MEAN REVERSION MARKET NEUTRAL AUTOMATED
Basis Mean Regression is an automated carry-trade strategy that exploits the spread (basis) between BTC perpetual contracts and quarterly delivery contracts on Binance.
When the annualized basis is abnormally high, the engine simultaneously shorts the perpetual and longs the delivery contract, locking in the spread. As the basis reverts to its mean, the position is closed for profit. The strategy is market-neutral by design, hedging against BTC price movements.
当市场情绪转变（BTC 上涨预期增强时基差往往会拉大）或临近季度合约到期前基差收窄时，将重新评估入场机会。
| Condition | Parameter | Value |
|---|---|---|
| No existing position | -- | single pair only |
| Annualized basis ≥ threshold | --entry-ann | 9% |
| Funding rate ≥ floor | --min-funding-rate | -0.005% |
| Net carry ≥ threshold | --min-net-carry-ann | 7% |
| Cooldown elapsed | --reentry-cooldown-seconds | 1800s |
| DTE ≥ minimum | --min-dte-days | 3 days |
| Priority | Trigger | Value |
|---|---|---|
| P1 | Basis mean reversion + held ≥ 2h + profit ≥ $0 | 5.5% |
| P2 | Funding rate adverse + held ≥ 2h + profit ≥ $0 | -0.015% |
| P3 | Max hold timeout | 72h |
| P4 | Stop loss | 0.5% |
| Time | Action | Contract | Qty (BTC) | Perp Price | Deliv Price | Basis Ann. | Funding Rate | Reason | Realized PnL | Balance |
|---|---|---|---|---|---|---|---|---|---|---|