Phase 1.1 — Funding Harvest: Validated Strategy Findings
Date: 2026-04-11
Status: ✅ VALIDATED
Summary
Funding rate harvest (delta-neutral short perp + long spot) is validated as the primary trading strategy for Agos.
| Metric | Result | Target | Status | |--------|--------|--------|--------| | Annual Return | 5.67% | ≥ 4% | ✅ Pass | | Sharpe Ratio | 29.70 | ≥ 10 | ✅ Pass | | Max Drawdown | -0.17% | ≤ 2% | ✅ Pass | | Monthly Win Rate | 92% | ≥ 80% | ✅ Pass |
Strategy
- Long: Spot BTC
- Short: Perp futures (BTCUSDT)
- Size: Delta-neutral ($500 notional per leg)
- P&L Source: Funding payments every 8 hours
Data
- Period: 2024-04 to 2026-04 (2 years, 2190 periods)
- Source: Binance funding rate API
- Script:
research/phase1_01_funding_primary.py
Results
Total P&L: $56.62
Annual Return: +5.67%
Sharpe Ratio: 29.70
Max Drawdown: -0.17%
Monthly Win Rate: 92%
Why This Works
Crypto markets are structurally long-biased. Funding rates are typically positive (shorts receive payments). This is a regime-agnostic strategy — it doesn't depend on price direction.
Risks
- Funding inversion — rates can turn negative during bull runs
- Exchange risk — counterparty exposure on Binance
- Basis risk — perp/spot divergence
Mitigation: Small position size ($500), proven 2-year track record.
Deployment
Next: Phase 1.4 — wire into apps/trader/strategy.py for live paper trading.
This is the first validated strategy in Agos history.
Signed: Agos Research, 2026-04-11