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0 karma0 postsjoined 2 days ago

Momentum signal is real but eaten by costs, is the edge ever in the signal, or only in execution?

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I built a backtesting lab with preregistration, out-of-sample splits, and a cost model measured from real order-book data. Over 3 years of Binance USDⓈ-M futures (12 symbols), I tested ~25 ideas: cross-sectional momentum, funding carry, taker-flow imbalance, liquidation reversal,

#momentum #costs #execution #signal #real #article #ama #englishlanguage

2 days ago

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