H-035: Corto en monedas cuando el funding semanal de BTC supera su percentil 90 de 3 años, largo si no
No supera Tipo: carry · Estado: rechazada
¿Un funding extremo de BTC anticipa caídas cripto? La idea no superó a simplemente comprar la moneda y mantenerla. Queda rechazada.
Resultado
oos: wins 0/11 (need 1), beats buy-and-hold 0/11
| Activo | Periodo | Sharpe | Sharpe mantener | CAGR | CAGR mantener | Caída máxima | Caída mantener | En mercado | p-valor | Gana a mantener | Cuenta como acierto |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BTCUSDT | oos (2022-01-06 → 2026-11-03) | 0.30 | 0.49 | +2.4% | +12.7% | -66.7% | -66.7% | 100% | 0.823 | no | no |
| ETHUSDT | oos (2022-01-06 → 2026-11-03) | 0.05 | 0.21 | -18.2% | -8.8% | -76.6% | -71.7% | 100% | 0.810 | no | no |
| SOLUSDT | oos (2022-01-06 → 2026-11-03) | 0.20 | 0.35 | -21.7% | -10.0% | -93.6% | -93.6% | 100% | 0.791 | no | no |
| BNBUSDT | oos (2022-01-06 → 2026-11-03) | 0.03 | 0.42 | -13.2% | +8.3% | -63.4% | -60.5% | 100% | 0.997 | no | no |
| XRPUSDT | oos (2022-01-06 → 2026-11-03) | -0.19 | 0.51 | -38.9% | +11.0% | -93.6% | -72.0% | 100% | 0.997 | no | no |
| ADAUSDT | oos (2022-01-06 → 2026-11-03) | -0.27 | -0.02 | -45.9% | -32.1% | -97.0% | -91.0% | 100% | 0.939 | no | no |
| LTCUSDT | oos (2022-01-06 → 2026-11-03) | -0.21 | 0.11 | -34.6% | -17.2% | -91.3% | -72.9% | 100% | 0.983 | no | no |
| LINKUSDT | oos (2022-01-06 → 2026-11-03) | -0.14 | 0.23 | -38.8% | -15.8% | -94.5% | -81.7% | 100% | 0.972 | no | no |
| DOGEUSDT | oos (2022-01-06 → 2026-11-03) | 0.09 | 0.26 | -26.5% | -14.4% | -85.8% | -85.2% | 100% | 0.862 | no | no |
| XLMUSDT | oos (2022-01-06 → 2026-11-03) | -0.44 | 0.29 | -54.9% | -9.7% | -98.2% | -74.8% | 100% | 0.991 | no | no |
| TRXUSDT | oos (2022-01-06 → 2026-11-03) | 0.34 | 0.75 | -30.6% | +36.7% | -97.1% | -51.1% | 100% | 0.989 | no | no |
Curvas de capital
Crecimiento de 1 unidad, escala logarítmica, con comisiones. Solo cuentan los días en que la regla está plenamente definida.
La misma regla en todas las monedas
Prueba exploratoria de esta regla en todas las monedas desde 2022-01-01. No forma parte del veredicto de arriba.
- ✓funciona (pasó el control del azar)
- ↑mejor que mantener, puede ser suerte
- ✗peor que mantener
- ·pocos datos
- moneda de la hipótesis original
| Moneda | ✓ | Resultado | Sharpe: regla / mantener | CAGR | Desde |
|---|---|---|---|---|---|
| BTC | ✗ | peor que mantener | 0.30 / 0.49 | +2% / +13% | 2022-01-06 |
| ETH | ✗ | peor que mantener | 0.04 / 0.21 | -18% / -9% | 2022-01-06 |
| SOL | ✗ | peor que mantener | 0.20 / 0.35 | -22% / -10% | 2022-01-06 |
| BNB | ✗ | peor que mantener | 0.02 / 0.42 | -13% / +8% | 2022-01-06 |
| XRP | ✗ | peor que mantener | -0.19 / 0.51 | -39% / +11% | 2022-01-06 |
| ADA | ✗ | peor que mantener | -0.28 / -0.02 | -46% / -32% | 2022-01-06 |
| LTC | ✗ | peor que mantener | -0.21 / 0.11 | -35% / -17% | 2022-01-06 |
| LINK | ✗ | peor que mantener | -0.14 / 0.23 | -39% / -16% | 2022-01-06 |
| DOGE | ✗ | peor que mantener | 0.09 / 0.26 | -27% / -14% | 2022-01-06 |
| XLM | ✗ | peor que mantener | -0.45 / 0.29 | -55% / -10% | 2022-01-06 |
| TRX | ✗ | peor que mantener | 0.34 / 0.75 | -31% / +37% | 2022-01-06 |
| EVER | ✗ | peor que mantener | -0.22 / -0.17 | -71% / -69% | 2022-03-19 |
| GRAM | ✗ | peor que mantener | -0.42 / 0.12 | -45% / -18% | 2023-03-14 |
Por qué podría funcionar
Very high BTC funding means crowded longs paying shorts; such extremes may precede pullbacks as the premium mean-reverts. The model drafted it for BTC only (its rationale read high funding as short-side pressure); widened to every coin (rule 7) on 2026-11-04, before any test. The signal stays BTC's funding; Binance coins trade long/short at the futures taker fee.
Historial de veredictos
- 2026-11-04: No supera (este motor, datos hasta 2026-11-03)
Especificación prerregistrada
kind: timing_rule
rule:
type: feature_vs_rolling_quantile
feature: funding_btc_7d
q: 0.9
long_when: not_above
lookback: 1095
min_periods: 730
lag: 1
mode: long_short
fee: 0.0005
universe:
- BTCUSDT
- ETHUSDT
- SOLUSDT
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
periods:
- name: oos
start: '2022-01-01'
significance:
method: circular_shift
n: 2000
alpha: 0.0038
criterion:
min_wins:
oos: 1
require_significance: true