Trading-strategy family
FUNDING_CARRY_V1Funding carry (delta-neutral)FAIL
tested Oct 23, 2026 4 variants tried
What was tested
Buy spot BTC and short the same amount of BTC perpetual futures, so price moves cancel out, and collect the funding payments when they are positive. Perp leverage 2x, rebalanced when margin drifts out of 30–70%.
Prices and funding come from Binance's public archive as a stand-in; costs use Kraken retail fees (spot 0.40%, perp 0.05% taker). In-sample (IS) 2022–2023, out-of-sample (OOS) 2024-01 to 2026-09. The variant was picked on IS only.
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% | 4.01% | FAIL |
| OOS max drawdown | ≤ 5.0% | −0.46% | PASS |
| OOS worst calendar month | ≥ −2.0% | −0.13% | PASS |
| No liquidations (IS and OOS) | 0 | 0 | PASS |
| Funding income ≥ 3× fees + slippage | ≥ 3× | 7.1× | PASS |
| Net positive in each of 2024, 2025, 2026 YTD | > 0 each | +7.4% / +2.9% / +1.2% | PASS |
| Selected variant net positive in IS | > 0 | 3.14% a year | PASS |
Why it failed
It failed one bar: return. It is low risk but the yield is too small: 4.0% a year, and about 1.6% a year at the 2026 pace. Funding fell year after year (net +7.4% in 2024, +2.9% in 2025, +1.2% in 2026 to September).
Costs were not the problem. Funding income was about 7× costs. The funding itself is just too small to be worth the exchange risk and the effort.
Variants tried
4 variants: always hold (V0_ALWAYS), and three versions that only hold when the recent funding is above 0.005%, 0.010% or 0.020% per 8 hours. The threshold versions lost money or earned less, because each round trip costs about 0.65% of capital at Kraken retail fees. IS picked V0_ALWAYS.
What this test cannot tell
Binance prices stand in for Kraken. Data ends Sep 30, 2026. Idle cash earns 0%. Exchange-failure risk is not in the numbers.
Rules lock
Rules file SHA-256:
83e50a1bba4025ffb67ac3ca5d71f8680bca34a1ef91c94bbb1b002a5b6b2148
Locked:
“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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