Funding Timing Optimization

Важное ограничение: старые funding-данные писались примерно раз в 30 секунд. Поэтому сценарий -1s/+1s здесь означает ближайшую доступную точку до и после funding. Для будущих событий полный стакан уже собирается чаще, но исторические две выплаты до секунды восстановить нельзя.

-1s/+1s win-rate59.26%

-1s/+1s avg net5.6261 bps

Best win timing1800s / 1s

Best win-rate74.07%

Ответ коротко

По этим двум funding-событиям вход прямо вокруг funding не дал больше среднюю прибыль, чем более ранний вход. Сценарий -1s/+1s: 32 плюсовых из 54, win-rate 59.26%, avg net 5.6261 bps. Лучший по win-rate тайминг в сетке: вход за 1800 секунд, выход через 1 секунд; фактически из-за дискретности данных это около 1825.0 секунд до funding и 21.0 секунд после funding.

Win-rate heatmap

Average net PnL heatmap

-1s / +1s distribution

Лучший -1s/+1s: H bingx 101.3159 bps. Худший: H bybit -295.8988 bps.

Best timing grid rows

entry_before_sec	exit_after_sec	rows	wins	win_rate	avg_net_bps	median_net_bps	avg_actual_entry_before_sec	avg_actual_exit_after_sec
1800	1	54	40	0.7407	44.3021	43.6821	1824.9717	20.9815
1800	5	54	40	0.7407	44.3021	43.6821	1824.9717	20.9815
1800	10	54	40	0.7407	44.3021	43.6821	1824.9717	20.9815
1800	15	54	39	0.7222	42.5542	43.6821	1824.9717	30.1529
600	1	54	39	0.7222	23.6586	9.2728	621.4031	20.9815
600	5	54	39	0.7222	23.6586	9.2728	621.4031	20.9815
600	10	54	39	0.7222	23.6586	9.2728	621.4031	20.9815
1800	60	54	38	0.7037	35.0465	38.6324	1824.9717	79.6845
1800	900	54	38	0.7037	27.1353	40.6556	1824.9717	926.9918
600	15	54	38	0.7037	21.9628	12.0334	621.4031	30.1529
600	900	54	38	0.7037	6.2913	22.4300	621.4031	926.9918
1800	30	54	37	0.6852	38.5387	43.6821	1824.9717	57.6810
1800	600	54	37	0.6852	20.0521	30.1571	1824.9717	626.2644
600	60	54	37	0.6852	14.5905	17.4825	621.4031	79.6845
600	30	54	36	0.6667	18.0473	13.7511	621.4031	57.6810
1800	120	54	35	0.6481	28.5776	29.7432	1824.9717	144.1436
900	900	54	34	0.6296	16.4111	20.0858	921.8012	926.9918
15	1	54	34	0.6296	11.2111	7.3113	28.0975	20.9815
15	5	54	34	0.6296	11.2111	7.3113	28.0975	20.9815
15	10	54	34	0.6296	11.2111	7.3113	28.0975	20.9815
15	15	54	34	0.6296	9.4867	6.9069	28.0975	30.1529
900	1	54	33	0.6111	33.7785	23.6415	921.8012	20.9815
900	5	54	33	0.6111	33.7785	23.6415	921.8012	20.9815
900	10	54	33	0.6111	33.7785	23.6415	921.8012	20.9815
10	1	54	33	0.6111	5.5767	7.3113	24.3362	20.9815
10	5	54	33	0.6111	5.5767	7.3113	24.3362	20.9815
10	10	54	33	0.6111	5.5767	7.3113	24.3362	20.9815
10	15	54	33	0.6111	3.8524	6.9069	24.3362	30.1529
900	15	54	32	0.5926	32.0579	17.4647	921.8012	30.1529
1	1	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
1	5	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
1	10	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
5	1	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
5	5	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
5	10	54	32	0.5926	5.6261	8.0187	19.8036	20.9815
1	15	54	32	0.5926	3.9017	6.9069	19.8036	30.1529
5	15	54	32	0.5926	3.9017	6.9069	19.8036	30.1529
900	30	54	31	0.5741	28.1207	18.9298	921.8012	57.6810
1800	300	54	31	0.5741	26.6506	20.8444	1824.9717	309.9368
15	900	54	31	0.5741	-5.8679	12.0454	28.0975	926.9918
900	600	54	30	0.5556	9.3626	11.5061	921.8012	626.2644
600	120	54	30	0.5556	8.2746	10.1967	621.4031	144.1436
15	30	54	30	0.5556	5.5526	1.4842	28.0975	57.6810
10	30	54	30	0.5556	-0.0851	1.4392	24.3362	57.6810
1	60	54	30	0.5556	-3.5018	1.0469	19.8036	79.6845
5	60	54	30	0.5556	-3.5018	1.0469	19.8036	79.6845
300	300	54	30	0.5556	-10.7150	6.2337	316.8534	309.9368
1	900	54	30	0.5556	-11.4996	10.7121	19.8036	926.9918
5	900	54	30	0.5556	-11.4996	10.7121	19.8036	926.9918
10	900	54	30	0.5556	-11.5448	10.7121	24.3362	926.9918
30	300	54	30	0.5556	-11.7376	4.4348	60.6003	309.9368
60	300	54	30	0.5556	-12.2910	5.2195	78.6982	309.9368
900	120	54	29	0.5370	18.3290	30.2177	921.8012	144.1436
600	300	54	29	0.5370	6.6320	17.7156	621.4031	309.9368
15	60	54	29	0.5370	2.0868	2.2425	28.0975	79.6845
1	30	54	29	0.5370	-0.0358	1.4392	19.8036	57.6810
5	30	54	29	0.5370	-0.0358	1.4392	19.8036	57.6810
10	60	54	29	0.5370	-3.5509	1.0469	24.3362	79.6845
900	60	54	28	0.5185	24.6547	18.9298	921.8012	79.6845
900	300	54	28	0.5185	16.6312	27.8916	921.8012	309.9368
30	1	54	28	0.5185	5.5418	0.7564	60.6003	20.9815
30	5	54	28	0.5185	5.5418	0.7564	60.6003	20.9815
30	10	54	28	0.5185	5.5418	0.7564	60.6003	20.9815
600	600	54	28	0.5185	-0.8070	5.2390	621.4031	626.2644
300	60	54	28	0.5185	-2.6173	0.4625	316.8534	79.6845
15	300	54	28	0.5185	-6.1173	2.9774	28.0975	309.9368
30	900	54	28	0.5185	-11.4928	6.7813	60.6003	926.9918
60	900	54	28	0.5185	-12.0598	6.7813	78.6982	926.9918
120	15	54	27	0.5000	1.6958	0.9612	141.9509	30.1529
300	15	54	26	0.4815	4.7482	-0.6848	316.8534	30.1529
30	15	54	26	0.4815	3.8267	-1.2132	60.6003	30.1529
300	30	54	26	0.4815	0.8313	-0.6848	316.8534	57.6810
15	120	54	26	0.4815	-4.2723	-5.1182	28.0975	144.1436
1	300	54	26	0.4815	-11.7450	-1.0168	19.8036	309.9368
5	300	54	26	0.4815	-11.7450	-1.0168	19.8036	309.9368
10	300	54	26	0.4815	-11.7950	-1.0168	24.3362	309.9368
120	300	54	26	0.4815	-13.8134	-1.4572	141.9509	309.9368
120	1	54	25	0.4630	3.4131	-1.9447	141.9509	20.9815
120	5	54	25	0.4630	3.4131	-1.9447	141.9509	20.9815
120	10	54	25	0.4630	3.4131	-1.9447	141.9509	20.9815

-1s / +1s rows

event_time_utc	asset	exchange	symbol	side	funding_bps	price_pnl_bps	net_taker_pnl_bps	actual_entry_before_sec	actual_exit_after_sec
2026-06-22T20:00:00Z	H	bingx	H-USDT	long	-58.7700	52.5459	101.3159	15.4978	25.2861
2026-06-22T16:00:00Z	TNSR	bingx	TNSR-USDT	long	-13.0200	66.4452	69.4652	25.7927	15.0931
2026-06-22T16:00:00Z	TNSR	binance	TNSRUSDT	long	-13.6051	61.3968	65.0019	27.4159	13.4742
2026-06-22T16:00:00Z	ID	bybit	IDUSDT	long	-29.3881	42.8839	61.2720	23.9238	16.9667
2026-06-22T16:00:00Z	ID	bingx	ID-USDT	long	-16.0100	45.6376	51.6476	26.1698	14.7199
2026-06-22T16:00:00Z	TNSR	mexc	TNSR_USDT	long	-13.6000	38.3926	47.9926	17.6320	23.3069
2026-06-22T16:00:00Z	ID	binance	IDUSDT	long	-16.2757	40.9711	47.2468	28.1054	12.8201
2026-06-22T16:00:00Z	AERGO	binance	AERGOUSDT	long	-20.8187	32.8407	43.6594	27.8624	13.0389
2026-06-22T16:00:00Z	H	bingx	H-USDT	long	-87.2300	-40.8749	36.3551	26.3511	14.5344
2026-06-22T16:00:00Z	AERGO	kucoin	AERGOUSDTM	long	-31.2800	16.3026	35.5826	21.1043	19.7433
2026-06-22T16:00:00Z	H	bybit	HPERP	long	-43.6535	0.0000	32.6535	24.0993	16.7906
2026-06-22T20:00:00Z	ID	binance	IDUSDT	long	-9.9872	28.9245	28.9117	17.2422	23.5649
2026-06-22T16:00:00Z	RARE	bybit	RAREUSDT	long	-4.3563	33.2843	26.6406	23.0171	17.8287
2026-06-22T16:00:00Z	H	binance	HUSDT	long	-86.1546	-50.0647	26.0899	28.3269	12.6008
2026-06-22T16:00:00Z	TAIKO	bybit	TAIKOUSDT	long	-28.9458	6.8823	24.8281	23.7417	17.1431
2026-06-22T20:00:00Z	ID	kucoin	IDUSDTM	long	-11.4900	23.6345	23.1245	10.2491	29.9832
2026-06-22T16:00:00Z	TAIKO	kucoin	TAIKOUSDTM	long	-34.4300	0.0000	22.4300	20.4879	20.1362
2026-06-22T20:00:00Z	H	mexc	H_USDT	long	-58.4700	-36.2131	18.2569	7.1308	33.5885
2026-06-22T16:00:00Z	ID	kucoin	IDUSDTM	long	-16.7300	13.4012	18.1312	21.5352	19.3127
2026-06-22T20:00:00Z	H	binance	HUSDT	long	-58.2669	-31.7555	16.5114	17.4629	23.3450
2026-06-22T16:00:00Z	H	mexc	H_USDT	long	-86.1500	-66.7624	15.3876	17.8762	23.0652
2026-06-22T20:00:00Z	TAIKO	bingx	TAIKO-USDT	long	-9.2400	13.8504	13.0904	15.1036	25.6802
2026-06-22T20:00:00Z	H	kucoin	HUSDTM	long	-56.5300	-32.3529	12.1771	10.7964	29.6412
2026-06-22T20:00:00Z	AERGO	binance	AERGOUSDT	long	-14.9292	7.2057	12.1349	17.0189	23.7829
2026-06-22T20:00:00Z	RARE	bybit	RAREUSDT	long	-0.6432	20.2366	9.8798	11.8896	28.6501
2026-06-22T16:00:00Z	TAIKO	bingx	TAIKO-USDT	long	-4.9300	13.8122	8.7422	25.9848	14.9056
2026-06-22T20:00:00Z	TNSR	mexc	TNSR_USDT	long	-6.8800	5.1387	8.0187	6.8866	33.8370
2026-06-22T20:00:00Z	TAIKO	kucoin	TAIKOUSDTM	long	-32.7000	-13.7931	6.9069	9.5383	30.9301
2026-06-22T16:00:00Z	H	kucoin	HUSDTM	long	-66.7900	-48.4193	6.3707	21.8971	18.8937
2026-06-22T16:00:00Z	TAIKO	binance	TAIKOUSDT	long	-14.3691	0.9213	5.2904	27.6349	13.2549
2026-06-22T20:00:00Z	TNSR	binance	TNSRUSDT	long	-6.7569	4.1612	0.9181	16.5743	24.2175
2026-06-22T20:00:00Z	ID	bingx	ID-USDT	long	-10.2400	0.0000	0.2400	15.3094	25.4783
2026-06-22T20:00:00Z	AERGO	kucoin	AERGOUSDTM	long	-9.6900	0.0000	-2.3100	9.8933	30.3368
2026-06-22T16:00:00Z	SOL	bingx	SOL-USDT	short	0.1800	6.9762	-2.8438	25.2314	15.6489
2026-06-22T16:00:00Z	SOL	kucoin	SOLUSDTM	short	1.0000	7.2472	-3.7528	18.5312	22.4171
2026-06-22T16:00:00Z	ETH	bybit	ETHUSDT	short	0.5893	6.5375	-3.8732	23.3863	17.4836
2026-06-22T16:00:00Z	SOL	bybit	SOLUSDT	short	0.1623	6.8399	-3.9978	23.2065	17.6616
2026-06-22T16:00:00Z	ETH	bingx	ETH-USDT	short	0.5900	5.2751	-4.1349	25.4218	15.4618
2026-06-22T16:00:00Z	GTC	binance	GTCUSDT	short	1.0000	2.2566	-6.7434	27.1910	13.6922
2026-06-22T16:00:00Z	ETH	kucoin	ETHUSDTM	short	1.0000	3.2103	-7.7897	18.9410	21.8427
2026-06-22T16:00:00Z	ETH	binance	ETHUSDT	short	0.0695	2.0813	-7.8492	26.7529	14.1346
2026-06-22T20:00:00Z	TNSR	kucoin	TNSRUSDTM	short	3.9700	-0.0000	-8.0300	9.1934	31.2733
2026-06-22T16:00:00Z	BTC	bybit	BTCUSDT	short	0.4610	2.4941	-8.0449	23.5669	17.3165
2026-06-22T16:00:00Z	BTC	bingx	BTC-USDT	short	0.1400	1.3889	-8.4711	25.6092	15.2779
2026-06-22T16:00:00Z	BTC	binance	BTCUSDT	short	0.4782	-0.1128	-9.6346	26.9703	13.9105
2026-06-22T16:00:00Z	XBT	kucoin	XBTUSDTM	long	-0.2900	1.2405	-10.4695	19.3028	21.3921
2026-06-22T20:00:00Z	TNSR	bingx	TNSR-USDT	short	0.5000	-2.5674	-12.0674	14.9164	25.8666
2026-06-22T16:00:00Z	SOL	binance	SOLUSDT	long	-0.3032	-3.6381	-13.3349	26.5358	14.3526
2026-06-22T20:00:00Z	TAIKO	binance	TAIKOUSDT	long	-26.2583	-33.0332	-16.7749	16.7967	23.9989
2026-06-22T16:00:00Z	GTC	kucoin	GTCUSDTM	short	6.9300	-12.9199	-17.9899	19.7389	20.9753
2026-06-22T16:00:00Z	RARE	kucoin	RAREUSDTM	short	6.3700	-30.9598	-36.5898	18.1179	22.8208
2026-06-22T20:00:00Z	RARE	kucoin	RAREUSDTM	short	1.8100	-39.0016	-49.1916	7.3743	33.3447
2026-06-22T16:00:00Z	TNSR	kucoin	TNSRUSDTM	short	2.9100	-53.5851	-62.6751	20.0897	20.5886
2026-06-22T20:00:00Z	H	bybit	HPERP	long	-86.7680	-371.6668	-295.8988	12.9702	27.5891