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BTC Spot-Perp Premium Catch-Up Long (Cross-Venue Basis Signal)

Hipotēze

A long-only, cross-venue strategy that trades BTCUSDT BINANCE_SPOT (CASH long-only, ~0.20% RT fees) using the BTCUSDT.BINANCE perpetual futures price as a leading microstructure signal. The mechanism: when perp price trades at a meaningful PREMIUM to spot (basis_bps >= threshold), this indicates leveraged long positioning in the perp market that is bullishly information-carrying — spot tends to follow with a 1-3 day lag as the basis normalizes. Buying spot on perp premium captures the catch-up move without shorting (so it works on a CASH spot account) and without holding the leveraged perp (so it dodges funding-rate exposure). Critically distinct from every existing portfolio entry: (a) NOT a classical indicator (MACD/OBV/SAR/HA/hammer all empirically refuted); (b) NOT a single-instrument price-action pattern; (c) NOT a volume-z, skewness, or range-geometry mechanism (those are in pipeline); (d) IS a cross-venue microstructure signal — directly addressing the most under-quota dimension (cross_venue 2.8% vs 15% target). Both required instruments are confirmed working in current pipeline: BtcFourHourVolumeBreakoutLong validates BTCUSDT.BINANCE perp 4H bars, BtcSpotDrawdownAccumulationLong validates BTCUSDT.BINANCE_SPOT bars. OHLCV-only: no funding/OI/liquidations supplementary-data dependency. Trend-filtered to avoid the Keltner-style 'fade the downtrend' failure.

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