The indicator lab — what survives verification, and what we threw out

A breadth+momentum regime index leads the basket's 30d-forward return with a modest +0.18 corr — its real value is on the downside: low-regime days ran a median −6.1% over 30 days, up only 38% of the time.

• Full-sample corr of the regime index with the 30-day-forward equal-weight basket return is +0.18 across n=2,142 daily obs — real but modest, in the momentum direction.
• Regime split: corr +0.41 in the 2020-21 bull and +0.12 in the 2023-26 recovery, but −0.07 in the 2022 bear — the signal follows trends and inverts at turning points.
• Conditional distribution: bottom-regime-tercile days ran a median −6.1% over the next 30 days (up only 38%), vs the top tercile at a median +0.2% (up 51%) — the edge is avoiding the downside, not calling tops.
• Built from Binance spot data only; funding was tested and added nothing over breadth + momentum.

BTC funding tracks 30d-forward BTC returns negatively only when leverage runs hot — the link fades to zero in the 2023-26 recovery.

• Full-sample corr_30d = -0.051 on n=2343 daily obs; because 30d-forward windows overlap, the effective sample is ~75, so the full-sample corr sits inside the noise band.
• Regime split: corr = -0.219 in bull 2020-21, -0.099 in bear 2022, +0.002 in recovery 2023-26 — negative where funding is elevated, flat once it normalises.
• Conditional distribution: top-funding tercile posts 49% up-days (median 30d-fwd -0.5%) vs 61% up-days for the bottom tercile (median +3%) — a 12pp share-of-up gap in the expected direction.
• Sign never meaningfully flips positive — it decays from clearly negative in the leverage era to ~zero, so the signal is regime-dependent rather than reversing.

Extreme median funding lines up with weaker 30d-forward BTC — but the link only shows up in leverage-heavy bull/bear regimes, not in the 2023-26 recovery.

• Full-sample corr of funding level with 30d-forward BTC return is -0.03 across n=2329 daily obs — sits right at the noise floor once overlap is accounted for.
• Regime split: corr -0.21 in the 2020-21 bull and -0.139 in the 2022 bear, but only +0.025 in the 2023-26 recovery — the effect concentrates in high-leverage phases and fades afterward.
• Conditional distribution: top-tercile funding days are up 48% of the time (median fwd -0.6%) vs bottom-tercile 56% (median fwd +1.7%) — an ~8pp share-of-up-days gap in the hypothesised direction.
• Triggers on the highest tercile of market-median funding — a persistent, roughly one-day-in-three condition rather than a rare event.

DOGE funding runs inverse to 30-day-forward BTC in the 2020-21 bull and 2022 bear, but the relationship decays to noise in the 2023-26 recovery.

• Pooled corr with 30d-forward BTC return is -0.032 over n=2152 daily obs — with heavily overlapping 30d windows the effective sample is ~75, so the pooled number is indistinguishable from noise.
• Regime split shows a consistent inverse tilt in the older leverage-driven regimes: -0.19 in bull 2020-21 and -0.141 in bear 2022, versus a flat +0.057 in recovery 2023-26.
• Conditionally, high-funding (top-tercile) days show a 52% share of up-days vs 57% for low-funding (bottom-tercile) days; top-tercile median 30d-forward move is +0.8% vs +1.9% for the bottom tercile.
• The two negative regimes and the near-zero recent regime are consistent with a real inverse effect in stressed/leveraged periods that fades as DOGE funding decouples from BTC in the recovery.

Accelerating momentum is the most robust of the batch: it's the only signal positive in BOTH the 2020-21 bull (+0.15) and the 2022 bear (+0.11) — top-tercile coin-days ran up 43% of the time vs 39% for the decelerating bottom.

• Full-sample corr with 30d-forward return +0.067 across n=157,729 coin-days — modest but real.
• Sign-consistent through opposite regimes: +0.146 in the 2020-21 bull and +0.108 in the 2022 bear — acceleration held up even as the market fell, unlike raw momentum.
• Top acceleration tercile up 43% over 30d vs 39% for the bottom; the edge is a second-derivative confirmation, not a standalone entry.

Wide cross-coin funding spread co-moves positively with 30d-forward BTC returns, but the link concentrates in the 2022 bear and fades to zero in the 2023-26 recovery.

• Full-sample corr with 30d-forward BTC return is +0.114 (n=2329 daily obs); with 30d overlapping windows the effective sample is ~75, so this sits right at the edge of being distinguishable from noise.
• Same positive sign in all three regimes but very uneven: bear 2022 +0.116, bull 2020-21 +0.066, recovery 2023-26 only +0.011 (effectively flat).
• Days in the top dispersion tercile were followed by an up-day 57% of the time vs 51% for the bottom tercile — a modest 6pp gap.
• Conditional median 30d-forward move was +3% after high-dispersion days vs +0.3% after low-dispersion days.

Scaling momentum by volatility gives the highest correlation of the batch (+0.085): a coin trending up smoothly beats one that got there on wild swings — but the edge still inverts in the 2022 bear.

• Full-sample corr +0.085 across n=160,459 coin-days — the strongest of the five new tests.
• Regime-dependent: +0.114 in the 2020-21 bull but −0.116 in the 2022 bear — a risk-on signal, not an all-weather one.
• Top tercile up 44% over 30d vs 41% bottom; the value is filtering out choppy fake trends in favour of clean ones.

Realized vol 30d carries a weak positive corr (+0.126) with 30-day-forward BTC return, and that link lives almost entirely in the 2020-21 bull.

• Full-sample corr with 30d-forward BTC return = +0.126 across n=2330 daily obs; same positive sign in every regime (bull 0.115, bear 2022 0.047, recovery 2023-26 0.058).
• The signal is concentrated: only the 2020-21 bull reaches 0.115, while bear 2022 and recovery 2023-26 sit near zero (0.047 / 0.058).
• Conditional split is thin: high-vol tercile shows 58% share-up days (median fwd +2.6%) vs 55% for the low-vol tercile (median fwd +1.7%) — a 3pp gap.
• Direction note: the positive corr means high realized vol preceded firmer, not weaker, forward returns — the opposite of the original hypothesis.