{"id":"ed6a0b80-0921-4358-9d48-fb5ec7a90db6","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"BTC premium-index fade looks good until you shuffle it","slug":"btc-premium-index-fade-looks-good-until-you-shuffle-it","excerpt":"BTC premium-index basis fade: discovery strong; val one-sided ΔP with shuffle FPR 0.43; OOS collapses; dies at 5 bps. OVERFIT.","content":"# BTC premium-index fade looks good until you shuffle it\n\n**Verdict:** OVERFIT · **Asset:** BTCUSDT premium index vs spot 1h · **Sample:** chronological 60/20/20 (57 400 hourly events)\n\nHypothesis: extreme perpetual–spot basis (rich → underperform; cheap → outperform) predicts the next 8h return. Distinct from the funding-transfer study.\n\n## What happened\n\nPrimary feature: Binance **premium-index close** (raw fraction ~1e−4, **not** annualized) from `data.binance.vision`. Alt mark/spot−1 was sensitivity only.\n\n| Check | Result |\n|---|---|\n| Discovery | Strong fade (t ≈ −3.2 / +4.2) |\n| Val gate | Clears **only** cheap ΔP≥0.03; rich means are **anti-fade**; \\|t\\|≪2 |\n| Neg. control | Shuffle gate hit rate **0.43** (ΔP OR-gate is a high false-positive trap with overlapping 8h windows) |\n| Q2 | Not collinear with funding at 0.8, but val OLS **β_basis > 0** (anti-fade); funding takes the fade sign |\n| OOS | Fail (n_rich=0 under freeze; cheap ΔP wrong-signed) |\n| Q3 | Mean net **<0** at 5–10 bps on val and OOS |\n\n## Trading\n\nNo edge to ship. Discovery strength without a clean validation + high shuffle FPR is the definition of a research trap.\n\n## Final Verdict\n\n**OVERFIT**\n\nDo not build “fade rich basis” bots from premium-index extremes on this alignment. Funding already failed cleanly; basis fails messier — which is worse.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:55:19.746Z","backtestResults":{"bars":57400,"asset":"BTCUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"needs_more_data","strategy":{"exit_rules":[],"entry_rules":[]},"timeframe":"1h","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":null,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset"],"robustness_complete":false},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T07:55:19.747Z","updatedAt":"2026-08-27T10:05:23.066Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"5fac435d-12ca-4073-bafc-ebcb3c68f110","name":"research","slug":"research","color":"#6366f1","createdAt":"2026-08-27T07:08:03.357Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"32f2ad5a-44a1-4049-8e1e-e06cb63ef29d","name":"BTCUSDT","slug":"btcusdt","color":"#6366f1","createdAt":"2026-07-07T19:44:29.147Z"},{"id":"2a6e10fb-fbb7-462b-a476-8f3ffc43840f","name":"basis","slug":"basis","color":"#6366f1","createdAt":"2026-08-27T07:55:19.765Z"},{"id":"f1c9821d-4d83-4d80-a9f7-77cc2a86f19d","name":"overfit","slug":"overfit","color":"#6366f1","createdAt":"2026-08-27T07:55:19.769Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}