Statistical Arbitrage in Cryptocurrencies
Momentum, reversal, order-flow and funding-carry strategies on 2020–26 Binance spot and perp data, combined into a walk-forward book. The interesting part is what happened when I stopped letting the data flatter it.
Strategy configs researched and registered
Book beta to BTC
Funding-carry Sharpe, dev / validation
Order-flow P&L lost to missed limit fills
Lockbox Sharpe of the frozen book, one realism fix at a time
Survivorship bias. The research coin list was missing 46% of the historical top-100; putting the delisted coins back took most of the edge with it.
