SKAITO JAN2026 Delta-Neutral Backtest

Period: 2025-07-21 → 2026-01-28 (192 days)  |  Market: 0x53fb20ff03ef94ef224557cc6262e0f11c20f718  |  Long PT + KAITO perp short on Hyperliquid
$100,000 15%

Portfolio Equity (capital + net PnL)

Hourly Funding Income & Cumulative

Cumulative Fees Paid

PnL Attribution at Maturity

PT/Wrapper Ratio (hedge coverage — converges to 1 at maturity)

PT Price vs KAITO Price liq price overlaid on KAITO

Wrapper → KAITO Ratio (onchain convertToAssets)

Leg PnL: PT vs HL Short (hedge cancellation)

HL Margin Health (account equity vs maintenance requirement — equity ≤ maintenance → liquidation)

HL Short Position KAITO shorted & USD notional

HL Margin Utilization health % (100% = liq) & account equity

☰ Deployment Chunks (max $20,000 per chunk — HL depth management, 1-hour intervals)

△ DN Spread & Delta Drift hedge fixed at entry — as PT converges and the wrapper ratio accrues, effective long KAITO exposure drifts vs the short

PT Basis vs Maturity Value PT market value − redemption value at today's KAITO price; negative = PT at discount = over-hedged; converges to 0

Hedge Integrity short KAITO held — drops to 0 if liquidated

Margin Runway days until maintenance hit at current funding — capped at 365

PT Implied APY vs HL Funding APR (the DN spread — gap = strategy alpha)

📈 What If: Reserve → Stablecoin @ 4% APY

Strategy Comparison

Entry / Exit Detail