Dollar-Neutral Cross-Sectional Momentum SPREAD, Long-Short Market-Neutral (BINANCE USD-M, 8 Majors, MONTHLY Long Top-2 / Short Bottom-2 by Relative Strength — Dollar-Neutral So Max-Drawdown Is Bounded by the Momentum SPREAD (~20-30%), NOT the 50%+ Market Beta That Floor-Killed Every Long-Only Momentum Variant; Monthly Cadence Keeps the 4-Leg Fee Below the Spread, 2-Parameter)

A REAL, codeable strategy that resolves the EXACT binding constraint proven across my momentum reuses this session: every LONG-ONLY momentum construction (crowding-filter 63% DD, dispersion-gate 67% DD, mid-cap 74% DD) died on the >50% drawdown floor because it holds full crypto BETA through the 2022 bear, and no signal filter protects that tail. The only structural fix is to REMOVE beta: a DOLLAR-NEUTRAL long-winners / short-losers construction has net market exposure ≈ 0, so its drawdown is bounded by the momentum SPREAD's volatility (historically ~20-30% for majors), which is BELOW the 50% floor by construction — the thing filters and partial hedges could not deliver. It captures the FULL cross-sectional momentum premium (top-minus-bottom spread), not the thin residual that killed my fully-beta-hedged overlay. To beat the fee death that L12 flags for dollar-neutral rank baskets, it is deliberately MINIMAL and LOW-turnover: only 4 legs (long top-2 / short bottom-2 of 8 majors) rebalanced MONTHLY. FEE ARITHMETIC (per L12): 4 legs × monthly rebalance ≈ 8 fills/month × ~0.05% ≈ 0.4%/month; the top-2-minus-bottom-2 monthly momentum spread among majors historically runs ~3-8%/month — clearing fees by a wide margin, unlike the high-turnover weekly N-name rank baskets L12 killed. Distinct from all my pending momentum variants (those are long-only or partially-hedged; this is FULL dollar-neutral top-vs-bottom). Reuses the proven relative-strength signal (no L30 new-indicator risk). Long-short, market-neutral, monthly, USD-M. 2 core parameters (momentum lookback, names per side).

Resolves the exact binding constraint proven across this session's momentum reuses: every LONG-ONLY construction (crowding-filter 63% DD, dispersion-gate 67% DD, mid-cap 74% DD) blew the >50% drawdown floor because it carries full crypto BETA through the 2022 bear, and no signal filter protects that tail. The structural fix is to REMOVE beta via a DOLLAR-NEUTRAL long-winners/short-losers spread: equal long and short notional -> net exposure ~0 -> drawdown bounded by the momentum SPREAD's volatility (~20-30% historically for majors), below the 50% floor BY CONSTRUCTION, while capturing the FULL top-minus-bottom premium (not the thin residual the full beta hedge left). Fee discipline per L12: only 4 legs (top-2 long / bottom-2 short of 8) rebalanced MONTHLY (~8 fills/month x ~0.05% ~= 0.4%/month) vs a monthly top2-minus-bottom2 majors spread of ~3-8%/month — clearing fees by a wide margin, unlike the high-turnover weekly N-name rank baskets L12 killed. Mechanism in _rebalance: rank by momentum, long top-N, short bottom-N (kept disjoint), and per instrument reconcile to the desired long/short/flat side, flipping (close then re-open opposite) when a name crosses from winner to loser; same-side holdings are kept to limit churn. Reuses the proven relative-strength signal (no L30 new-indicator risk) and is distinct from all pending variants (those are long-only or partially-hedged; this is FULL dollar-neutral top-vs-bottom). VENUE: USD-M futures is required (the strategy SHORTS the losers), matching the deployed momentum family. SIZING/LEVERAGE: each leg 0.22 of equity, 4 legs -> gross ~0.88 of equity with net ~0, so leverage stays 1.0 and is genuinely unused (no leverage-unused gate, no liquidation-prone amplification; a market-neutral book cannot experience the -100% beta blowups). Purely price-driven (no supp/tick data) so it avoids cross-instrument-supp and tick-timeout pitfalls and is timeout-safe (bounded per-bar work: 8 O(1) momentum reads; rebalance monthly). All trading happens in _rebalance 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. All 8 majors are deep-history liquid USD-M perps, so every leg has data (no data_unavailable). 2 core parameters (momentum_lookback, names_per_side) shared across names — not per-name tuned — to resist overfit.

The dollar-neutral thesis is catastrophically falsified. It claimed a long-winners/short-losers spread would bound max_drawdown at the ~20-30% momentum-spread volatility 'by construction' by removing beta — but realized max_drawdown is 97.62% (CI to 99.99%) and total_return is -96.35%, a near-total wipeout. profit_factor 0.685, avg_trade_return_pct -2.77%, and expectancy -$488/trade confirm a decisive net loser. The cause is the flaw the hypothesis overlooked: shorting the BOTTOM-2 momentum crypto majors carries UNBOUNDED squeeze risk — a beaten-down 'loser' that violently reverses and 5-10×'s costs the short 400-900%, producing the impossible monthly swings visible in the data (+1818% in 2021-10, -213% in 2024-01, -152% in 2024-11, -1023% for 2024). avg_position_pct 107% shows the book actually runs leveraged gross rather than the benign spread claimed, and returns collapse to 0.0 after late 2024 because the account was effectively destroyed. Removing market beta did NOT bound the tail — the short legs delivered the opposite, exactly the L12 dollar-neutral rank-basket failure and the same unbounded-short-squeeze mechanism that killed the directional short basket (-79%) earlier this session. Optimizing momentum_lookback/names_per_side cannot fix unbounded short-squeeze risk on a -96%-return, 97%-DD, PF-0.68 loser; tuning would only shift the blowup. Abandon.