Strategy Category · 펀딩 파밍전략 카테고리 · 펀딩 파밍
Funding Farming펀딩 파밍
2 strategies scoped · 0 tested · 0 todo · 2 rejected.2개 전략 등록 · 0개 테스트됨 · 0개 대기 · 2개 폐기.
| Strategy전략 | Thesis논리 | State상태 | OOS nOOS 거래수 | OOS bpsOOS bps | Sharpe샤프 | Max DD최대 낙폭 |
|---|---|---|---|---|---|---|
| Funding Dispersion펀딩 디스퍼전 | Cross-venue funding spreads mean-revert; capture delta-neutral carry.거래소 간 펀딩 격차는 평균회귀; 델타뉴트럴 캐리 포착. OOS Sharpe -6.21, hit 4.5%, n=1218. Net of fees/slip the spread does not clear costs; signal has no edge after retail microstructure.OOS Sharpe -6.21, hit 4.5%, n=1218. fee/slip 차감 후 음수 EV. cross-venue 펀딩 스프레드는 비용 못 이김. | rejected폐기 | 236 | -20.7 | -9.19 | -0.30% |
| Sparse Event스파스 이벤트 | Trade only extreme absolute spreads (≥50bps/8h). Accept low trade count.극단적 절대 격차 (≥50bps/8h) 에서만 거래. 낮은 거래 빈도 감수. OOS walk-forward (6m/3m): avg net -1.36 bps, hit 26.7%, n=30. IS Sharpe 1.91 was selection bias from funding-dispersion sub-window; signal does not survive holdout.OOS 워크포워드(6m/3m): avg net -1.36 bps, hit 26.7%, n=30. IS Sharpe 1.91은 funding-dispersion sub-window selection bias. 홀드아웃에서 깨짐. | rejected폐기 | 30 | -1.4 | 4.45 | -0.05% |