(1) Live cross_venue_funding.py paper harness now uses HYSTERESIS (enter >10bp/day, hold until
spread decays <5bp) instead of naive daily top-K -> tracks the deployable low-turnover version
(naive was cost-killed -4.5 Sharpe; hysteresis nets +10-14%/yr). State reset. (2) fetch_xvenue_hist2
now paginates Binance fundingRate -> full ~330d history (was 67d) so Binance-HL overlap = full year
(330 days) for the regime test across ~11 months. Monitor armed for the full-year backtest.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
Backtested the cross-venue funding arb on historical funding (Binance/OKX/Hyperliquid). Gross
+21%/yr, spreads persist (capture 0.71), but NAIVE daily rebalance is cost-killed (net Sharpe
-4.5, negative every month). HYSTERESIS (hold winners until spread decays, entry>10bp/exit>5bp)
flips net to +10-14%/yr market-neutral (Sharpe +11-15, but inflated by ~1% vol + idealized fills;
realistic ~3-6 / return ~10-14%). Turnover is the swing factor. First edge of the whole search to
survive the net-of-cost horde -- market-neutral, persistent, no spot leg (solves hedgeability),
operational not predictive. Caveats: 94d/one period, idealized fills, counterparty. Next: switch
live harness to hysteresis, deepen history to full year, micro-live.
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
