Crypto

Perpetual-futures funding carry, basis, venue structure and stablecoin dislocation — the sleeve family where this book has the longest live record.

• Crypto Dated-Futures Basis (campaign): a killed candidateScreened at an apparent 1.47 but refuted 3x and reproduced from scratch: the 8.2%/yr 'carry' is a roll-accounting fiction — the kept days (+0.55) and the…
• Crypto Low-Volatility: a killed candidateThe STRONGEST in-sample signal the 200+-factor campaign found anywhere (Rank-IC t = 6.66). Full purged walk-forward: net Sharpe 0.69 — respectable.
• Crypto Multi-Venue Funding Aggregation (probe): a killed candidateWould aggregating funding across exchanges beat our Binance-only carry signal?
• Crypto Short-Horizon Trend (campaign): a killed candidateThe strong 0.60 screen lives entirely in the untradeable 2016-18 illiquid era; modern crypto is flat-to-dead with a catastrophic -4.88 skew (crash-day…
• Crypto Variance-Risk-Premium (campaign): a killed candidatePitched at 2.15 Sharpe — the headline was a 252-vs-365 vol-annualization error inventing a phantom 15-vol-point premium.
• Funding Term-Structure / Slope (campaign): a killed candidateThe decorrelated residual is noise (worked pre-2023, inverted after: +1.11 then -1.43); the only version that makes money is leaked carry-LEVEL — a…
• Stablecoin par dislocations: literature and implementation boundaryFiat-backed stablecoins have a two-tier market. A limited set of eligible institutions can transact with the issuer near par, while everyone else trades in…
• Stablecoin par dislocations: locked no-return feasibility protocolCan an eligible institution reconstruct and execute USDC secondary-to-primary redemption with point-in-time legal, operational, venue, chain, and banking…