BTC Hyperliquid-vs-Binance Funding-Differential Carry (Cross-Venue, Delta-Neutral, Z-Scored)

A market-neutral, cross-venue carry strategy that harvests the funding-rate DIFFERENTIAL between the BTC perpetual on Hyperliquid (BTCUSD.HYPERLIQUID) and Binance USD-M (BTCUSDT.BINANCE). The two venues have different participant mixes and funding mechanisms (HL uses a predicted/clamped funding interval; Binance uses premium+interest), so their 8h funding rates routinely diverge. When the differential D = funding_HL - funding_BINANCE stretches to a statistical extreme, the strategy holds a delta-neutral pair — short the high-funding venue, long the low-funding venue, equal notional — collecting the net differential each funding period while carrying ~zero net BTC delta. This fills three under-represented quota buckets at once (cross-venue 5.4%->target 15%, Hyperliquid 7.6%->target 20%, long-short 14%) and deliberately AVOIDS the active failure modes: it is NOT options (dodges the systemic ~0-capital options sizing bug and the structurally-losing naked short-vol family), NOT CASH-spot (both legs are MARGIN perps, dodging the multi-instrument cash-overfill engine defect), NOT a directional funding-fade (dodges the SOL/ETH contrarian falling-knife failure — funding here is a CARRY cash flow, not a sentiment fade), and NOT a single-name HL directional/reversion bet (which is exhausted). Only 2 core parameters to resist overfitting: entry z-threshold and exit z-threshold.

Implements the hypothesis directly. The differential D = funding_HL - funding_BINANCE is read from `hl_funding_rates` and `funding_rates` (the two flat {ns: rate} dual-key dicts), and Binance is wired as the PRIMARY leg precisely because the supplementary loader scopes the top-level `funding_rates` series to the primary venue — with Binance primary, `funding_rates` resolves to Binance and `hl_funding_rates` (resolved by coin, venue-independent) to Hyperliquid, so both legs' funding read correctly; delta-neutrality is unaffected by the labelling. Per the brief the edge is a CARRY cash flow, so D is z-scored (entry_z/exit_z) and the strategy collects the net differential each period rather than fading sentiment — sidestepping the SOL/ETH contrarian falling-knife failure. It deliberately avoids the active failure modes: not options (no ~0-capital sizing bug), not CASH-spot (both legs MARGIN perps, dodging the multi-instrument cash-overfill defect), and a hedged two-leg book rather than a single-name directional perp (dodging the over-exposure engine bug). Only 2 core tunables resist overfitting; fixed equal-notional sizing with leverage=1.0 bounds exposure. calculate_signal returns the raw z (natural units, unbounded) thresholded in should_enter, and returns 0.0/flat with NO price-only fallback when funding is missing, per the no-silent-fallback rule. Fills the cross-venue, Hyperliquid, and long-short quota buckets at once.

Not worth optimizing — no realized edge after two-venue costs, and the only positive number is a suspected artifact. Realized record is a consistent bleed: 8 straight negative months (-11% to -58%), profit_factor 0.99, Sharpe -0.49, Sortino -3.27, negative expectancy, win_rate 47.9% with avg_win~=avg_loss. The headline +81% total_return is entirely a single +315% final-bar day with end_unrealized_pct=1.015 (~100% of return is un-exited open-position MTM); a +315% day on a ~zero-net-delta pair is implausible and points to a leg-netting/cross-venue alignment artifact (symptom stated, root cause not independently verified — escalate for harness review rather than guess). The BTC major-venue funding differential is real but too small to clear ~0.10% (Binance) + ~0.09% (HL) round-trip per pair, so the carry loses across every regime in the sample. impact_cost_pct 122% and capacity_usd $66k confirm it works only at toy scale. This is NOT a funding-uncreditable false negative (funding is now credited) and NOT a parameter problem entry_z/exit_z tuning can fix — it is structural for BTC. Possible Research-Lead reframe (revise_hypothesis territory, not iterate): retry the same cross-venue funding-differential mechanism on a higher-funding-skew instrument where the differential exceeds two-venue costs.