PCA extracts 7 common factors from 35 crypto perpetuals. Coins whose residual s-score deviates beyond threshold are mean-reverted via continuous Carver/AHL-style sizing. BTC trend filter + inverse vol scaling adapt to market regime.
Key Properties: Market-neutral, fee-immune (continuous sizing + 25% deadband), uncorrelated with trend-following.
Production Config: 7 PCs, 504h lookback, 72h s-score window, decay 0.995, vol_target 0.25, top_k 3, rebal 4h, entry_z 1.8