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Crypto perps / signal / Carry

Validated

Funding basis carry

Harvests persistent funding and basis dispersion while hedging broad directional beta.

Paper status

Staged

Out-of-sample Sharpe

1.47

Max drawdown

-10.8%

API route preview

/v1/features/crypto/funding-basis-carry

Function docsExample notebooks

How it is built

  • Uses funding and basis only when borrow and liquidity thresholds are satisfied.
  • Neutralises index beta and caps venue concentration so the signal stays about carry, not drift.
  • Rebalances slower than premium reversion to preserve spread capture.

Where it can fail

  • Crowding risk rises when carry becomes the obvious trade.
  • Exchange rule changes can compress the gross opportunity quickly.
  • Needs robust borrow assumptions for any cash-and-carry style downstream strategy.

How to call it in code

universe = al.universes.crypto_perps_top_20()
signal = al.features.funding_basis_carry(universe)
Read the library docs

Planned API route

GET /v1/features/crypto/funding-basis-carry
  ?as_of=2026-04-30
  &universe=crypto-perps-top20
  &format=panel

Related signals

Premium reversionCorr 0.28
Realized vol regimeCorr -0.07

Example notebooks

Carry with regime gate

Uses a regime signal as a live risk gate around a slower carry strategy.

Python notebook / Risk overlay

Browse all examples

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