2 Commits

Author	SHA1	Message	Date
jgrusewski	e731c2fc2f	result(crypto): cross-venue funding arb PASSES clean OOS (the breakthrough) ... Full-year (331d Binance-HL) clean OOS: config picked on first 60% (IS Sharpe +12.0) applied BLIND to last 40% -> OOS Sharpe +14.9 (held), OOS +15.3%/yr, 14/14 configs robust, all 4 OOS months positive (+11..+18), capture 0.68. The ONLY edge in the whole search to clear the clean OOS horde that killed PEAD/equity-ML/AI4Finance. Market-neutral, no spot leg, persistent, carry not prediction. HONEST: Sharpe 6-15 inflated (low ~1% vol -> realistic /2.5-4 -> ~3-6; real number is return ~8-15%/yr) + sim books daily max-min assuming optimal-pair-held (capture 0.68 = ~32% reshuffle loss) -> needs held-pair-realized fix for true number, then micro-live + counterparty mgmt. Edge EXISTS and is OOS-proven; deployable magnitude ~8-15%/yr pending fixes. Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>	2026-06-07 19:08:08 +02:00
jgrusewski	cb402ab81f	feat(surfer): crypto carry+momentum sweep — FIRST real edge (funding carry) ... Batch 2 of the deflated signal sweep: cross-sectional funding carry + momentum on 28 major Binance USDT perps (2019-26, funding baked into return, 10bp cost, deflated by cumulative 25 trials). XS_carry_7 = Sharpe +0.82, IS+0.77/OOS+0.93 (consistent), CPCV-median +0.78 (robust across 45 paths), DSR 0.71. First signal all session that is positive + IS/OOS-consistent + CPCV-median-positive. Develop-grade met, not yet deploy (DSR<0.95, 5th-pct<0). Caveats: survivorship (current majors), confirm point-in-time. Forward-paginated funding fetch (fundcov ~1.0). Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>	2026-06-06 15:05:20 +02:00