Mechanism diagram · Rule / Decile
How it works
At each bar, each coin's funding rate is normalised to a z-score against its own history.
Coins are ranked cross-sectionally by funding z. The top decile and bottom decile define the long/short positions.
No model training. The rule is the architecture.
Pros and cons on this universe
Pros
- Most orthogonal arm on the screen (distinctness 0.66) — useful diversifier.
- Rank #20 IC — positive despite being a single-feature rule.
- Zero training cost; reproducible from raw data.
Cons / failure modes
- Not actually a “neural architecture.”
- Weak vs TimeMixer alone — rules decay as their statistical bias erodes.
- STRAT-17 deployment failed (walk-forward −0.527 Sharpe). The rule does not survive standalone deployment.