Cross-Sectional Funding-Skew Carry: Long Most-Negative / Short Most-Positive USD-M Alt Perps (Market-Neutral, 4H Rebalance)

Reframe of a BTC-only negative-funding-squeeze carry whose MECHANISM was sound (in-sample DSR 0.79, Sharpe above the luck bar, clean 2020-2022 P&L) but whose TARGET decayed: BTC stopped printing deeply-negative funding after 2022, so the single-instrument entry fired zero times out-of-sample and the holdout was -6.05. Rather than wait for a regime that no longer occurs on BTC, this version harvests the SAME funding/squeeze edge CROSS-SECTIONALLY across a universe of ~12 liquid Binance USD-M altcoin perps, where deep funding skew still appears regularly during crowding episodes. Each rebalance the strategy ranks the universe by current funding rate and builds a DOLLAR-NEUTRAL book: LONG the bottom-decile (most-negative funding = crowded shorts paying longs, with short-squeeze convexity) and SHORT the top-decile (most-positive funding = crowded longs paying shorts). Both legs EARN funding by construction, and the market-neutral structure strips out crypto beta, directly addressing the directional blow-up (holdout -6.05) that killed the BTC long-only version. Funding is the primary cash flow; the squeeze on the long leg is upside convexity, not the thesis. 4H bars for timing; funding-rate stream for the ranking signal. Distinct from existing pairs/ratio trades: this is a cross-sectional funding FACTOR, not a two-name spread.

Overfit + no-edge failure on final optimization attempt 2 of 2. Walk-forward is_overfitted=TRUE: avg IS Sharpe 3.59 collapses to avg OOS 0.317 with OOS windows [0.95, 0.0, 0.0] — two of three OOS folds empty. Multiple-testing gate fails decisively: deflated_sharpe=0.0 (vs 0.95), is_significant=false, PBO=0.6812 (>0.5), sharpe_ci_low=-1.424 straddles 0, and the optimized Sharpe 0.665 sits far below the 225-trial expected-max luck bar of 5.409 — probabilistic_sharpe 0.7605 vs DSR 0.0 is the textbook PSR-vs-DSR selection-inflation trap. Sensitivity FAILED with 4 cliff parameters (leg_size, funding_prints, gross_exposure, min_funding_spread) — leg_size=2 and funding_prints=2 flip Sharpe negative on one step. The base backtest LOSES money (total_return -14.34%, Sharpe 0.31); the optimized +5.69% is a best-of-225 mirage produced by thinning the book (leg_size 3->1, gross_exposure 1.0->0.60). The holdout 'pass' (ratio 2.578) is spurious — inflated only because its WF-OOS baseline (0.317) is degenerate, carried by one non-empty window while the other two are zero. Even setting robustness aside, the strategy is not tradeable: impact_cost_pct is 45.2% (base) / 31.4% (optimized) of gross PnL from heavy multi-name churn (turnover 582-1131), with a negative information_ratio (-0.36 / -0.31). Not iterate: final attempt, and the binding failures are structural (empty OOS windows, 4-cliff surface, PBO 0.68, impact-swamped edge) with no robust parameter region for a further best-of-225 sweep to find. Not revise_hypothesis: per the overfit->abandon rule this is high-IS/empty-OOS overfitting, and the cross-sectional funding factor is ITSELF the reframe of the failed BTC funding-squeeze ancestor (holdout -6.05, never promoted) — the mechanism has now failed in both single-name and 12-name cross-sectional expressions, has no promoted sibling to strand, and there is no untried target to reframe toward. FAILURE PATTERN: reframing a decayed single-asset BTC negative-funding-squeeze carry into a dollar-neutral cross-sectional funding factor across a 12-name USD-M alt universe does NOT manufacture a promotable edge — it overfits (IS 3.59 -> two empty OOS windows, DSR 0.0, PBO 0.68, 4 sensitivity cliffs, negative base return), and the multi-name churn makes impact cost (31-45% of gross) swamp whatever thin carry exists. Correct beta-neutralization (beta ~0.03) fixes the directional blow-up but does not create statistical significance or forward-generalization, and a holdout 'ratio' inflated by a degenerate WF-OOS baseline is not a real pass.

Verification failed (Layer 2 — synthetic scenarios): Parameters used: ['leg_size', 'atr_period', 'min_notional', 'atr_stop_mult', 'funding_prints', 'gross_exposure', 'funding_sign_eps', 'min_funding_spread', 'rebalance_band_frac', 'rebalance_every_bars'] Check that __init__ sets all attributes from self.parameters.get(). - steady_uptrend: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000) - steady_downtrend: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000) - flat_ranging: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000) - volatility_spike: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000) - zero_volume: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000) - price_gap: TypeError: CrossSectionalFundingSkewCarryDollarNeutralAltPerps4H._bar_ts() takes 1 positional argument but 2 were given (bar timestamp: 1735690740000)

The Research Lead REVISED this hypothesis because the previous premise did not work. Implement the REVISED hypothesis (see the hypothesis description) from scratch — do not reuse the prior strategy. Revision rationale: WHAT I CHANGED vs the failed BTC hypothesis and WHY. The analyst was explicit that this is NOT a noise-fit and NOT a tuning problem (DSR 0.79, far above the abandoned trend/breakout siblings) — it is TARGET DECAY: BTC's deeply-negative funding regime structurally disappeared after 2022, so the entry fired ZERO times in all three OOS windows. Therefore I kept the mechanism and re-pointed it at a live regime. (1) INSTRUMENT: BTC-only -> a 12-name cross-sectional universe of liquid USD-M alt perps, exactly the analyst's reframe (a) 'go long the perp(s) with the most-negative funding' and (b) 'a cross-sectional basket across all perps.' A rank-based selector never goes dark the way a single-instrument threshold did. (2) MECHANISM/DIRECTION: I upgraded the pure-long squeeze bet into a DOLLAR-NEUTRAL long-most-negative / short-most-positive funding factor. This earns funding on both legs and removes crypto beta — directly fixing the directional blow-up the holdout -6.05 exposed, where the long-only version got crushed when the squeeze didn't materialize. (3) GUARD: I baked in the analyst's CRITICAL guard as a min funding-spread gate (so carry clears fees) and as an explicit Analyst instruction — require the recent OOS window to BOTH fire and be profitable before trusting it; do not assume transfer. (4) KEPT: funding credited by the engine, 4H timing, ATR stop, and funding-normalization exits, as instructed. I did NOT re-propose BTC-only negative-funding entries — BTC merely sits in the universe and correctly almost never qualifies for the long leg now. Trade-offs acknowledged: this adds to the BINANCE venue (already near its <=40% cap), justified because cross-sectional USD-M funding scanning structurally needs that venue, and it advances the under-represented market-neutral direction quota. Priority high (2) because funding edges are under-explored in the portfolio and this fills market-neutral + cross-sectional buckets.