Residual momentum

// Residual momentum across Hyperliquid's perps: every Sunday's close, rank the universe by the
// move BTC does not explain, over its volatility, and hold the top fifth from Monday's open. The
// universe is picked point in time (the 25 with the most dollar volume, re-picked every 30 days,
// delisted perps included while they traded), so the run never trades a coin for what it later
// became. Each pick and each read sees only days that had closed by then.
strategy('Residual momentum', { shortName: 'Resid mom', precision: 0, capital: 100_000, from: '2025-06-01', portfolio: true });

const size = input.int('Universe', 25, { min: 5, max: 50, group: 'Universe' });
const fit = input.int('Beta window (days)', 60, { min: 20, max: 120, group: 'Signal' });
const days = input.int('Residual (days)', 15, { min: 5, max: 60, group: 'Signal' });
const volDays = input.int('Volatility (days)', 30, { min: 10, max: 90, group: 'Signal' });
const quantile = input.float('Quantile', 0.2, { min: 0.05, max: 0.5, step: 0.05, group: 'Book' });
const sides = input.choice('Sides', 'long', ['long', 'both'], { labels: { long: 'Long the top only', both: 'Long top, short bottom' }, group: 'Book' });

const pool = universe.topN(size, { window: 30, minHistory: 60, every: 30 });
const chart = bars();

chart.onClose(() => {
  // Sunday's close: the orders fill at Monday's open.
  if (clock.parts(chart.time).dayOfWeek !== 0) return;
  const scores: Record<string, number> = {};
  for (const market of pool.current) {
    if (market === 'BTC') continue;
    const score = pool.resid(market, 'BTC', days, fit) / pool.volatility(market, volDays);
    if (!isNa(score)) scores[market] = score;
  }
  if (Object.keys(scores).length === 0) return;
  strategy.targets(portfolio.longShort(scores, { quantile, sides }));
});