfect hedge still loses -$881. Optimizing the 4 params cannot close an 11x fee-to-edge gap — raising entry_diff_8h to a fee-beating level would leave ~0 trades because BTC's cross-venue funding differential is kept tight by arbitrage. NOTE FOR RESEARCH LEAD: the funding-carry mechanism class is valid and credited; the failure is the TARGET, not the premise. To retry, reframe onto a high-funding ALTCOIN perp with persistent, large venue funding skew (where the 8h-equivalent differential routinely exceeds the round-trip fee), with far fewer round-trips (longer minimum holds so accrued carry >> fees) and ideally maker entries to cut the cost base. As-is on BTC the instance is dead.

Market-neutral cross-venue funding-rate-differential carry on BTC: equal-dollar-notional opposing perp positions on Binance USD-M (BTCUSDT.BINANCE, 8h funding) and Hyperliquid (BTCUSD.HYPERLIQUID, hourly funding), monitored on 1-HOUR bars. Each bar it reads both historical funding series from supplementary_data (funding_rates for Binance, hl_funding_rates for Hyperliquid — both flat {ns:rate} dicts), normalizes to an 8h-equivalent (binance_8h = rate; hl_8h = hl_rate*8), and computes diff_8h = binance_8h − hl_8h. When diff_8h ≥ +entry_diff_8h (Binance richer) it SHORTS Binance + LONGS HL; when diff_8h ≤ −entry_diff_8h (HL richer) it LONGS Binance + SHORTS HL — always shorting the higher-funding venue so the collected funding carry is positive while staying delta-neutral on BTC price. It holds (collecting the spread) until the differential mean-reverts below exit_diff_8h (after a min hold), a 5-day time stop, or a symmetric combined-PnL stop. If either funding series is missing at a bar it goes flat (no price-proxy fallback). 4 tunables: entry_diff_8h, exit_diff_8h, per_leg_pct, stop_loss_pct.

Mechanism is structurally sound and funding IS credited by the engine (funding column populated, +$90.4 total over 17 pairs) — this is a genuine result, not the uncreditable-carry artifact.

Trades match the hypothesis: balanced 17 long + 17 short equal-notional pairs, opposite legs across Binance/HL, market-neutral intent implemented correctly.

Disciplined design (4 tunable params, symmetric stop) as claimed.

Fee domination: avg funding captured $5.32/pair vs avg commission $57.12/pair (~11x). The BTC cross-venue funding differential is far too small to clear the ~19bps two-leg taker round-trip.

Hedge leakage: total price_pnl is -$1,279.7 — the 'delta-neutral' legs do NOT offset (consistent one-way ~-$75/pair), the largest single loss component, driving the implausible 81.7% max drawdown on a supposedly neutral book.

Every month negative (2025-10 through 2026-04), total_return -44.6%, Sharpe -15.2, profit_factor 0.77, avg_trade_return deeply negative. Net -$1,189 = +$90 funding - $971 commission - $1,280 price leakage.

Even a perfect (zero-leakage) hedge nets -$881 — the carry cannot pay its own transaction costs on BTC.

BtcCrossVenueFundingRateDifferentialCarryNeutral1H harvested the BTC funding-rate differential between Binance USD-M and Hyperliquid, longing the cheaper-funding venue and shorting the richer one in equal dollar notional to stay delta-neutral. The implementation was correct — 17 balanced long+short pairs with funding genuinely credited (+$90.4) — but the economics were hopeless: carry captured ~$5.32/pair versus ~$57.12/pair in commissions, and the legs failed to offset, leaking -$1,279.7 in price PnL and driving an 81.7% drawdown to a -44.6% return and -15.17 Sharpe. The analyst confirmed this was a target failure, not a premise failure: the cross-venue BTC funding spread is arbitraged too tight to pay its own ~19bps round-trip costs. It ended after one iteration as abandoned, never reaching optimization or risk review, with a note to retry the mechanism on a high-funding altcoin pair.

The funding-carry mechanism class is valid and properly credited, but BTC across the two most-arbitraged venues keeps the differential too tight (~$5/pair) to clear the ~19bps two-leg round-trip; retry only on a high-funding altcoin perp with persistent large venue funding skew, far longer holds so accrued carry exceeds fees, and ideally maker entries to cut the cost base.

It was abandoned at the pre-optimization backtest-review gate (verdict: abandon) as a structural edge-below-cost failure — every month was negative, all four metric criteria failed, and even a perfect zero-leakage hedge still nets -$881 — so optimizing the four parameters cannot close the gap and optimization plus all later stages were never reached.

A delta-neutral cross-venue funding-rate-differential carry on BTC perpetuals that shorts the richer-funding venue and longs the cheaper one between BTCUSDT.BINANCE (8h funding) and BTCUSD.HYPERLIQUID (hourly funding), normalized to an 8h-equivalent differential, to harvest the funding spread while staying net-zero on BTC price, filling the under-represented Hyperliquid, cross-venue, and long_short market-neutral buckets.

Over 28 days of dual-funding coverage and 34 trades (17 balanced long+short pairs) it was decisively negative: total return -44.6%, Sharpe -15.17 (CI [-22.0, -10.4]), profit factor 0.77, expectancy -$34.98/trade, win rate 47%, and an 81.7% max drawdown on a supposedly neutral book — funding was genuinely credited (+$90.4) but captured only ~$5.32/pair against ~$57.12/pair in commissions (~11x), with hedge leakage adding -$1,279.7 of one-way price PnL.