Trading-strategy family
BASIS_MR_V1Spot–perp basis mean reversionFAIL
tested Oct 23, 2026 8 variants tried
What was tested
Trade the small gap between BTC spot and the perpetual future. When the gap is unusually wide compared with its recent range (a z-score of 2.0 or 2.5), bet that it closes again. Exit when the gap normalises, after 7 days, or on a 30 bp stop.
Binance public archive prices, Kraken retail fees. IS 2022–2023, OOS 2024-01 to 2026-10.
Pre-registered pass bar and result
The bar was written and hashed before the run. Results are on data the selection step never saw (out-of-sample).
| Criterion | Bar | Result | Verdict |
|---|---|---|---|
| OOS annualised net return | ≥ 8.0% | −31.9% | FAIL |
| OOS max drawdown | ≤ 8.0% | −66.0% | FAIL |
| OOS worst calendar month | ≥ −3.0% | −6.8% | FAIL |
| No liquidations | 0 | 0 | PASS |
| Edge ≥ 2× costs | ≥ 2× | 0.015× | FAIL |
| Net positive in each of 2024, 2025, 2026 YTD | > 0 each | all three negative | FAIL |
| Selected variant net positive in IS | > 0 | −29.2% a year | FAIL |
Why it failed
Costs ate everything. BTC's spot–perp gap is typically only −5 to +12 bp, and when it looked extreme it was about 5 bp. A round trip costs about 65 bp of capital at Kraken retail fees, so the math cannot close.
Over the OOS period: gross gap capture +0.69% of capital, funding +0.32%, fees and slippage −67.0%. Every variant lost money in both IS and OOS, under both fee schedules. Even at cheap exchange-tier fees the selected variant lost 13.6% a year.
Variants tried
8 variants: z-score 2.0 or 2.5, lookback 24 or 72 hours, trading both directions or only one. Selected on IS: Z2.5_W24 trading one direction. All 8 lost money. The pre-registered note says not to re-tune the same grid after a locked fail.
What this test cannot tell
Binance prices stand in for Kraken. Data ends Oct 22, 2026. Idle cash earns 0%. Taxes are not modelled.
Rules lock
Rules file SHA-256:
3a266469170324c564bf29e6610739ec6abe8eb2c927eeb75812e002effd18da
Locked: not recorded
“not recorded” means the number or time was not written down at the time, and we have not filled it in afterwards.
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