策略 03已关闭

7 Funding Exploits (on majors)

systematically sweep 7 mechanics around funding/settlement looking for a structural edge

策略正文暂以英文显示，中文翻译进行中。

关键指标：

0 / 7

为何存在优势 / 假设: Funding inefficiency around settlement should, in theory, yield several tradable patterns.
构造: 7 mechanics (mean-reversion, settlement arb, dump, spot-hedge, ADL front-run, time-arb, direction-signal) on 10 symbols.
测试数据: Bybit OHLC + funding, 10 symbols, 6 months, cost model ~16 bps/trade.
结果: 0/7. S6 (mean-reversion, Sharpe 1.53) = hidden directional long bias (144/144 LONG, Feb −35%). S5 (settlement arb) WR=0%.
验证: BTC: 0 events >2bps in 6 months — majors are efficient.
根因: The funding edge lives only on illiquid microcaps (which Funding Capture already harvests via execution); on majors the market is efficient.
结论: Dead; confirmed the boundary — funding edge exists only on illiquids.
来源: scripts/research/exploit_7_strategies.py · RESEARCH.md 2026-04-22

想对你的策略做同样的检验吗？