Does funding cost quietly eat your momentum strategy? We measured it

In futures, funding is a periodic fee you pay/receive for as long as you hold a position. The common fear: "funding eats all the profit." Instead of speculating, we ran the strategy with and without funding and measured the difference.

Result (out-of-sample, 10 coins, 3,038 trades)

• Excluding funding: compounded 154.7% · Sharpe 1.35
• Including funding: compounded 140.9% · Sharpe 1.31

Funding lowers the return by ~9% relative — a real cost, but not lethal. The reason is instructive: our strategy holds positions short (pullback entry + short max-hold), while funding accrues over time. Holding short naturally limits the funding cost.

Honest warning: in the same test, raw drawdown reached −78%. That's the real risk behind the "profit" number; in the live system, leverage and safety layers manage this, but we don't hide the raw strategy's volatility.

Instead of hiding the cost, we measure and show it — a script's profit projection only means something if it includes the real cost.