Ranked dislocations within each pair's own history.
CASE 06 · DELTA-NEUTRAL CARRY
Funding-Rate Carry Framework
Bybit spot/perpetual pairs · Funding z-scores · Depth-aware position sizing
PAIR UNIVERSE5
Spot/perpetual pairs on Bybit.
HISTORY1 YEAR
Second-level market data.
BOOK INPUTL1 / L2
Depth-aware execution gating.
HANDOFFLIVE
Sold to an independent operator.
FRAMEWORK
Carry survives only after execution frictions.
The research separated signal selection, executable depth and settlement accounting so an attractive funding observation could not automatically become a position.
Reduced size when visible depth could not support both legs.
Paired legs to constrain directional exposure.
Applied fees, funding settlements and slippage.
RESEARCH PIPELINE
From raw books to an executable decision.
The implementation used Python and CCXT, while the public case study deliberately excludes operator-specific thresholds, position sizes and performance.
Normalize
Aligned second-level funding, spot, perpetual and order-book observations.
Standardize
Converted funding behavior into pair-level z-score states.
Gate
Conditioned entries and size on executable L1/L2 depth.
Backtest
Replayed one year with fees, funding settlements and slippage.
Transfer
Delivered the framework to an independent operator for live use.
EXECUTION PRINCIPLE
Depth determines capacity.
Signal strength alone did not set position size. Both legs had to remain executable under the displayed order book and modeled slippage.
DISCLOSURE BOUNDARY
No unsupported performance claim.
The code, thresholds and operator results remain private. This page documents the research architecture and verified scope only.