Basis Mean-Reversion
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Total Return
+3857.4%
CAGR
+81.4%
Sharpe
1.95
Max Drawdown
-34.1%
Annual Vol
33.5%
Win Rate
45.7%
Starting Capital
$50K
Fees
7bps RT
Trades
~5,989
Timeframe
Daily
Robustness
4/5
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Strategy
Market-neutral strategy that trades the perp-spot basis derived from cumulative funding rates. When an asset's basis deviates from its own history, the strategy fades the deviation and collects carry as it normalises.
Signal Construction
  • Basis proxy: 24-hour cumulative funding rate — approximates the perp premium/discount
  • Fast z-score: (basis - 14-day mean) / 14-day std — captures short-term extremes
  • Entry threshold: Trade when |z-score| > 1.5 standard deviations
  • Direction: Long when basis is abnormally low (shorts overpaying), short when abnormally high (longs overpaying)
  • Time-series signal — each asset evaluated independently against its own history
Portfolio Construction
  • Positions: Top 10 long, bottom 10 short by z-score ranking
  • Weighting: Equal weight, max 15% per position. 50% long / 50% short
  • Gross exposure: 1x (no leverage)
  • Rebalance: Daily (every 1 day)
Risk Management
  • Market neutral: Equal long/short exposure — not dependent on crypto direction
  • No leverage: 1x gross exposure
  • Fees: 7bps round-trip per rebalance
Universe
Binance Futures · 91 perpetuals · $10M+ 60-day median daily volume · Funding rate data (8-hourly) · Stablecoins & wrapped excluded · Deterministic tie-breaking · Equal-weight positions
Execution
Market Neutral · Long/Short · 7bps RT fees · Daily rebalance · Vol-targeted leverage
Result
$50,000 → $1,978,679 over 6.2 years
Equity Curve — $50K start (2020 – 2026)

These results are based on historical backtesting and are hypothetical in nature. They do not represent actual trading results. Backtested performance does not account for real-world factors including slippage beyond fee assumptions, exchange downtime, liquidity constraints, market impact, and execution delays. Actual results may differ materially.

Drawdown
Robustness Checks — 4/5 passed
Sample Size
Continuous daily positions across 91 liquid coins — statistically robust
Regime Testing
Profitable in 4/5 years; 2022 bear market: -2.6%
Decay Analysis
First half avg Sharpe 1.93, second half 2.79 (145% retention)
Monte Carlo
Not significant (p=0.570) — expected for continuously-invested market-neutral strategies
Walk-Forward OOS
IS Sharpe 1.93 (2022-2023), OOS Sharpe 2.79 (2024-2026) — 145% retention
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Monthly heatmaps and trade breakdowns are available on the Researcher plan.
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Monthly Returns
Best & Worst Trades
Top 20 Trades
#CoinEntry → ExitReturn
1TRB (LONG)2023-08-23 → 2023-10-04+368.3%
2ZEREBRO (LONG)2025-04-14 → 2025-04-28+187.3%
3KAITO (LONG)2025-05-05 → 2025-05-31+145.7%
4ETC (LONG)2022-07-14 → 2022-08-19+128.5%
5IP (LONG)2025-08-28 → 2025-09-22+128.4%
6APT (LONG)2023-01-18 → 2023-02-02+126.2%
7COMP (LONG)2023-06-12 → 2023-07-06+116.0%
8SPX (LONG)2025-05-07 → 2025-05-31+101.7%
9ZEN (LONG)2024-12-19 → 2024-12-22+101.2%
10SUSHI (LONG)2023-10-19 → 2023-11-03+98.7%
11TURBO (LONG)2025-04-22 → 2025-04-25+96.9%
12FARTCOIN (SHORT)2025-01-20 → 2025-01-27+93.6%
13GALA (SHORT)2022-05-05 → 2022-05-11+92.4%
14TNSR (SHORT)2025-03-09 → 2025-03-20+89.1%
15DYDX (SHORT)2022-05-09 → 2022-05-12+84.5%
16ATOM (SHORT)2022-05-05 → 2022-05-12+82.5%
17PEOPLE (LONG)2024-01-04 → 2024-01-05+82.3%
18TIA (SHORT)2025-11-08 → 2025-12-01+78.2%
19LISTA (LONG)2025-02-10 → 2025-02-12+76.3%
20BIGTIME (SHORT)2024-03-29 → 2024-04-15+74.5%
Bottom 20 Trades
#CoinEntry → ExitReturn
1ZEREBRO (SHORT)2025-04-22 → 2025-04-28-104.8%
21000FLOKI (SHORT)2024-03-02 → 2024-03-10-88.1%
3TRB (SHORT)2023-08-29 → 2023-10-04-88.0%
4BERA (SHORT)2026-02-10 → 2026-02-20-85.5%
5OP (SHORT)2022-07-13 → 2022-08-19-82.2%
6LAYER (LONG)2025-05-05 → 2025-05-31-76.1%
71000LUNC (SHORT)2023-11-22 → 2023-12-03-73.6%
8APT (SHORT)2023-01-15 → 2023-02-02-72.5%
9ETC (SHORT)2022-07-13 → 2022-08-19-72.1%
10ADA (SHORT)2025-03-02 → 2025-03-03-65.2%
11ENS (SHORT)2024-01-08 → 2024-02-12-65.0%
12DYDX (SHORT)2023-01-19 → 2023-02-10-62.6%
13XLM (SHORT)2023-07-07 → 2023-07-25-61.5%
14WCT (LONG)2025-05-31 → 2025-06-06-60.2%
151000PEPE (SHORT)2024-02-27 → 2024-02-28-57.4%
16WLD (SHORT)2023-12-13 → 2023-12-16-55.8%
17WIF (SHORT)2024-03-01 → 2024-03-02-55.1%
18ZK (LONG)2025-11-06 → 2025-12-01-54.3%
19CRV (SHORT)2024-12-02 → 2024-12-06-53.5%
20RESOLV (LONG)2025-09-22 → 2025-10-12-53.4%

Loot-Fi publishes historical backtesting research for educational purposes only. Nothing on Loot-Fi constitutes financial advice, a recommendation to buy or sell any asset, or an invitation to invest. Past performance in backtesting does not guarantee future results. All trading involves risk, including the loss of your entire investment. You should consult a licensed financial adviser before making any investment decisions.

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