rams/ftdt-quant-lab
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Funding Rate Arb: historical backtests running (was pass/skip)

Browse Source 
Historical runner:
  - funding_arb was just "pass" — replaced with hourly trend proxy
  - Annualizes 1h return as funding rate: rate = ret_1h * 365 * 24
  - Entry when |annual_rate| > 3%, scales strength with rate

Backtest results (30-day, 720h candles):
  BTC: +146.94% net, 75% win, 72 trades
  ETH: -13.76% net, 69% win, 87 trades
  HYPE: -0.95% net, 73% win, 63 trades
  VVV: +0.10% net, 78% win, 86 trades

Total: 32 historical backtests (8 strategies x 4 coins)
Cleaned 4 duplicate files from old names
This commit is contained in:
ramseshk
2026-08-05 07:10:39 +00:00
parent 70d43fefe0
commit 803a38b237
7 changed files with 10368 additions and 7279 deletions
Download Patch File Download Diff File Expand all files Collapse all files