CTA · Core
Crypto Futures CTA
Trend and carry on BTC/ETH (and maybe a few alts) using listed or crypto-native perps — a young sleeve with 24/7 gaps and funding.
Definition
CME BTC/ETH and/or offshore perps. Signals are the usual TSMOM/breakout stack on a faster clock. Funding rates are the carry. Basis between CME and spot/perp is an RV. Custody and venue risk are not in the Sharpe.
Why it matters
It can add a weakly correlated trend market. It can also add an exchange and a Sunday gap.
Case
An FTX-week basis blowout. The ‘CTA’ that was on perps owned counterparty; the CME-only book owned a different basis.
How to read it
Venue, funding, and whether alts are allowed. A 20-alt book is not a BTC trend sleeve — it is a casino with a vol target.
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