Double Circuit Breaker Hedging Option Cost Optimization
Dynamic Hedging System Upgrade:
- Use BTC options instead of perpetual contracts, funding cost rate from 4.7% to 2.1%
- Crash Circuit Breaker (BTC -15%): Buy put options
- Surge Circuit Breaker (BTC +20%): Sell call options
Backtesting shows: Maximum drawdown in 2024 reduced to 3.4%, sacrifice rate of returns lowered to 1.9%, Sharpe ratio soared to 1.82.