Phase-2 setup (orders command) revealed 0/7 qualifying coins were hedgeable: all perp-only (no
spot leg = cannot build the delta-neutral hedge). Diagnostic: of 191 liquid crypto-native perps,
135 hedgeable / 56 perp-only. HEDGEABLE median funding -0.12bp/day, 0 of 134 clear 5bp (arbed flat
by existing cash-and-carry). PERP-ONLY median +2.59bp/day, all 8 qualifiers live there. The carry
survives ONLY where it can't be hedged. crypto_pit backtest never checked hedgeability -> the
~2-3.6 Sharpe was inflated by un-capturable perp-only funding. Fix: universe() now requires a spot
market (hedgeable only). Current regime: 0/135 hedgeable qualify -> nothing to harvest (deleverage
arbed flat). Real edge = classic basis trade on hedgeable majors: regime-dependent (rich in bull
leverage, ~zero now), more competed, lower true Sharpe than backtest. Phase-2 deploy correctly
BLOCKED by reality, not process. State reset (prior bookings were on un-hedgeable coins).
Co-Authored-By: Claude Opus 4.8 (1M context) <noreply@anthropic.com>
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