coins ['BTC', 'ETH', 'SOL', 'XRP', 'LINK', 'AVAX', 'DOGE', 'ADA'] | long top-k / short bottom-k premium_z, dollar-neutral, hold R days | costs on turnover | IS < 2025-01-01 <= OOS
| k | R(d) | cost bps | OOS Sharpe | OOS ret | OOS maxDD | IS Sharpe | turn/day |
|---|---|---|---|---|---|---|---|
| 2 | 5 | 0 | +1.03 | +79.1% | -32.7% | -0.40 | 0.541 |
| 2 | 5 | 10 | +0.53 | +26.2% | -33.3% | -0.65 | 0.541 |
| 2 | 21 | 0 | -0.96 | -54.8% | -65.8% | -0.45 | 0.134 |
| 2 | 21 | 10 | -1.08 | -58.4% | -68.3% | -0.49 | 0.134 |
| 3 | 5 | 0 | +1.18 | +67.8% | -28.8% | -0.01 | 0.425 |
| 3 | 5 | 10 | +0.59 | +24.6% | -29.7% | -0.19 | 0.425 |
| 3 | 21 | 0 | -1.07 | -43.1% | -54.4% | -0.20 | 0.110 |
| 3 | 21 | 10 | -1.24 | -47.3% | -57.5% | -0.24 | 0.110 |
Equal-weight long crypto (beta) OOS: Sharpe -0.26, ret -50.9%, maxDD -71.5%
Long top-k / short bottom-k by 90d z of the perp-vs-index premium. Dollar-neutral; a positive result must beat the equal-weight beta baseline net of costs.