Pre-registered proposal: reports/research_proposal_carry_basis_overlay.md. Defaults: look=168h, carry|z|>=1.5, basis|z|>=2.0, multipliers {0.5, 1.0, 1.25}. Window: 2024-06-04 .. 2026-07-31 (788 days, 167 SOL-gate60 long days) | Hyperliquid SOL funding cache for CARRY+BASIS; SOL daily bars from validation.common; _single_coin_decide on SOL gated by BTC ROC60, validated in reports/universe_generalization.md used to compute the SOL-gate60 target.
Diagnostics: corr(carry_z, basis_z) = +0.773 | fraction of long days with both signals stretched long (0.5x bucket): 0.9% | fraction with both signals stretched short (1.25x bucket): 0.8%.
| Variant | Days | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| baseline (gate60, no overlay) | 788 | 167 | -18.30% | -0.06 | 0.98 | -49.79% |
| primary overlay (0.5/1.0/1.25) | 788 | 167 | +5.18% | 0.24 | 1.07 | -42.13% |
| Bucket | Days | Share |
|---|
| 1.0x (no signal) | 129 | 77.2% |
| 1.0x (mixed) | 25 | 15.0% |
| 0.5x (both stretched long) | 7 | 4.2% |
| 1.25x (both stretched short) | 6 | 3.6% |
Bootstrap p(overlay beats baseline, full window): 0.007
Bootstrap p(IS < 2025-01-01): 0.175
Bootstrap p(OOS >= 2025-01-01): 0.014
| Segment | Variant | LongDays | Ret | Sharpe | PF |
|---|
| IS | baseline | 90 | +10.45% | 0.59 | 1.13 |
| IS | primary overlay | 90 | +16.44% | 0.77 | 1.18 |
| OOS | baseline | 77 | -26.03% | -0.45 | 0.85 |
| OOS | primary overlay | 77 | -9.67% | -0.07 | 0.97 |
| look (h) | carry z_enter | basis z_enter | LongDays | Ret | Sharpe | PF | MaxDD |
|---|
| 84 | 1.0 | 1.0 | 167 | +29.55% | 0.51 | 1.16 | -35.91% |
| 84 | 1.0 | 1.5 | 167 | +13.52% | 0.34 | 1.10 | -40.93% |
| 84 | 1.0 | 2.0 | 167 | +7.92% | 0.28 | 1.08 | -43.21% |
| 84 | 1.5 | 1.0 | 167 | +17.25% | 0.38 | 1.12 | -42.03% |
| 84 | 1.5 | 1.5 | 167 | +12.98% | 0.33 | 1.10 | -42.62% |
| 84 | 1.5 | 2.0 | 167 | +6.73% | 0.26 | 1.08 | -43.83% |
| 84 | 2.0 | 1.0 | 167 | +13.00% | 0.33 | 1.10 | -42.10% |
| 84 | 2.0 | 1.5 | 167 | +13.51% | 0.34 | 1.10 | -42.08% |
| 84 | 2.0 | 2.0 | 167 | +6.73% | 0.26 | 1.08 | -43.83% |
| 168 | 1.0 | 1.0 | 167 | +29.02% | 0.51 | 1.16 | -36.25% |
| 168 | 1.0 | 1.5 | 167 | +10.11% | 0.30 | 1.09 | -41.33% |
| 168 | 1.0 | 2.0 | 167 | +6.77% | 0.26 | 1.08 | -41.25% |
| 168 | 1.5 | 1.0 | 167 | +17.45% | 0.38 | 1.12 | -41.03% |
| 168 | 1.5 | 1.5 | 167 | +8.47% | 0.28 | 1.09 | -42.20% |
| 168 | 1.5 | 2.0 | 167 | +5.18% | 0.24 | 1.07 | -42.13% |
| 168 | 2.0 | 1.0 | 167 | +4.26% | 0.23 | 1.07 | -44.19% |
| 168 | 2.0 | 1.5 | 167 | +3.09% | 0.22 | 1.07 | -44.81% |
| 168 | 2.0 | 2.0 | 167 | +1.15% | 0.20 | 1.06 | -44.34% |
| 336 | 1.0 | 1.0 | 167 | +34.98% | 0.56 | 1.18 | -38.53% |
| 336 | 1.0 | 1.5 | 167 | +13.72% | 0.34 | 1.11 | -39.98% |
| 336 | 1.0 | 2.0 | 167 | +4.11% | 0.23 | 1.07 | -45.81% |
| 336 | 1.5 | 1.0 | 167 | +15.58% | 0.36 | 1.11 | -41.24% |
| 336 | 1.5 | 1.5 | 167 | +10.00% | 0.30 | 1.09 | -41.24% |
| 336 | 1.5 | 2.0 | 167 | +2.97% | 0.22 | 1.07 | -46.40% |
| 336 | 2.0 | 1.0 | 167 | +0.35% | 0.19 | 1.06 | -47.56% |
| 336 | 2.0 | 1.5 | 167 | +0.35% | 0.19 | 1.06 | -47.56% |
| 336 | 2.0 | 2.0 | 167 | -4.74% | 0.12 | 1.04 | -49.92% |
- IS baseline Sharpe: 0.59, ret +10.45%, maxDD -29.82%
- IS overlay Sharpe: 0.77, ret +16.44%, maxDD -27.02%
- OOS baseline Sharpe: -0.45, ret -26.03%, maxDD -40.81%
- OOS overlay Sharpe: -0.07, ret -9.67%, maxDD -34.39%
- Pre-registered pass: OOS Sharpe +>= 0.10 AND p < 0.05 AND maxDD not +> 5pp
- Result: PASS
- Inert signal risk: if <5% of long days trigger either 0.5x or 1.25x, the overlay is a no-op and the experiment is a wash. Reported as INERT in the verdict.
- Threshold tuning: the proposal pre-registers look=168h, carry_enter=1.5, basis_enter=2.0. The robustness grid is REPORTED, not selected. Picking the IS winner would be the look-ahead bug class that bit R10-13.
- Hyperliquid only: Binance/Bybit/OKX funding are geo-blocked from this IP (451/403). Hyperliquid started in 2023; the cache is the longest available free source. Binance USDT-M funding IS in the metrics cache but is perpetual-rate only, not the premium index; the BASIS leg specifically needs premium.
- Hyperliquid is one venue: cross-venue funding arbitrage (HL vs Binance) is not what this study tests; this study asks whether HL alone is informationally useful as a sizing overlay on a slow-trend signal.
- CARRY and BASIS are correlated: corr reported above. If corr > 0.7, the composite is one-dimensional and the two-signal framing is misleading; the overlay is then a single-signal gate with two thresholds.
- Multipliers are heuristic: 0.5x and 1.25x are the natural ±50% / ±25% asymmetry, not the result of an optimization. An optimization step would re-introduce the threshold-tuning look-ahead; the honest path is to report the asymmetry you chose and let the verdict be what it is.