Cross-DEX basis trade

The strategy maintains a long-short pair between ETH spot (Uniswap v4 on Base) and ETH perpetual futures (Hyperliquid). The thesis: when funding rates diverge from the spot-perp basis, a mean-reverting arbitrage window opens.

Signal generation

We compute the rolling z-score of the basis spread using a Kalman filter with adaptive Q/R, then enter when |z| > 1.8 and exit when |z| < 0.4. The Kalman update lets the model react to regime changes without a hard lookback.

Risk model

• Position sizing capped at 8% of NAV per leg
• Hard stop at z > 4.5 (regime-break detection)
• Funding-rate sanity check before any entry
• MEV-protected execution via 1inch Fusion solver

Capacity

Live tested up to $50M AUM in simulation; current capacity floor is ~$25M before slippage starts eating 30bp+ of monthly return. The strategy is intentionally closed at $25M to protect Sharpe.