Crypto Funding Carry
DELTA-NEUTRAL BTC+ETH · LONG SPOT / SHORT PERP · PAPER▶About this strategy — what it is, what it looks for, how it operates
Delta-neutral crypto funding carry — long spot / short perpetual on BTC + ETH, collecting the funding leveraged longs pay shorts. Genuinely SPY-uncorrelated (corr −0.09). Majors-only, always-on, 2× capital buffer, with a kill-switch that flattens a leg on negative trailing funding or basis dislocation.
- Tradelong $notional spot + short equal $notional perp per asset; net funding accrues to the short
- UniverseBTC + ETH only (expansion study rejected alts — they dilute Sharpe & funding is 0.3-0.5 correlated)
- Backtest~6-7% on capital, Sharpe 5-8, max DD <2%, SPY corr −0.09 (2020-2026 incl. COVID/LUNA/FTX)
- Honest caveatPAPER only — no clean US-legal high-economics venue today (Kalshi perps net < T-bills; offshore US-restricted). Live-verified mechanics; funding gated on economics. See FUNDING_CARRY_EXECUTION.md.
Backtest — 5-fold walk-forward, honest true-daily marks (2024-01 → 2026-05)
Sharpe
7.9
Win rate
—
CAGR
+6.3%
Max DD
-0.7%
Backtest numbers, not live results — measured on honest true-daily marks across a 5-fold walk-forward with 10bps costs. Past performance does not guarantee future returns.
TOTAL P&L
+$18,202
+22.19% on $0 deployed
REGIME PAUSED
VIX —
PERFORMANCE
RETURN
+0.22%
+$222 on capital deployed
SHARPE
—
need 1 more days
WIN RATE
—
0 closed (0 open)
MAX DD
-0.03%
worst drawdown
REALIZED P&L
+$18,202
0 closed trades
UNREALIZED P&L
$0
0 open positions
LONG EXPOSURE
$0
net $0
SHORT EXPOSURE
$0
gross $0
Open Positions0 held · live MTM
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