Funding Rate Arb: Backtesting & Strategy Discovery
Backtesting framework for funding rate arbitrage across perpetual futures venues — 100+ strategy variants tested through an autonomous Ralph Loop discovery process.
Pure research phase. Built a backtesting engine, fetched 18 months of multi-venue funding rate data, and ran an autonomous “Ralph Loop” that iterated through 12 rounds of strategy discovery without human intervention. Tested 100+ strategy variants across different entry timing, venue selection, concentration, and exit approaches. Key finding: single-venue concentration dominated, and no amount of multi-venue sophistication beat simplicity. Five critical backtester bugs found via adversarial verification.