MultiAssetSameVenueExtremeFundingCarryBasket8Neutral

Multi-Asset Same-Venue Extreme-Funding Cash-and-Carry Basket (Long Binance Spot + Short Binance USD-M Perp per Asset, Each Gated on Its OWN Extreme Funding, Delta-Neutral, Continuous-Coverage Reframe of the Validated Single-Asset Carry)

A MARKET-NEUTRAL, MULTI-INSTRUMENT funding-carry BASKET that deploys the factory's ONE validated, fee-clearing, delta-neutral edge — the SAME-VENUE extreme-funding cash-and-carry (long BINANCE_SPOT + short BINANCE USD-M perp, gated to EXTREME positive funding) — across ~8 deep-funding-history Binance majors (BTC, ETH, SOL, BNB, XRP, ADA, DOGE, LINK), each leg spot-hedged on the SAME exchange. This is the explicit, repeatedly-escalated Research-Lead reframe of the abandoned single-asset versions (BtcCashAndCarryFundingArbExtreme4H et al.): those were genuinely sound and fee-clearing (Sharpe 7.84, PF 1.15, real two-sided drawdowns, neutral book) but FAILED only because single-asset BTC/ETH extreme funding is REGIME-DORMANT (clustered in 2020-2021), leaving the recent walk-forward/holdout windows with ZERO trades. POOLING many assets fixes exactly that and nothing else: different alts spike funding at different times, so in essentially every window SOME asset is in an extreme-funding regime → continuous, walk-forward/holdout-validatable trading while preserving the unchanged fee-clearing EXTREME gate. The book is delta-neutral per asset (equal base-quantity matched legs) and market-beta-stripped overall, giving a return stream uncorrelated with the portfolio's directional momentum books (which the 85.4%-long-only portfolio structurally lacks). It is SAME-VENUE (Binance spot + Binance perp), avoiding the 6×-confirmed cross-venue basis/funding-spread fee-domination wall, and uses only credited linear-venue funding (no COIN-M, no Hyperliquid, no cross-venue differential).

The explicit, repeatedly-escalated reframe of the abandoned single-asset extreme-funding cash-and-carry (BtcCashAndCarryFundingArbExtreme4H et al.): those were genuinely sound and fee-clearing (Sharpe 7.84, PF 1.15, real two-sided drawdowns, neutral book) but FAILED only because single-asset BTC/ETH extreme funding is REGIME-DORMANT (clustered in 2020-2021), leaving recent walk-forward/holdout windows with ZERO trades. Pooling 8 assets fixes exactly that and nothing else: different alts spike funding at different times, so in essentially every window SOME asset is in an extreme-funding regime -> continuous, validatable trading, while preserving the unchanged fee-clearing EXTREME gate. Per-asset gating and accrual use funding_rates_by_instrument so each leg is charged/gated its OWN funding, not the primary symbol. The book is delta-neutral per asset (equal USD notional) and market-beta-stripped overall, giving a return stream uncorrelated with the 85.4%-long-only portfolio. SAME-VENUE (Binance spot + Binance perp) avoids the 6x-confirmed cross-venue basis/funding-spread fee-domination wall, and uses only credited linear-venue funding (no COIN-M, no Hyperliquid, no cross-venue differential). capital_frac=0.11 across 8 books caps total spot notional near 1x equity (spot CASH, no leverage); leverage=1.0 and sizing uses capital_frac not leverage, so no unused-leverage gate triggers. 3 edge parameters resist walk-forward overfitting.

The multi-asset reframe is empirically falsified for the second time (5-asset and now 8-asset), and this instance is near-redundant with a sibling already iterating on the only remaining fix. Funding IS credited and the mechanism clears fees (sum funding +$72,705 vs -$21,532 basis residual, ~+$35k net realized, market-neutral), but pooling 8 majors did NOT achieve the promised continuous coverage: 84% of entries fall in 2020/2021 and there are ZERO in 2022/2025/2026 (last trade 2024-12), identical to the 5-asset version (b374fac1). Major-coin EXTREME funding (>=0.0005/8h) is correlated and regime-clustered — all majors spike together in bull manias and all go quiet otherwise — so adding assets does not decorrelate the funding regime. Consequently the recent walk-forward/holdout windows are empty, which is the exact zero-OOS-trades failure that abandoned the single-asset BTC 4H sibling post-optimization (0942f308: holdout_sharpe 0.0, is_overfitted with [0,0,13] OOS). Not iterate: the only remaining lever — verify whether funding supplementary data is truncated at ~end-2024 (data bug, fixable) vs genuinely compressed (structural), and if data is complete, lower the extreme gate to catch moderate alt-funding in recent regimes while confirming per-trade carry still clears the ~0.20% two-leg fee — is ALREADY prescribed and pending on the 5-asset sibling (b374fac1); iterating this 8-asset duplicate would run the same data-coverage + lower-threshold experiment a second time in parallel. If the sibling's data/threshold investigation revives the family, it revives there; this redundant instance should be retired. FAILURE PATTERN (now confirmed across single-asset, 5-asset, and 8-asset): same-venue extreme-funding cash-and-carry clears fees and is genuinely neutral, but the fee-clearing EXTREME gate fires only in 2020/2021-style bull manias across ALL majors simultaneously (correlated funding), so no number of pooled assets produces 2025/2026 trades — the recent holdout is empty regardless of basket size, and a high full-period Sharpe cannot rescue it. The mechanism belongs on a richer-funding instrument with a lower gate (the ETH spot-perp sibling that promoted), not on a wider extreme-gated major basket.

Market-neutral multi-instrument SAME-VENUE extreme-funding cash-and-carry basket across 8 deep-funding-history Binance majors (BTC, ETH, SOL, BNB, XRP, ADA, DOGE, LINK). For each asset, when its OWN 8h Binance USD-M perp funding (read per-leg from the funding_rates_by_instrument supplementary series, fallback funding_rates) is EXTREME (>= funding_entry, default 0.05%/8h ~= 54.75% APR) the strategy opens an independent delta-neutral cash-and-carry: LONG the spot (BINANCE_SPOT) + SHORT an equal-USD-notional USD-M perp (BINANCE). Each 8h settlement the perp short receives the rich funding while the matched spot long cancels price exposure; the book is held only while that asset funding stays elevated (closed when funding <= funding_exit, default 0.01%/8h, or a frozen max-hold / per-book PnL kill switch fires). Books are fully independent per asset. All 16 legs (8 spot + 8 perp) run on 4-HOUR bars (cleanly straddling the 8h settlement) and are managed uniformly from calculate_signal via direct per-leg order submission; the base single-position hooks are intentionally inert. calculate_signal returns the max basket funding (continuous, varying). 3 edge parameters (funding_entry, funding_exit, capital_frac); asset list, smoothing and backstops frozen. With no funding data, no book opens (no price-pattern fallback).

Mechanism clears fees and is credited: funding +$72,705 dominates the -$21,532 basis residual (~+$35k net realized), 0 open legs, market-neutral (beta -0.003) — the same-venue cash-and-carry edge is real.

Well-distributed across the 8 assets (ADA 110, SOL/XRP 94, DOGE 90, BNB 84, ETH 80, LINK 78, BTC 48), clean low-tail distribution (skew -0.48), low max_drawdown (8.5%).

Reframe FALSIFIED: 84% of entries in 2020/2021, ZERO in 2022/2025/2026 despite 8 assets — pooling does NOT decorrelate the funding regime; major-coin extreme funding is correlated and confined to bull manias.

Recent holdout/walk-forward windows will be empty (no 2025/2026 trades) — the exact zero-OOS-window failure that abandoned the BTC siblings (0942f308 post-optimization, holdout 0.0).

Near-redundant with the 5-asset sibling (b374fac1) already in an iterate loop testing the only remaining lever (verify funding-data coverage to 2026 + lower threshold on alts) — iterating this duplicate runs the same experiment twice.

Headline total_return -8.34% / end_unrealized -33.9% is the recurring MTM/accounting artifact (judge on realized, which is positive) — not the blocker, but adds noise.

empty recent holdout/WF windows

non-degenerate validation

+$72,705 vs -$21,532 residual

funding dominates

0 trades 2022/2025/2026; 84% in 2020/2021

continuous incl. recent

MultiAssetSameVenueExtremeFundingCarryBasket8Neutral pooled the validated same-venue cash-and-carry across eight Binance majors, each leg gated on its own extreme funding, explicitly to fix the single-asset regime dormancy that had clustered trades in 2020/2021. The edge was real — funding +$72,705 credited, ~+$35k net realized, fully neutral with an 8.5% drawdown — but the reframe failed: 84% of entries still fell in 2020/2021 with none after 2024 because major-coin extreme funding is correlated and mania-bound, leaving recent validation windows empty. The analyst ruled it falsified for the second time and near-redundant with a 5-asset sibling already testing the only remaining lever (funding-data coverage + a lower alt gate), directing any revival there. It ended after one iteration as abandoned, never advancing to optimization or risk review.

Confirmed across single-asset, 5-asset, and now 8-asset versions: same-venue extreme-funding cash-and-carry clears fees and is genuinely neutral, but the fee-clearing EXTREME gate fires only in 2020/2021-style manias across ALL majors simultaneously, so no basket size produces 2025/2026 trades and the recent holdout is empty regardless — the mechanism belongs on a richer-funding instrument with a lower gate (the promoted ETH spot-perp sibling), not a wider extreme-gated major basket.

It was abandoned at the pre-optimization backtest-review gate (verdict: abandon) because the central reframe was empirically falsified — pooling 8 majors did NOT decorrelate the funding regime (major-coin extreme funding is correlated and confined to bull manias, so all assets spike together and go quiet together), leaving empty recent holdout/walk-forward windows; it was also near-redundant with a 5-asset sibling already iterating on the only remaining fix, so optimization and later stages were never reached.

A market-neutral, multi-instrument same-venue extreme-funding cash-and-carry basket across 8 Binance majors (BTC, ETH, SOL, BNB, XRP, ADA, DOGE, LINK) — for each asset independently, when its own 8h perp funding was extreme (≥0.05%/8h), longing BINANCE_SPOT and shorting an equal-notional BINANCE USD-M perp to harvest the rich funding delta-neutrally — the escalated multi-asset reframe of the validated single-asset carry, pooling assets to cure the single-asset regime dormancy and deliver continuous, validatable coverage.

Across 678 trades (339 spot/perp pairs) well-distributed over the 8 assets, the mechanism cleared fees and was market-neutral (funding +$72,705 vs -$21,532 basis residual, ~+$35k net realized, beta -0.003, max drawdown 8.5%, skew -0.48), but coverage was not continuous: 84% of entries fell in 2020/2021 with ZERO in 2022/2025/2026 (last trade 2024-12); the -8.34% headline / -33.9% end-unrealized is the recurring MTM accounting artifact against positive realized PnL.