Funding carry
funding.whalestamp.com · Kraken perps · market-neutral
Predicting price is a game retail loses. Funding is different — a cash flow you get paid to hold, no
forecast required. This harvests it across the whole perp board: find the handful of contracts paying the most
to hold right now, hold them delta-neutral, rotate as funding shifts. Every number here is net of realistic
execution costs — spread, fees, market impact, and basis risk — and only counts funding you could actually
capture; a positive number still has to survive weeks out-of-sample, spanning a funding regime change, before any
capital is risked.
Readiness gate
Evaluating…
Phase 1 · the universe
Live cross-section — who pays the most right now
Every tracked perp ranked by annualized funding magnitude. This is available instantly; the higher and more one-sided, the more there is to harvest.
Phase 2 · the engine
Cross-sectional carry backtest
Hold the top-k highest-funding perps delta-neutral, rotate with hysteresis so fees don't churn it away, net of real fees. Compared against harvesting LTC alone — the whole point of picking from many.
Basket size
Min funding
Fee
Phase 3 · the discipline
Config lab — in-sample vs out-of-sample
Every config is scored on the first half of history (in-sample) and the second half it never saw (out-of-sample). Only out-of-sample Sharpe counts — a config that shines in-sample and dies out-of-sample is noise, and this is where most backtests lie to you.
Phase 4 · the gate
Prove, then risk
Capital only goes in when a config has held up out-of-sample with a real Sharpe over a meaningful window
(≥14 days). Until then it's research, not a trade — the gate at the top of the page is the honest verdict.
Basis risk and margin costs aren't modelled here; this sizes the opportunity, it isn't a live P&L.
Part of the whalestamp research stack. Not investment advice.
$10,000 paper run
What $10,000 would have done
A paper run of the strategy above — your selected basket and fee, on a $10,000 stake, over the recorded funding window. Gross of slippage and basis risk, so an upper bound, not a live account.
Waiting for the backtest…
Refined run · cost-aware, fresh $10,000
Refined run — the mitigations, from a fresh $10,000
A second paper run testing whether disciplined execution makes this profitable: cost-aware rotation (hold ≥24h, only switch when funding beats the round-trip cost), a tight liquidity tier, and both-sides capture (positive funding = short perp, negative = long perp — the negative side assumes a feasible spot short). Switch the execution assumption: taker crosses the spread; maker posts limit orders and doesn't pay it. Cross-venue funding (mitigation 4) is excluded for now. This is a true forward run: it starts from zero the moment live bid/ask began recording and only ever trades on real spreads — no hindsight replay of the pre-deploy history. Every trade is logged below in pages of 50.
Execution