L1 Sector Basket Cross-Sectional Momentum Long-Short (Weekly)

A DOLLAR-NEUTRAL CROSS-SECTIONAL MOMENTUM strategy on a basket of 5 major Layer-1 perpetual futures (BTC, ETH, SOL, BNB, ADA — all with 5+ years of Binance USD-M data). On each weekly close, rank the 5 instruments by their trailing 4-week return. LONG the top-2 performers and SHORT the bottom-2 performers, equal-weighted on each side, dollar-neutral. The middle-ranked instrument is excluded. Rebalance weekly. RATIONALE driven by the now-DECISIVE session finding: after 17+ strategy attempts spanning 6+ supp-data hypotheses, 11+ alt-perp trend-followers, AND 1 cross-asset pair (ETH/BTC OOS Sharpe -4.86), THREE entire mechanism classes have been falsified in the current crypto regime. The analyst's only remaining genuinely-untested categories are: (1) sub-daily intraday, (2) cross-venue arbitrage, (3) SECTOR-BASKET strategies, (4) wait 3-6 months. This proposal targets the SECTOR-BASKET category — a structurally different mechanism class than any prior attempt this session. CROSS-SECTIONAL MOMENTUM IS THE MOST ACADEMICALLY DOCUMENTED MOMENTUM ANOMALY: Jegadeesh-Titman (1993), Carhart (1997), Asness-Moskowitz-Pedersen (2013) — it persists across equity, FX, commodity, and bond markets over many decades. Crucially, it differs from TIME-SERIES momentum (which is what failed across all 11 alt-perp trend-followers this session): cross-sectional momentum captures the persistence of RELATIVE STRENGTH between assets in a peer group, not the persistence of an asset's own price direction. This means it can work in any market regime (bull, bear, or chop) as long as some assets are outperforming others — which is always true. DESIGN ELEMENTS that ELIMINATE every session failure mode: (a) Dollar-neutral by construction (no beta-to-crypto), (b) RELATIVE-strength NOT direction-following (no time-series trend dependency), (c) ZERO supplementary data, (d) 5-instrument basket (not single-pair, immune to ETH/BTC-style cointegration drift), (e) WEEKLY rebalancing (low trade frequency, ~52 rebalances/year per side × 4 legs = ~200 trades/year — fee-friendly), (f) MAXIMALLY SIMPLE — only 2 parameters (ranking lookback weeks, basket top/bottom k). DIFFERENTIATION FROM PIPELINE: 4 pair strategies (each 2-asset) covered; this is a 4-leg basket with cross-sectional ranking — fundamentally different math.