title: "Equity Microstructure Factors in Crypto: Funding Rates and Positioning"
slug: crypto-factors
summary: Transfer study testing 32 A-share market-microstructure factors and perpetual-futures positioning signals across 105 crypto assets over 730 days, with OKX replication and four months of frozen post-publication out-of-sample tracking.
research_question: Do equity market-microstructure factors carry over to crypto where minute bars, taker flow, and perpetual-futures data are freely available, and does a frozen composite hold up after publication?
why_it_matters: Short 120-day crypto backtests easily manufacture Sharpe > 3 factors that fail over full cycles; testing transfer across 730 days and tracking frozen weights after publication separates structural derivatives signals from sample noise.
research_fields:
  - Asset pricing
  - Market microstructure
  - Digital asset derivatives
project_type: empirical-research
status: public-research-snapshot
authors:
  - Repository owner and maintainer
original_source: CryptoFactors workspace project
original_sample_period: 2024-06 through 2026-05 (105 coins x 730 days on Binance spot and USDT-margined perpetuals).
updated_sample_period: Post-publication out-of-sample tracking through 2026-10-28 (880 days total; 92-day June-August 2026 composite window plus live-readiness daily tracking through October 2026).
data_sources:
  - Binance public archives (data.binance.vision) for 1-minute spot/perpetual klines, funding rates, open interest, and long/short ratios
  - OKX public market data via ccxt for cross-exchange replication
data_license: Raw exchange archives are not redistributed; scripts fetch public dumps directly. Aggregated result tables and figures are published under data/results/ and reports/.
code_license: MIT
reproduction_command: make reproduce-sample && make test
expected_runtime: Deterministic verification and unit tests run in seconds; full 105-coin minute-bar pipeline requires network download and roughly 25 minutes locally.
outputs:
  - src/crypto_factors/
  - data/results/
  - reports/
  - dashboard/
  - docs/
  - tests/
  - portfolio/
github_url: https://github.com/YangXiaoShawn/open-economic-quant/tree/main/CryptoFactors
site_url: https://yangxiaoshawn.github.io/projects/crypto-factors/
dataset_url: https://huggingface.co/datasets/ShawnChamberlain/open-economic-quant-research-data/tree/main/CryptoFactors
space_url: https://huggingface.co/spaces/ShawnChamberlain/open-economic-quant-research-observatory?project=crypto-factors
last_updated: 2026-10-28
limitations: Backtest and post-publication out-of-sample backtest association, not live trading. Fills at the close that completes the signal (no execution lag) and omit market impact; published long-short tables charged about 2.5 bp per side instead of the stated 5 bp (corrected in code 2026-10-26; tables not yet rerun); about five names per leg in the large-coin pool; the 2024-2026 sample is an altcoin bear market; OKX funding history via ccxt is approximately three months.
catalog:
  field: crypto-derivatives
  accent: teal
  tags:
    - Crypto Derivatives
    - Factor Transfer
    - Post-Publication Audit
  metric: 105 coins · 730d + 92d post-pub OOS