Core Idea
Perpetual swaps pay (or charge) funding periodically. Different exchanges often show different funding rates for the same asset at the same time. We capture that difference by:
Long Position
Going long perp where funding is favorable to longs (or least unfavorable).
Short Position
Going short perp where funding is favorable to shorts (or least unfavorable).
Delta Neutral
Sizing both legs so the portfolio has near-zero net exposure to the underlying price.
Result: PnL is driven mainly by funding received minus funding paid, rather than price direction.
Where Returns Come From
Funding Differential
Collect on the leg that receives funding, pay on the other (or pay less).
Convergence
Optional upside: if rates normalize, expected carry improves.
Market Microstructure
Secondary: small differences in execution and market dynamics.
Risk Control
Delta Neutral (Portfolio-Level)
Across all open positions, we target net USD notional long approximately equal to net USD notional short. This means if the market moves significantly in either direction, the strategy exposure is designed to be minimal. We are not trying to predict direction.
Beta Hedged Per Exchange (Venue-Level)
Even if we are delta neutral overall, each exchange can accumulate residual directional exposure due to operational constraints and market mechanics. We independently manage net exposure on each venue to maintain neutrality at both the portfolio and venue levels, reducing exchange-specific risk and systemic move risk during volatile periods.
System Architecture
Our strategy operates through five integrated levels of data processing, analysis, and execution:
Data Collection and Normalization
Continuously ingest and normalize market data across exchanges.
Deterministic Analytics and Feature Generation
Transform raw feeds into actionable metrics and features.
AI Interpretation of Analytics
AI models interpret metrics to detect patterns, anomalies, and regime shifts.
AI Portfolio Construction and Optimization
AI-driven optimization creates portfolio plans with strict risk constraints.
AI Execution Decisions and Full Risk Governance
Final trade decisions with comprehensive risk controls and dynamic execution management.
See the Results
Review our historical performance data and see how our AI-driven strategy performs across different market conditions.