SUBSET RUN (BASIS5, LIQDOSE): closes the unrun-config loop only. Family-wise discipline applies (K≈38 across the full matrix + this run); a lone pass without DSR survival is noise. Sibling results reproduced verbatim in the main report.
Universe: 1Hour={BTC ETH SOL XRP LINK AVAX DOGE ADA}, 5Min={BTC ETH} | capital $100,000 | fees 5bps/side + slip + volume caps | fills t+1 open, intrabar stops
| Strategy | Edge | TF | Hold | Trades | PF | WR | Ret | MaxDD | Sharpe | CAGR | AvgHold | Fees$ | Fund$ | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BASIS5@5Min_h36 | BASIS5 | 5Min | 3h | 12,780 | 0.613 | 28.0% | -0.6% | 0.6% | -11.40 | -0.2% | 16.8 | 407 | -4 | REJECT |
| LIQDOSE@5Min_h12 | LIQDOSE | 5Min | 1h | 496 | 0.594 | 41.5% | -0.0% | 0.0% | -2.07 | -0.0% | 9.8 | 9 | -0 | REJECT |
| LIQDOSE@5Min_continue_LO_h36 | LIQDOSE | 5Min | 3h | 464 | 0.580 | 32.3% | -0.0% | 0.0% | -1.86 | -0.0% | 21.7 | 8 | -0 | REJECT |
| BASIS5@5Min_h12 | BASIS5 | 5Min | 1h | 9,672 | 0.529 | 34.4% | -0.5% | 0.5% | -12.12 | -0.1% | 8.8 | 305 | -2 | REJECT |
Edge families
- BREAKOUT: Donchian window break + volume expansion, ATR-scaled score
- LEADLAG: BTC impulse z-score leads corr-gated alts (1-bar lag)
- PAIRSZ: log-ratio z>=2.0 mean reversion on cointegrated pairs
- FLOW: bar-placement flow proxy x volume/trade-count z (OBI lite)
- CARRY: fade extreme annualized funding (crowded-side contrarian)
- BASIS: fade extreme perp-vs-spot premium (basis reversion)
- CASCADE_LITE: post-cascade reversion via funding-shock proxy (OI pending)
- OICASCADE: real OI collapse + same-direction flush, revert/continue
- POSITION: fade extreme top-trader long/short ratio (Binance)
- TAKERFLOW: fade/ride extreme taker aggressive-flow ratio (real OBI)
- SEASON: hour-of-day bitcoin drift, expanding-window (Padysak-Vojtko)
- VPIN: volume-bucket VPIN on trade tape; ride/revert informed flow
- OBI: tick-exact OBI z on tape (aggressor buy vs sell vol)
- BASIS5: fade extreme 5m perp-vs-spot basis z (real Binance spot)
- LIQDOSE: OI collapse + extreme tape aggression cascade, ride or revert
Feeds: Hyperliquid hourly funding/premium (data/hyperliquid.py); Binance USDT-M 5-min OI / top-trader / taker-flow metrics and full trade tape -> 5-min signed volume (data/binance_vision.py). Pending: L2 book depth (bookDepth zips exist — OBI depth edge), liquidationSnapshot (not published on data.binance.vision), cross-venue arb, news, on-chain.
Funding: hourly funding accrued on held positions from the Hyperliquid cache (long pays rate>0, short receives); the flat per-bar short approximation is off when funding feeds.