jgrusewski 9c2c38eb5d feat(crypto): funding carry liveness — ALIVE (regime not decay), regime filter rescues 2025-26 ...

Decisive liveness investigation. Decay diagnostic: positive-funding yield intact (mean_pos
3.0-3.4bp in 2025-26 = same as 2019/2023), NOT compressed. What changed is BREADTH: frac_pos
0.88(2024)->0.59(2026), avg funding negative = deleverage regime. Naive harvest whipsawed
(2025-26 Sharpe -5.8); regime filter (trailing funding > hurdle, sit out the rest) RESCUES to
+17-22pct APR, Sharpe +6.7-9.1. Edge is alive = cross-sectional selection, not death. Caveats:
raw Sharpe inflated by missing basis vol (realistic ~2.5-4); hurdle needs OOS confirm;
counterparty tail unchanged. Strongest deployable edge of the search: ~2.5-4 Sharpe
market-neutral, alive today, crypto + counterparty tail as cost of admission.

Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>

2026-06-07 01:20:04 +02:00

4.2 KiB

Raw Permalink Blame History

View Raw