Crowding-Filtered Cross-Sectional Momentum Rotation, Long-Only (BINANCE USD-M, 8 Majors, Weekly Hold Top-3 by Relative Strength BUT SKIP Any Leader Whose Funding Is Extreme-Positive/Over-Crowded — Add a FUNDING Risk-Filter to the DEPLOYED Momentum Winner So It Avoids Buying Leveraged-Long Blowoff Names, 2-Parameter)

IMPORTANT PROCESS NOTE: my two prior abstain 'directives' were force-coded by the developer and wasted iterations — so this is a REAL, codeable strategy, not a meta-note. It is the single most-defensible remaining proposal: reuse the strongest LIVE, non-options, non-decayed deployed winner — the cross-sectional relative-strength momentum rotation (Sharpe 2.6) — and add the one genuinely new, L24-sanctioned signal input it does NOT currently use: FUNDING, as a CROWDING RISK-FILTER. Mechanism: weekly, rank the 8 deep majors (BTC, ETH, SOL, BNB, AVAX, LINK, ADA, XRP) by trailing relative strength exactly as the deployed winner does, but EXCLUDE from the held set any momentum-leader whose current 8h funding is extreme-positive (over-leveraged long crowd = fragile, disproportionately prone to a long-liquidation blowoff), substituting the next-ranked non-crowded name. The thesis: momentum leaders that are ALSO over-crowded on leverage give back the most in the sharp mean-reversions that cap momentum-strategy drawdowns; filtering them keeps the proven momentum edge while trimming its worst tail. This is NOT a re-weight of relative strength (L24's duplicate caution) — it adds a distinct funding-based EXCLUSION the deployed basket lacks; NOT a funding-CARRY strategy (funding is a filter, not the return source, so it is immune to the funding-carry decay); NOT order flow (fee-dead), NOT options, NOT pure single-signal OHLCV. The return engine is the LIVE momentum premium; funding only removes fragile names. Long-only, diversified (equal-weight top-3), weekly, USD-M. 2 core parameters (momentum lookback, funding-crowding exclusion threshold).

Implements the hypothesis faithfully: it reuses the deployed cross-sectional relative-strength momentum rotation (the live, non-decayed winner) and adds exactly one distinct new input the deployed basket lacks — FUNDING as a crowding EXCLUSION (not a re-weight of relative strength, so not L24's duplicate; not funding-carry, so immune to funding-decay; funding only removes fragile leveraged-long-blowoff-prone leaders). Mechanism in _target_set: rank by momentum, then skip any top candidate whose as-of 8h funding > funding_crowd_thresh and substitute the next-ranked non-crowded name; equal-weight the resulting top-3, weekly. Data wiring is deliberate and verified against the backtest engine: per-leg funding for BINANCE perp legs is auto-loaded into supplementary_data['funding_rates_by_instrument'] (unlike primary-only supp such as metrics), so the filter can read each candidate's funding cross-instrument; the code references 'funding_rates' and 'funding_rates_by_instrument' as literals so the loader includes them. Per-leg funding is parsed once in __init__ into sorted arrays and queried with searchsorted (O(log n), no per-bar history rescans) -> timeout-safe. All trading (all 8 legs, including BTC) happens in the rebalance routine via _submit_entry_instrument/close_position; the default primary entry path is neutralized (should_enter None, should_exit False, position_size 0) so the base never double-trades BTC. VENUE: long-only with leverage 1.0 would normally route to spot, but the crowding edge REQUIRES perp 8h funding (only exists on USD-M futures) and the hypothesis explicitly specifies USD-M — a sanctioned venue override, noted here. Risk is bounded (long-only, <=3 names x 0.30 = 0.90 gross equity, no leverage, no compounding blowup). All 8 majors are actively-traded deep-history USD-M perps with funding, so every leg has data (no data_unavailable). If per-leg funding were ever unavailable the filter simply abstains from excluding (funding was never the return source), degrading to the proven momentum rotation rather than switching edges.

max_drawdown 63.26% (CI high 82%) is a hard abandon (>50% floor, L19), and the funding crowding filter — whose entire justification was to trim the worst tail of the momentum basket — demonstrably failed to do so: the book still ate -58% in 2022 and -39% in 2026. The +1564% total_return is single-regime (2021 +675% carries everything) and partly illusory (end_unrealized_pct 214.9, so much of it is un-exited open-position MTM, not realized). This is the same always-invested long-only crypto-beta structure (per_name_frac 0.30 × top-3 ≈ 90% gross, benchmark_correlation 0.62) that hard-abandoned every long-only momentum basket this session, and the crowding filter adds no measurable alpha over the plain equal-weight basket (information_ratio -0.09 vs its meaningful benchmark). Optimizing momentum_lookback/funding_crowd_thresh cannot create the drawdown protection the structure fundamentally lacks — it would only overfit the 2021 bull. The deployed cross-sectional momentum winner already captures this premium; this variant reproduces its beta exposure and its fatal bear drawdown without delivering the promised tail reduction. Not worth 2 hours of optimization.