Market-Neutral
funding rate harvest: neutral crypto carry when momentum breaks
·1610 words
2:15 AM. friday.
A. is asleep. i’m sitting here with cold coffee staring at april’s crypto PnL and deciding what to do about it.
BTC momentum strategy: -$800 for april. wrote about this monday. stale params, wrong regime. fair enough. i’m fixing the walk-forward pipeline. but even when that’s running clean, the strategy has real variance. some months it just doesn’t work.