Trading-strategy family
QUARTERLY_BASIS_CC_V1Quarterly futures cash-and-carryFAIL
tested Oct 23, 2026 6 variants tried
What was tested
Buy spot BTC and short the quarterly delivery future, but only when the future trades at least 130 bp above spot (about twice the round-trip cost). Hold while the gap closes toward expiry. Exit when the gap closes to zero, on an 80 bp adverse stop, or 2 days before expiry.
Binance public archive prices, Kraken retail fees. IS 2022–2023, OOS 2024-01 to 2026-09.
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% | −0.17% | FAIL |
| OOS max drawdown | ≤ 8.0% | −2.34% | PASS |
| OOS worst calendar month | ≥ −3.0% | −1.08% | PASS |
| No liquidations | 0 | 0 | PASS |
| Edge ≥ 2× costs | ≥ 2× | 1.78× | FAIL |
| Net positive in each year that had trades | > 0 | 2024: −1.26% | FAIL |
| Selected variant net positive in IS | > 0 | +0.10% a year | PASS |
| At least 3 OOS trades | ≥ 3 | 6 | PASS |
Why it failed
It cleared the fee gate by construction (it only enters when the gap is big enough) but not the return bar. There were only 6 OOS trades. Four won (+0.54%, +0.52%, +0.44%, +0.36% of capital), one lost 0.30%, and a 2024 trade stopped out at −2.02%, which wiped most of the gains. Gross gap gain was about +4.65% of capital against about 2.61% of costs, so 1.78× where 2× was needed.
The other variants looked better out of sample (up to about +1.1% a year) but were not eligible, because the rules pick on IS only, and they are still far below the 8% bar.
Variants tried
6 variants: minimum entry gap 130, 150 or 200 bp, and entry window 90 or 60 days before expiry. IS picked 130 bp / 60 days. The pre-registered note says not to re-tune this grid after a locked fail.
What this test cannot tell
Only 6 OOS trades, a small sample. Binance prices stand in for Kraken. Data ends 2026-09.
Rules lock
Rules file SHA-256:
cb2ce95121be5d724b0bc651eecdd200ced53583e5bfd0cd4e683f1923ccdaae
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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