Executive Summary
Delta-Neutral Spot+Perp Funding Arbitrage on Hyperliquid
8.079
Sharpe
5c carry, 2.7yr
10.065
Sortino
38.0%
CAGR
140.7%
Total Return
-4.0%
Max Drawdown
9.39
Calmar
100.0%
MC P(>1)
10k bootstrap
0.04
Corr BTC
near zero
83.4%
Win Rate
daily
1.278
BTC Sharpe
Buy&Hold ref
CarryArb delivers a Sharpe of 8.079 over 2.7 years — pure funding income from delta-neutral spot+perp positions. MaxDD of only -4.0% vs BTC buy-and-hold (-32.0%).
Performance
Production config: 5 coins, carry selection, monthly rebalance
Consistent growth from $10,000 to $24,070. Near-zero drawdown (-4.0%) — delta-neutral eliminates price risk.
Near-zero correlation with BTC (0.04) — pure alpha from funding, not crypto beta.
| Metric | Value |
|---|---|
| Sharpe | 8.079 |
| Sortino | 10.065 |
| CAGR | 38.0% |
| Total Return | 140.7% |
| Max Drawdown | -4.0% |
| Max DD Duration | 96d |
| Calmar | 9.39 |
| Win Rate | 83.4% |
| Profit Factor | 7.43 |
| Max Consec. Losses | 17d |
| Corr BTC | 0.04 |
| Beta BTC | 0.0 |
Portfolio Size Comparison
More coins = higher Sharpe, lower return. Fewer = concentrated, higher return.
More coins = higher Sharpe (more diversification, lower DD) but lower absolute return. Fewer coins = concentrated bets with higher return but more volatility. 5 coins is the sweet spot for the live deployment.
| Config | Sharpe | Return | MaxDD | Calmar |
|---|---|---|---|---|
| 3c_carry | 6.581 | 171.1% | -7.3% | 6.05 |
| 5c_carry | 8.079 | 140.7% | -4.0% | 9.39 |
| 7c_carry | 8.749 | 127.8% | -3.4% | 10.3 |
| 10c_carry | 9.647 | 111.6% | -3.0% | 10.63 |
Selection Method
Carry (mean funding) vs Sharpe (risk-adjusted funding)
Carry selection (rank by mean funding rate) generates 3x more absolute return than Sharpe selection (rank by funding rate / volatility). Carry selection picks the highest-paying coins regardless of volatility — this works because delta-neutral positions eliminate price risk.
Fee Sensitivity
Sharpe at different fee levels — Nautilus backtests (5c carry)
| Fee | Sharpe | Return | MaxDD |
|---|---|---|---|
| 0 bps | 8.142 | +142.0% | -3.9% |
| ~1.5 bps (maker) | 8.124 | +141.6% | -4.0% |
| 2 bps | 8.106 | +141.2% | -4.0% |
| 3.5 bps | 8.079 | +140.7% | -4.0% |
| ~4.5 bps (taker) | 8.05 | +140.2% | -4.1% |
| 7 bps | 8.011 | +139.4% | -4.1% |
CarryArb is fee-insensitive — monthly rebalancing means fees are negligible compared to funding income. Even at 7bps per leg, Sharpe barely changes. This is a major structural advantage over high-frequency strategies.
Risk Protection
Funding floor and exit guards from VBT validation (Script 06)
| Config | Sharpe | Return | MaxDD | OOS/IS |
|---|---|---|---|---|
| baseline | 8.21 | 141.7% | -3.0% | 1.07 |
| floor=0 | 8.29 | 142.2% | -3.0% | 1.06 |
| floor=1e-5 | 8.42 | 140.8% | -2.5% | 1.05 |
| floor=2e-5 | 8.45 | 138.8% | -2.4% | 0.83 |
| floor=3e-5 | 8.32 | 136.2% | -2.4% | 0.67 |
| exit_neg_24h | 8.69 | 129.0% | -0.5% | 1.76 |
| floor=0+exit_24h | 8.52 | 127.6% | -0.5% | 1.81 |
| floor=2e-5+exit_24h | 8.22 | 119.7% | -0.6% | 1.62 |
| exit_neg_48h | 5.98 | 185.8% | -1.1% | 2.47 |
| floor=0+exit_48h | 5.89 | 184.3% | -1.1% | 2.51 |
| 10c_baseline | 9.18 | 52.8% | -2.0% | 1.17 |
| 10c_floor=0 | 9.56 | 46.6% | -3.0% | 1.15 |
| 10c_floor=2e-5 | 10.30 | 61.1% | -0.4% | 1.22 |
| 10c_floor=0+exit_24h | 12.28 | 54.4% | -0.1% | 2.31 |
The exit-on-negative-24h guard closes positions when trailing 24h funding turns negative. This reduces MaxDD 6x (from -3.0% to -0.5%) and improves OOS robustness (ratio 1.81). The strategy is robust with or without the guard — it's an optional safety layer.
Monte Carlo Analysis
Block bootstrap on Nautilus equity curves
Block bootstrap (block=20 days, 10k samples). P(Sharpe>0)=100.0%, P(Sharpe>1)=100.0%. 95% CI: [6.452, 9.95]. The funding carry edge is highly statistically significant.