Overview & Experiments 55 Synthesis Roadmap Lookahead Audit

Funding-flip events: zero-crossings as discrete signals

Inconclusive

2026-05-17 fundingeventsmacro

Hypothesis

Funding-rate zero-crossings predict directional BTC moves: FUND_PN (long-paying → short-paying) precedes continued downside (capitulation) OR a short-squeeze bounce; FUND_NP (short-paying → long-paying) precedes consolidation/continuation. At least one (flip-type × horizon) cell shows |Δ vs baseline| > 30 bps with |t| > 2.

Verdict

**MARGINAL** — strongest cell FUND_NP × fwd-1d = **+26.5 bps** (t +3.04). Not over the bar.

n_passes

n_flips_NP

717

n_flips_PN

717

strongest_t

+3.0365

n_flips_total

1,434

strongest_flip

FUND_NP

best_vol_lift_x

+0.7631

strongest_horizon

strongest_diff_bps

+26.4725

Funding-flip events: zero-crossings as discrete signals

2026-05-17 · status: inconclusive · 4.2s

Hypothesis: Funding-rate zero-crossings predict directional BTC moves: FUND_PN (long-paying → short-paying) precedes continued downside (capitulation) OR a short-squeeze bounce; FUND_NP (short-paying → long-paying) precedes consolidation/continuation. At least one (flip-type × horizon) cell shows |Δ vs baseline| > 30 bps with |t| > 2.

Verdict: MARGINAL — strongest cell FUND_NP × fwd-1d = +26.5 bps (t +3.04). Not over the bar.

Key metrics

metric	value
n_flips_total	`1,434`
n_flips_NP	`717`
n_flips_PN	`717`
n_passes	`0`
strongest_flip	`FUND_NP`
strongest_horizon	`1d`
strongest_diff_bps	`+26.4725`
strongest_t	`+3.0365`
best_vol_lift_x	`+0.7631`

Approach

BTC funding settlements every 8h (25,773 since 2023-05-12). A flip = consecutive settlements with opposite sign. For each flip we compute log returns at 1h/4h/1d horizons starting at the flip timestamp's nearest hourly close.

Baseline: non-flip settlements at the same hour-of-day, excluding ±24h windows around any flip.

Promote gate: ≥ 1 (flip-type × horizon) with |Δ vs baseline| > 30 bps and Welch |t| > 2.0.

Events found: total 1434, NP=717, PN=717.

Results — directional reaction

flip_type	horizon	n_events	event_mean_bps	baseline_mean_bps	diff_bps	t_stat	win_rate
FUND_NP	1h	713	-0.1	0.35	-0.5	-0.26	0.5
FUND_NP	4h	713	3.8	1.38	2.4	0.64	0.49
FUND_NP	1d	712	34.8	8.34	26.5	3.04	0.57
FUND_PN	1h	712	1.6	0.35	1.2	0.69	0.52
FUND_PN	4h	712	0.7	1.38	-0.7	-0.2	0.49
FUND_PN	1d	712	33.4	8.34	25.1	2.79	0.58

Vol-of-reaction

flip_type	horizon	event_abs_mean_bps	baseline_abs_mean_bps	abs_lift_x
FUND_NP	1h	30.2	42.2	0.72
FUND_NP	4h	64.7	85.6	0.76
FUND_NP	1d	164.7	223.6	0.74
FUND_PN	1h	30.4	42.2	0.72
FUND_PN	4h	62.6	85.6	0.73
FUND_PN	1d	170.6	223.6	0.76

flip summary