VolatilityKilled

Is there a volatility edge around the 8-hour funding reset?

Evenly spread

the volatility around the funding reset is real, but spread evenly through the cycle, no moment to time

In plain English

The volatility around the 8-hour funding reset is real, but it’s spread evenly through the cycle, there’s no special moment to time a trade to.

What it needed

return tied to the settlement boundary

→

What it got

smooth across the whole funding cycle; the 6-hour ‘peak’ was a measurement artefact

Why it's dead

The volatility signal is real, but it isn't a settlement-timing edge. Spreads are significant across every phase of the 8h funding cycle and returns accrue smoothly, the apparent 6h Sharpe peak was just variance growing with hold length.

The detail

Signal present across all phases of the HL 8h cycle (pre/post/mid BTC spreads 75/52/87 bps, all p<0.02). Return accumulates smoothly h=1→12 with no settlement-boundary collapse. The 6h Sharpe peak was a Sharpe artefact, not a timing mechanism.

Kill date: 2026-04-28
Sample: BTC funding cycle
Method: Pre-registered
Verdict: no boundary effect

What it would have done to your money

You put in$10,000

You run it for200 trades

You would have

$8,869

−$1,131

lost (11%)

You started with$10,000

This strategy left you$8,869

Instead of not trading$10,000

This strategy had no real edge, so there is no return to compound. The only honest number is the cost: every trade just pays the 0.06% round-trip fee, compounded here. You choose the amount and the time; the bleed is what trading noise costs.

Pre-registered before the data. Judged on a criterion locked in advance. Published whatever the result.

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