jgrusewski 764fd99480 correction(crypto): cross-venue arb is MARGINAL not breakthrough (honest fixed-pair OOS) ...

The +14.9 OOS Sharpe was the max-min optimism (assumes daily free re-positioning to optimal venue
pair). Honest fixed-pair version (hold the entry-chosen pair, book its actual funding diff): OOS
Sharpe collapses +14.9->+0.8, OOS ann +15.3%->+1.1% (realistic ~breakeven net of cost), 0/12
configs robust OOS, feb month -8.2. Capture 0.68 was the tell (32% reshuffle loss). Cross-venue
arb joins the cost-walled/in-sample-only list. User's OOS insistence caught it. Only deployable
thing remains simple 60/40 (~0.7). Every crypto-funding variant marginal once honestly tested.

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

2026-06-07 19:10:13 +02:00

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