Funding Farming펀딩 파밍
Sparse Event (single-venue funding spikes)Sparse Event (단일 베뉴 펀딩 스파이크)
Trigger when ONE venue's |funding_8h| crosses z-threshold vs its own 30d sigma AND clears an absolute floor. Enter delta-neutral vs opposite-polarity venue. Exit on rebound, flip, or max hold.한 베뉴의 |funding_8h|가 자체 30일 시그마 대비 z-임계치를 넘고 절대 하한도 통과할 때만 진입. 반대 부호 베뉴에 대해 델타 뉴트럴로 헤지. 반락/플립/최대 홀드 시 청산.
REJECTEDOOS walk-forward (6m train / 3m test): avg net -1.36 bps, hit 26.7%, n=30. IS Sharpe 1.91 was selection bias from the funding-dispersion sub-window; signal does not survive holdout.OOS 워크포워드(6m 학습 / 3m 테스트): avg net -1.36 bps, hit 26.7%, n=30. IS Sharpe 1.91은 funding-dispersion sub-window selection bias. 홀드아웃에서 깨짐.
Sample note: n=21. Small-sample inference is noisy; treat as exploratory.샘플 주의: n=21. 통계 유의성 약함. 참고용.
Performance (best params)퍼포먼스 (최적 파라미터)
sharpe샤프 4.45
sortino소르티노 8.95
calmar칼마 31.68
max dd최대 낙폭 -0.05%
hit rate적중률 47.62%
win/loss승/패 1.85
fee drag수수료 드래그 56.27%
turnover (a)회전율 (연) 18.04x
Best param set (by total net pnl)최적 파라미터 (총 net pnl 기준)
z 2.5
floor 100 bps/8h
max_hold 16h
maker_ratio 0.70
n_trades 21
n_bases 8
avg_gross 37.54 bps
avg_net +16.4 bps
avg_hold 12.19 h
avg event level 159 bps/8h
total_net_pnl $69
OOS walk-forward (6m train / 3m test)OOS 워크포워드 (6개월 학습 / 3개월 테스트)
OOS n 30
OOS avg net bps -1.4
OOS hit% 26.7%
OOS net $ -8
| train | test | chosen (z/floor/hold/mr) | test n | test net bps | test hit% | test net $ |
|---|---|---|---|---|---|---|
| 2024-01-01 → 2024-06-29 | 2024-06-29 → 2024-09-27 | z2.5 · 30bps · 24h · mr0.90 | 0 | - | 0.0% | - |
| 2024-09-27 → 2025-03-26 | 2025-03-26 → 2025-06-24 | z4.0 · 30bps · 24h · mr0.90 | 6 | +10.4 | 66.7% | +13 |
| 2024-12-26 → 2025-06-24 | 2025-06-24 → 2025-09-22 | z2.5 · 100bps · 16h · mr0.90 | 2 | -3.0 | 50.0% | -1 |
| 2025-03-26 → 2025-09-22 | 2025-09-22 → 2025-12-21 | z2.5 · 50bps · 24h · mr0.90 | 21 | -3.8 | 14.3% | -16 |
| 2025-06-24 → 2025-12-21 | 2025-12-21 → 2026-03-21 | z2.5 · 100bps · 16h · mr0.90 | 1 | -17.5 | 0.0% | -4 |
Exit reason breakdown청산 사유 분포
| reason사유 | trades거래수 | avg net bps평균 net bps | avg hold h평균 홀드 |
|---|---|---|---|
| rebound | 16 | -6.8 | 11.0 |
| max_hold | 4 | +124.2 | 16.0 |
| flip | 1 | -44.0 | 16.0 |
Per event-venue attribution이벤트 베뉴별 기여
| venue베뉴 | trades거래수 | net pnl $순손익 $ | avg net bps평균 net bps |
|---|---|---|---|
| hyperliquid | 13 | +36 | +13.7 |
| bybit | 5 | +26 | +25.7 |
| binance | 3 | +7 | +12.5 |
Param sweep (top 20 by net pnl)파라미터 스윕 (net pnl 상위 20)
| z | floor | hold | mr | n | bases | gross | net bps | hit%적중% | net $ |
|---|---|---|---|---|---|---|---|---|---|
| 2.5 | 100 | 16h | 0.70 | 21 | 8 | 37.54 | +16.4 | 47.6% | +69 |
| 2.5 | 100 | 8h | 0.70 | 28 | 8 | 33.07 | +11.9 | 46.4% | +66 |
| 2.5 | 100 | 16h | 0.50 | 21 | 8 | 37.54 | +13.9 | 47.6% | +58 |
| 2.5 | 100 | 24h | 0.70 | 20 | 8 | 35.75 | +14.6 | 45.0% | +58 |
| 3.0 | 100 | 24h | 0.70 | 20 | 8 | 34.44 | +13.3 | 45.0% | +53 |
| 2.5 | 100 | 8h | 0.50 | 28 | 8 | 33.07 | +9.4 | 46.4% | +52 |
| 2.5 | 100 | 24h | 0.50 | 20 | 8 | 35.75 | +12.1 | 45.0% | +48 |
| 2.5 | 100 | 16h | 0.30 | 21 | 8 | 37.54 | +11.4 | 47.6% | +48 |
| 3.0 | 100 | 24h | 0.50 | 20 | 8 | 34.44 | +10.8 | 45.0% | +43 |
| 3.0 | 100 | 16h | 0.70 | 20 | 8 | 31.52 | +10.4 | 45.0% | +41 |
| 3.0 | 100 | 8h | 0.70 | 26 | 8 | 28.92 | +7.7 | 42.3% | +40 |
| 2.5 | 100 | 24h | 0.30 | 20 | 8 | 35.75 | +9.6 | 45.0% | +38 |
| 2.5 | 100 | 8h | 0.30 | 28 | 8 | 33.07 | +6.8 | 46.4% | +38 |
| 3.0 | 100 | 24h | 0.30 | 20 | 8 | 34.44 | +8.3 | 45.0% | +33 |
| 3.0 | 100 | 16h | 0.50 | 20 | 8 | 31.52 | +7.9 | 45.0% | +31 |
| 2.5 | 50 | 24h | 0.70 | 55 | 21 | 23.67 | +2.5 | 32.7% | +27 |
| 3.0 | 100 | 8h | 0.50 | 26 | 8 | 28.92 | +5.2 | 42.3% | +27 |
| 3.0 | 100 | 16h | 0.30 | 20 | 8 | 31.52 | +5.4 | 45.0% | +21 |
| 3.0 | 100 | 8h | 0.30 | 26 | 8 | 28.92 | +2.6 | 42.3% | +14 |
| 3.0 | 50 | 24h | 0.70 | 54 | 21 | 21.74 | +0.5 | 31.5% | +6 |
Per-asset attribution (best params, top 15)자산별 기여 (최적 파라미터, 상위 15)
| base자산 | trades거래수 | net pnl $순손익 $ | avg net bps평균 net bps |
|---|---|---|---|
| BIO | 7 | +59 | +42.4 |
| ZEC | 5 | +39 | +38.7 |
| STABLE | 2 | +19 | +46.4 |
| TAO | 1 | -4 | -19.9 |
| XPL | 1 | -4 | -20.6 |
| PENGU | 1 | -5 | -24.8 |
| SOL | 1 | -7 | -33.6 |
| WIF | 3 | -28 | -46.4 |
Largest events by |z| (best params)최대 |z| 상위 이벤트
| ts | base자산 | event venue이벤트 베뉴 | hedge venue헤지 베뉴 | sign | lvl bps/8h | z | hold h | net bps | exit |
|---|---|---|---|---|---|---|---|---|---|
| 2025-10-11 00:00 | SOL | hyperliquid | binance | - | 105 | 9.6 | 8.0 | -33.6 | rebound |
| 2026-02-16 08:00 | TAO | hyperliquid | binance | - | 117 | 9.5 | 8.0 | -19.9 | rebound |
| 2025-10-11 00:00 | PENGU | bybit | binance | - | 103 | 9.5 | 8.0 | -24.8 | rebound |
| 2026-04-15 16:00 | BIO | hyperliquid | binance | - | 115 | 9.5 | 8.0 | -37.9 | rebound |
| 2025-10-20 08:00 | BIO | bybit | binance | - | 144 | 9.4 | 16.0 | +18.9 | rebound |
| 2025-08-27 16:00 | BIO | bybit | binance | - | 126 | 9.2 | 8.0 | -21.5 | rebound |
| 2025-04-07 08:00 | ZEC | binance | bybit | - | 164 | 9.2 | 16.0 | -208.1 | rebound |
| 2025-10-20 16:00 | BIO | hyperliquid | binance | - | 273 | 8.5 | 8.0 | +38.2 | rebound |
| 2025-10-11 00:00 | XPL | hyperliquid | binance | - | 105 | 8.2 | 8.0 | -20.6 | rebound |
| 2026-04-13 16:00 | STABLE | hyperliquid | binance | - | 326 | 8.2 | 8.0 | -0.1 | rebound |
Period 2024-01-01 - 2026-04-24. Universe = top-100 cross-venue canonical bases by funding history. ~23 bps RT cost at 0.7 maker ratio (higher at 0.5/0.3). Honest read: edge exists but net of realistic fees it's noise. "rebound" exits lose, "max_hold" carries the P&L - signals that extremes often persist rather than snap back.구간 2024-01-01 - 2026-04-24. 유니버스 = top-100 크로스-베뉴. 0.7 maker 기준 왕복 ~23bps 비용 (0.5/0.3에서는 더 비쌈). 솔직한 읽기: 총카리 기준 edge 존재하나 현실 수수료 감안 후 노이즈 수준. "rebound" 청산은 손실, "max_hold"가 수익 대부분 - 극단치가 즉시 회귀보단 지속되는 경향.