BtcBinanceHlFundingSpreadCarryDeltaNeutral1H

Inter-Exchange Funding-Spread Carry, BTC Hyperliquid vs Binance USD-M (Delta-Neutral Two-Leg Perp, Long the More-Negative-Funding Venue / Short the More-Positive, Funding-Driven Cross-Venue Mispricing, Low-Parameter)

A MARKET-NEUTRAL, CROSS-VENUE funding-rate arbitrage on BTC perpetuals across two exchanges: BTCUSD.HYPERLIQUID (primary) and BTCUSDT.BINANCE (USD-M perp, hedge leg). Both legs are BTC perps, so equal-and-opposite notional makes the pair delta-neutral — directional BTC price risk cancels and the strategy harvests ONLY the funding-rate DIFFERENTIAL between the two venues. Hyperliquid (hourly funding, retail/degens-heavy flow) and Binance USD-M (8h funding, institution-heavy) persistently price funding differently because their participant bases and liquidity differ; when the spread is wide the carry is structurally positive. This is NOT a single-instrument directional perp trade (which hits the documented over-exposure engine bug) — it is a hedged two-leg carry, the same structural class as the factory's already-successful IntraBinanceSolSpotPerpFundingCarryDeltaNeutral1H, but EXTENDED CROSS-VENUE to fill the cross-venue (6% vs 15% target) and Hyperliquid (8.2% vs 20% target) gaps simultaneously. Deliberately low-parameter (one entry threshold, one exit threshold, one max-hold) to resist overfitting. Sizing is fixed equal-notional per leg at ~40% of equity per leg (delta-neutral net), never scaled by signal strength, never re-multiplied by leverage — explicitly bounded to avoid the over-exposure failure family.

Implements the hypothesis exactly as the same structural class as the validated IntraBinanceSolSpotPerpFundingCarryDeltaNeutral1H (hedged two-leg carry), extended cross-venue to fill the cross-venue and Hyperliquid quota gaps. Two key engineering lessons from the sibling iterations are already baked in: (1) VENUE WIRING — Binance is the PRIMARY leg, not Hyperliquid as the brief suggested, because the backtest's supplementary loader scopes the top-level funding_rates series to the primary venue's exchange filter; with Binance primary, funding_rates resolves to the Binance USD-M series and hl_funding_rates resolves venue-independently by coin, so BOTH legs' funding read correctly (delta-neutrality and the edge are identical regardless of which perp is labelled primary). (2) ATOMIC HEDGE — _submit_entry is overridden to validate that BOTH legs are market-ready and to precompute the equal-notional HL hedge size BEFORE placing either order, so the primary leg is never submitted naked; _submit_exit closes both legs in lockstep. The funding differential is annualized with venue-correct period counts (Binance 8h => 1095/yr, Hyperliquid hourly => 8760/yr) and nearest-timestamp lag tolerances matched to each venue's funding cadence (8h / hourly). There is deliberately NO price-only fallback edge: when either leg's funding is unavailable the signal is 0.0 (flat). Sizing is fixed equal-notional (~40% equity/leg), never scaled by signal or leverage, explicitly bounding exposure to avoid the single-instrument over-exposure failure family. Low-parameter by design — one entry threshold, one exit threshold, one max-hold — to resist overfitting. Routed to futures venues because the strategy holds short perps and the edge is funding-based; leverage stays 1.0 and is not used in sizing, so there is no leverage_set_but_unused mismatch.

No edge after two-venue costs, and not fixable by optimization or further code iteration. The strategy loses money in every month of the sample (Oct-2025 to Jun-2026, -0.55% to -3.72%): total_return -14.0%, Sharpe -4.65, Sortino -3.87, profit_factor 0.76, expectancy -$60/trade, PSR 0.0001. The iteration-2 atomic-hedge fix succeeded — the book is now genuinely delta-neutral (beta 0.0048, end_unrealized -0.44%, no artifact spike), which is precisely why the true carry is visible and it is structurally negative. Fees dominate: commission_pct_of_gross 17.81% ($15.5k commission + $6.9k impact on 450 trades), so the BTC HL-vs-Binance funding differential is smaller than the ~0.19% two-venue round-trip cost it pays each turnover. This is the honest, artifact-free version of the z-scored cross-venue BTC sibling reviewed earlier (same venue pair, same no-edge). NOT iterate: the leg-netting bug is already fixed (iteration 2) and the residual is a structural cost problem, not a code defect a developer can change; tuning entry_apr/exit_apr just trades less of the same negative-after-cost spread. This is NOT a funding-uncreditable false negative — funding IS credited and accrued by the engine; the carry is simply too thin on BTC. Possible Research-Lead reframe (revise_hypothesis): retry the same delta-neutral cross-venue mechanism on a higher-funding-skew instrument (e.g. a high-funding altcoin perp) where the venue differential exceeds two-venue fees. FAILURE PATTERN: cross-venue funding-differential carry on BTC majors (HL vs Binance USD-M) is genuinely market-neutral but structurally unprofitable — the major-coin funding differential is smaller than the ~0.19% two-venue round-trip cost, so the book bleeds every month (PF 0.76, Sharpe -4.65) with fees ~18% of gross; once the leg-netting artifact is fixed the result is a clean, consistent loss, not an optimizable edge.

Market-neutral cross-venue funding-rate carry on BTC perpetuals: BTCUSDT.BINANCE (USD-M, primary leg) versus BTCUSD.HYPERLIQUID (hedge leg), both 1H bars. Equal-and-opposite notional makes the pair delta-neutral, so directional BTC price risk cancels and the strategy harvests only the funding-rate DIFFERENTIAL between the two venues. calculate_signal returns the annualized funding differential (Binance APR minus Hyperliquid APR, in percent) using nearest-timestamp lookups into the supplementary funding_rates (Binance) and hl_funding_rates (Hyperliquid) series. When the differential is wide the strategy SHORTS the richer-funding venue and LONGS the cheaper/more-negative venue; it exits on convergence inside the exit band or after a max-hold cap. Sizing is fixed equal-notional per leg at ~40% of equity, never scaled by signal strength and never multiplied by leverage (leverage 1.0). The two legs are entered atomically — both legs' preconditions are validated before either order is placed — so the book is never left with a naked directional perp.

Iteration-2 atomic-hedge fix works: genuinely delta-neutral now (beta 0.0048, end_unrealized -0.44%, no naked-leg artifact spike), balanced 225 long / 225 short, metrics_reliable=true

Funding reads correctly on both legs and is credited (entry_diag 225 signaled / 225 submitted, no drops); sound low-parameter design

Loses money in EVERY month of the sample (Oct-2025 to Jun-2026, -0.55% to -3.72%); total_return -14.0%, Sharpe -4.65, Sortino -3.87, profit_factor 0.76, expectancy -$60/trade, PSR 0.0001

Fees dominate: commission_pct_of_gross 17.81% ($15.5k commission + $6.9k impact on 450 trades) — the BTC cross-venue funding differential is smaller than the ~0.19% two-venue round-trip cost

No edge to optimize toward: uniformly negative carry net of costs; tuning entry/exit APR cannot flip a fee-dominated bleed positive

> 0 (USD), edge > fees

9/9 months negative

majority positive

BtcBinanceHlFundingSpreadCarryDeltaNeutral1H extended the factory's validated delta-neutral funding-carry class cross-venue, harvesting the BTC funding differential between Hyperliquid and Binance USD-M while filling the cross-venue and Hyperliquid quota gaps. Its iteration-2 atomic-hedge fix succeeded — the book became genuinely delta-neutral with no naked-leg artifact — which is precisely why the true carry became visible and proved structurally negative: it lost in every one of 9 months (Sharpe -4.65, PF 0.76) with fees consuming ~18% of gross, because the BTC differential is smaller than the two-venue round-trip cost. The reviewer abandoned it as the honest, artifact-free version of the earlier z-scored BTC sibling's same no-edge, noting that neither optimization nor further code iteration can flip a fee-dominated bleed. The suggested reframe is to retry the same clean mechanism on a higher-funding-skew instrument where the venue differential could actually clear costs.

Cross-venue funding-differential carry on BTC majors is genuinely market-neutral but structurally unprofitable — the major-coin differential is smaller than the ~0.19% two-venue round-trip cost, so once the hedge artifact is fixed the result is a clean monthly loss; the mechanism should be revisited only on a higher-funding-skew instrument (a high-funding altcoin perp) where the venue differential can exceed fees.

The analyst abandoned it at the backtest-review gate, before optimization, because there is no edge after two-venue costs: the BTC HL-vs-Binance funding differential is smaller than the ~0.19% two-venue round-trip it pays each turnover, so the carry bleeds every month — and with the leg-netting bug already fixed, the residual is a structural cost problem, not a code defect or a tunable parameter.

A market-neutral, cross-venue funding-rate carry on BTC perpetuals — equal-and-opposite delta-neutral legs on BTCUSDT.BINANCE (USD-M) and BTCUSD.HYPERLIQUID — harvesting only the funding-rate differential between the two venues by shorting the richer-funding venue and longing the cheaper, with a low-parameter entry/exit APR threshold and an atomic two-leg hedge to avoid naked-leg artifacts.

After the atomic-hedge fix it was genuinely delta-neutral (beta 0.0048, no naked-leg spike, balanced 225 long / 225 short) but a clean, consistent loser: -14.0% total return, Sharpe -4.65, Sortino -3.87, profit factor 0.76, expectancy -$60/trade, PSR 0.0001, losing in all 9 of 9 months — with fees dominating at commission_pct_of_gross 17.81% ($15.5k commission + $6.9k impact on 450 trades).