Arbitrage차익거래
BTC/ETH Basis Term StructureBTC/ETH 베이시스 기간 구조
Deribit dated futures vs perp. Cash-and-carry when annualized basis is rich; reverse carry when backwardated. Data window: 2024-01-01 to present.Deribit 만기선물 vs 무기한. 연율화 베이시스 리치일 때 캐시-앤-캐리, 백워데이션일 때 리버스. 데이터 기간: 2024-01-01 ~ 현재.
REJECTEDOOS Sharpe -1.45, funding drag -$8.9k vs gross carry +$4.0k. Persistent contango forces tau-floor exits; exit gate FAIL. DESIGN §2.2 prediction confirmed.OOS Sharpe -1.45, 펀딩 드래그 -$8.9k vs 캐리 +$4.0k. 컨탱고 지속, tau-floor 강제 청산. exit gate FAIL. DESIGN §2.2에서 미리 예측한 결과.
OOS walk-forward (raw)OOS 워크포워드 (원값)
n trades거래수
24
win rate승률
37.50%
avg net %평균 net %
-2.17%
payoff (W/|L|)페이오프
0.18
Sharpe (per-trade)샤프 (거래단위)
-1.45
Max DD최대 낙폭
-5.37%
fee drag / gross수수료 드래그
7.1%
net USD순손익
-$5,200
Gross: +$4,034. Funding: -$8,946. Cost: -$288. Avg hold: 56d. Sample size 24 — below 30, treat statistics as directional only.그로스: +$4,034. 펀딩: -$8,946. 수수료: -$288. 평균 홀드: 56일. 샘플 24개 — 30 미만, 통계는 방향성 참고용.
DESIGN §9 exit gateDESIGN §9 진입 게이트
- Sharpe ≥ 1.0: fail (-1.45)
- MDD ≤ 10%: pass (-5.37%)
- fee drag < 50%: pass (7.1%)
Verdict: FAIL — negative edge OOS, funding drag exceeds gross carry.
Walk-forward windows워크포워드 윈도우
| train | test | best entry | test n | test net | test WR |
|---|---|---|---|---|---|
| 2024-03-31 → 2024-09-27 | 2024-09-27 → 2024-12-26 | 12.0% | 6 | -$2,366 | 17% |
| 2024-09-27 → 2025-03-26 | 2025-03-26 → 2025-06-24 | 5.0% | 3 | -$1,050 | 33% |
| 2024-12-26 → 2025-06-24 | 2025-06-24 → 2025-09-22 | 8.0% | 5 | -$1,919 | 20% |
| 2025-03-26 → 2025-09-22 | 2025-09-22 → 2025-12-21 | 5.0% | 5 | -$50 | 40% |
| 2025-06-24 → 2025-12-21 | 2025-12-21 → 2026-03-21 | 3.0% | 5 | +$185 | 80% |
Current term structure현재 기간 구조
BTC · as of 2026-04-24T08:00Z
| instrument | τ (d) | F | b (ann) |
|---|---|---|---|
| BTC-26JUN26 | 63 | 78,005 | 1.42% |
| BTC-25SEP26 | 154 | 78,465 | 1.98% |
| BTC-25DEC26 | 245 | 79,192.5 | 2.64% |
ETH · as of 2026-04-24T08:00Z
| instrument | τ (d) | F | b (ann) |
|---|---|---|---|
| ETH-26JUN26 | 63 | 2,320 | 1.16% |
| ETH-25SEP26 | 154 | 2,338 | 2.32% |
| ETH-25DEC26 | 245 | 2,357.25 | 2.70% |
OOS trade sample (top/bottom)OOS 거래 샘플 (상/하위)
| entry | instrument | side | b entry | hold d | gross % | fund % | net % | net $ | exit |
|---|---|---|---|---|---|---|---|---|---|
| 2024-10-29 | BTC-27DEC24 | carry | 12.18% | 53 | 2.28% | -8.97% | -6.81% | -$681 | tau_floor |
| 2024-10-29 | BTC-27DEC24 | carry | 12.18% | 53 | 2.28% | -8.97% | -6.81% | -$681 | tau_floor |
| 2024-10-30 | BTC-28MAR25 | carry | 12.09% | 111 | 5.39% | -11.90% | -6.62% | -$662 | revert |
| 2024-10-30 | BTC-28MAR25 | carry | 12.09% | 111 | 5.39% | -11.90% | -6.62% | -$662 | revert |
| 2024-11-10 | ETH-27DEC24 | carry | 12.47% | 40 | 1.45% | -8.80% | -7.47% | -$747 | tau_floor |
| 2024-11-10 | ETH-27DEC24 | carry | 12.47% | 40 | 1.45% | -8.80% | -7.47% | -$747 | tau_floor |
| 2024-11-11 | ETH-28MAR25 | carry | 12.12% | 91 | 3.01% | -7.99% | -5.10% | -$510 | revert |
| 2024-11-11 | ETH-28MAR25 | carry | 12.12% | 91 | 3.01% | -7.99% | -5.10% | -$510 | revert |
| 2024-12-09 | ETH-27JUN25 | carry | 13.64% | 71 | 3.50% | -0.27% | 3.12% | +$312 | revert |
| 2024-12-09 | BTC-27JUN25 | carry | 14.31% | 84 | 5.10% | -5.75% | -0.77% | -$77 | revert |
| 2024-12-09 | BTC-27JUN25 | carry | 14.31% | 84 | 5.10% | -5.75% | -0.77% | -$77 | revert |
| 2024-12-09 | ETH-27JUN25 | carry | 13.64% | 71 | 3.50% | -0.27% | 3.12% | +$312 | revert |
| 2025-06-09 | ETH-26DEC25 | carry | 5.39% | 153 | 3.56% | -3.40% | 0.04% | +$4 | revert |
| 2025-06-09 | BTC-26DEC25 | carry | 6.81% | 165 | 2.70% | -13.11% | -10.53% | -$1,053 | revert |
| 2025-06-09 | BTC-26DEC25 | carry | 6.81% | 165 | 2.70% | -13.11% | -10.53% | -$1,053 | revert |
| 2025-06-09 | ETH-26DEC25 | carry | 5.39% | 153 | 3.56% | -3.40% | 0.04% | +$4 | revert |
| 2025-06-16 | ETH-27JUN25 | carry | 6.12% | 4 | 0.15% | -0.05% | -0.01% | -$1 | revert |
| 2025-06-16 | ETH-27JUN25 | carry | 6.12% | 4 | 0.15% | -0.05% | -0.01% | -$1 | revert |
| 2025-07-15 | BTC-26DEC25 | carry | 8.05% | 112 | 2.53% | -12.71% | -10.30% | -$1,030 | revert |
| 2025-07-15 | BTC-26DEC25 | carry | 8.05% | 112 | 2.53% | -12.71% | -10.30% | -$1,030 | revert |
| 2025-07-19 | BTC-26SEP25 | carry | 8.06% | 62 | 1.37% | -6.32% | -5.07% | -$507 | tau_floor |
| 2025-07-19 | BTC-26SEP25 | carry | 8.06% | 62 | 1.37% | -6.32% | -5.07% | -$507 | tau_floor |
| 2025-08-10 | ETH-26SEP25 | carry | 8.82% | 20 | 0.86% | -1.26% | -0.52% | -$52 | revert |
| 2025-08-10 | ETH-26SEP25 | carry | 8.82% | 20 | 0.86% | -1.26% | -0.52% | -$52 | revert |
| 2025-08-13 | ETH-26DEC25 | carry | 8.14% | 65 | 1.76% | -0.62% | 1.02% | +$102 | revert |
| 2025-08-13 | ETH-26DEC25 | carry | 8.14% | 65 | 1.76% | -0.62% | 1.02% | +$102 | revert |
| 2025-09-12 | BTC-27MAR26 | carry | 8.04% | 90 | 2.38% | -6.57% | -4.32% | -$432 | revert |
| 2025-09-12 | BTC-27MAR26 | carry | 8.04% | 90 | 2.38% | -6.57% | -4.32% | -$432 | revert |
| 2025-11-24 | BTC-26DEC25 | carry | 5.45% | 11 | 0.34% | -0.18% | 0.04% | +$4 | revert |
| 2025-11-24 | BTC-26DEC25 | carry | 5.45% | 11 | 0.34% | -0.18% | 0.04% | +$4 | revert |
| 2025-12-08 | BTC-26JUN26 | carry | 5.04% | 80 | 1.43% | -1.77% | -0.47% | -$47 | revert |
| 2025-12-08 | BTC-26JUN26 | carry | 5.04% | 80 | 1.43% | -1.77% | -0.47% | -$47 | revert |
| 2025-12-09 | BTC-26DEC25 | carry | 5.30% | 3 | 0.23% | -0.05% | 0.06% | +$6 | revert |
| 2025-12-09 | BTC-26DEC25 | carry | 5.30% | 3 | 0.23% | -0.05% | 0.06% | +$6 | revert |
| 2025-12-17 | ETH-26DEC25 | carry | 5.67% | 0 | 0.10% | -0.00% | -0.02% | -$2 | revert |
| 2025-12-17 | ETH-26DEC25 | carry | 5.67% | 0 | 0.10% | -0.00% | -0.02% | -$2 | revert |
| 2025-12-19 | ETH-26DEC25 | carry | 5.30% | 0 | 0.04% | -0.04% | -0.12% | -$12 | tau_floor |
| 2025-12-19 | ETH-26DEC25 | carry | 5.30% | 0 | 0.04% | -0.04% | -0.12% | -$12 | tau_floor |
| 2026-02-16 | ETH-27MAR26 | carry | 3.01% | 20 | 0.31% | 0.01% | 0.19% | +$19 | revert |
| 2026-02-16 | ETH-27MAR26 | carry | 3.01% | 20 | 0.31% | 0.01% | 0.19% | +$19 | revert |
| 2026-03-04 | BTC-27MAR26 | carry | 3.70% | 16 | 0.15% | -0.01% | 0.01% | +$1 | tau_floor |
| 2026-03-04 | BTC-27MAR26 | carry | 3.70% | 16 | 0.15% | -0.01% | 0.01% | +$1 | tau_floor |
| 2026-03-09 | ETH-25SEP26 | carry | 3.03% | 46 | 0.77% | 0.83% | 1.47% | +$147 | end_of_panel |
| 2026-03-09 | BTC-25SEP26 | carry | 3.15% | 46 | 0.98% | -0.51% | 0.35% | +$35 | end_of_panel |
| 2026-03-09 | BTC-25SEP26 | carry | 3.15% | 46 | 0.98% | -0.51% | 0.35% | +$35 | end_of_panel |
| 2026-03-09 | ETH-25SEP26 | carry | 3.03% | 46 | 0.77% | 0.83% | 1.47% | +$147 | end_of_panel |
| 2026-03-15 | ETH-27MAR26 | carry | 3.29% | 5 | -0.04% | -0.01% | -0.17% | -$17 | tau_floor |
| 2026-03-15 | ETH-27MAR26 | carry | 3.29% | 5 | -0.04% | -0.01% | -0.17% | -$17 | tau_floor |
Design notes설계 노트
- DESIGN §2.2: Net-of-retail-fees Sharpe on BTC/ETH basis term expected < 1.
- Funding drag on the long-perp leg dominates: BTC perp realized ~5.4% ann, ETH ~2.9% ann over 2024-2026, with spikes to +100%+ during squeeze windows.
- Exits are overwhelmingly tau_floor (hold to near-expiry), not mean-revert. Basis stays in contango persistently; signal-based exits are rare.
- Sample size (n_trades) is the binding constraint: 2 ccys × 3-4 live contracts × position-exclusive lock yields ~25 entries over 2 years.
generated 2026-04-24T15:38Z · window 2024-01-01 → 2026-04-24 · fees: taker 0.050% / maker 0.000%, maker ratio 0.7, slip 1.5 bps/leg · funding: Deribit perp historical (get_funding_rate_history), realized per trade