Funding Farming펀딩 파밍
Funding Dispersion펀딩 디스퍼전
universe (30)유니버스 (30): 1000PEPE, AAVE, ADA, ARB, AVAX, BIO, BNB, CHIP, CRV, DOGE, DOT, ENA, FARTCOIN, HYPE, LINK, MON, NEAR, ORDI, PENGU, SOL, STABLE, STRK, SUI, TAO, VIRTUAL, WIF, XLM, XPL, XRP, ZEC
2024-01-01 → 2026-04-24
2026-04-28 23:42 UTC
REJECTEDOOS 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.
performance (best params)퍼포먼스 (최적 파라미터)
sharpe샤프 -9.19
sortino소르티노 -9.14
calmar칼마 -9.87
ir vs btcIR vs BTC —
max dd최대 낙폭 -0.30%
dd duration낙폭 기간 36.00d
under water수면아래 97.30%
hit rate적중률 2.56%
win/loss승/패 1.37
turnover (a)회전율 (연) 30.78x
fee drag수수료 드래그 1362.73%
capacity util용량 활용도 20.00%
best param set (by total net pnl)최적 파라미터 세트 (net pnl 기준)
k_entry진입 k 12.0
maker_ratio메이커 비율 0.70
max_hold최대 보유 72h
n_trades거래수 78
avg_gross평균 총이익 1.5 bps
avg_net평균 순이익 -19.5 bps
hit_rate적중률 2.6%
total_net_pnl총 순손익 $-303
param sweep — avg net bps per trade파라미터 스윕 — 거래당 평균 net bps
| k_entry진입 k | max_hold (h)최대 보유(h) | mr=0.3 | mr=0.5 | mr=0.7 | n |
|---|---|---|---|---|---|
| 2.0 | 8 | -23.5 | -21.0 | -18.4 | 10137 |
| 2.0 | 24 | -20.3 | -17.7 | -15.2 | 10137 |
| 2.0 | 72 | -15.8 | -13.3 | -10.8 | 10137 |
| 3.0 | 8 | -22.8 | -20.3 | -17.8 | 4263 |
| 3.0 | 24 | -19.3 | -16.8 | -14.3 | 4263 |
| 3.0 | 72 | -15.2 | -12.7 | -10.2 | 4263 |
| 5.0 | 8 | -22.7 | -20.2 | -17.7 | 1006 |
| 5.0 | 24 | -19.8 | -17.3 | -14.8 | 1006 |
| 5.0 | 72 | -18.0 | -15.5 | -13.0 | 1006 |
| 8.0 | 8 | -23.9 | -21.5 | -19.0 | 192 |
| 8.0 | 24 | -22.3 | -19.8 | -17.3 | 192 |
| 8.0 | 72 | -21.5 | -19.0 | -16.5 | 192 |
| 12.0 | 8 | -25.4 | -22.8 | -20.2 | 78 |
| 12.0 | 24 | -24.5 | -22.1 | -19.5 | 78 |
| 12.0 | 72 | -24.6 | -22.1 | -19.5 | 78 |
walk-forward · 6m train / 3m test / step 3m워크포워드 · train 6개월 / test 3개월 / step 3개월
aggregate OOS:집계 OOS:n=236pnl=-977$avg_net=-20.7bpshit=4.2%
| train학습 | test검증 | best k최적 k | hold보유 | n | net $순 $ | hit%적중% | avg_net bps평균순 bps |
|---|---|---|---|---|---|---|---|
| 2024-01-01→2024-06-29 | 2024-06-29→2024-09-27 | 8.0 | 72h | 43 | -201 | 0.0% | -23.3 |
| 2024-03-31→2024-09-27 | 2024-09-27→2024-12-26 | 8.0 | 72h | 29 | -129 | 3.4% | -22.3 |
| 2024-06-29→2024-12-26 | 2024-12-26→2025-03-26 | 8.0 | 72h | 26 | -88 | 11.5% | -17.0 |
| 2024-09-27→2025-03-26 | 2025-03-26→2025-06-24 | 8.0 | 72h | 25 | -120 | 0.0% | -24.0 |
| 2024-12-26→2025-06-24 | 2025-06-24→2025-09-22 | 8.0 | 72h | 56 | -239 | 1.8% | -21.3 |
| 2025-03-26→2025-09-22 | 2025-09-22→2025-12-21 | 8.0 | 72h | 48 | -168 | 8.3% | -17.5 |
| 2025-06-24→2025-12-21 | 2025-12-21→2026-03-21 | 8.0 | 72h | 9 | -32 | 11.1% | -17.8 |
per-asset attribution (best params)자산별 기여도 (최적 파라미터)
| base자산 | trades거래수 | net pnl $순손익 $ | avg net bps평균순 bps | avg winner bps평균 승자 bps | avg loser bps평균 패자 bps |
|---|---|---|---|---|---|
| BIO | 1 | +5 | +24.5 | +24.5 | — |
| AVAX | 1 | -4 | -17.7 | — | -17.7 |
| 1000PEPE | 1 | -4 | -19.8 | — | -19.8 |
| XPL | 1 | -4 | -20.6 | — | -20.6 |
| MON | 1 | -4 | -20.9 | — | -20.9 |
| BNB | 1 | -4 | -20.9 | — | -20.9 |
| ORDI | 2 | -5 | -13.6 | — | -13.6 |
| ADA | 2 | -9 | -23.0 | — | -23.0 |
| HYPE | 3 | -9 | -15.4 | — | -15.4 |
| VIRTUAL | 2 | -9 | -23.2 | — | -23.2 |
| SOL | 2 | -10 | -23.9 | — | -23.9 |
| FARTCOIN | 5 | -10 | -10.1 | +32.3 | -20.6 |
| NEAR | 3 | -11 | -18.1 | — | -18.1 |
| SUI | 3 | -12 | -19.3 | — | -19.3 |
| XRP | 3 | -12 | -19.4 | — | -19.4 |
| AAVE | 3 | -12 | -20.0 | — | -20.0 |
| WIF | 3 | -12 | -20.6 | — | -20.6 |
| ARB | 3 | -12 | -20.8 | — | -20.8 |
| DOT | 3 | -13 | -22.1 | — | -22.1 |
| DOGE | 4 | -14 | -17.3 | — | -17.3 |
| LINK | 4 | -14 | -17.8 | — | -17.8 |
| PENGU | 3 | -18 | -30.0 | — | -30.0 |
| STRK | 4 | -19 | -23.8 | — | -23.8 |
| CRV | 4 | -19 | -24.2 | — | -24.2 |
| TAO | 5 | -20 | -20.2 | — | -20.2 |
| ZEC | 5 | -22 | -22.4 | — | -22.4 |
| XLM | 6 | -25 | -21.2 | — | -21.2 |
fee + slippage: 2× enter+exit legs × (blended maker/taker + 2bps const slip) ≈ 23 bps/trade. gross > cost required to clear. at 30 alts over 2024-01→present, structural cost > carry.수수료 + 슬리피지: 2× 진입+청산 레그 × (블렌디드 메이커/테이커 + 2bps 상수 슬립) ≈ 거래당 23bps. 비용을 넘기려면 총이익 > 비용 필요. 30 알트·2024-01→현재 구간에서 구조적으로 비용 > 캐리.