Building a Delta-Neutral Vault on Drift Protocol (24% APY Backtested)

I built a delta-neutral funding rate capture vault for the Ranger Build-A-Bear Hackathon on Solana.

The Strategy

Basis trade = long spot + short perp on the same asset. You earn funding rate payments from leveraged longs while maintaining zero price exposure.

What Makes This Different

1. Multi-market rotation — Scans SOL, BTC, and ETH perpetuals every 60s. Opens the trade on whichever pays the highest funding rate. Automatically rotates when a better market emerges.

2. JitoSOL yield stacking — Uses JitoSOL instead of raw SOL for the spot leg. This earns ~7.5% staking + MEV yield ON TOP of funding rate income.

3. Idle USDC lending — When all markets have unfavorable funding, capital deploys to Drift lending pool (~4% APY). The vault never sits idle.

4. EMA-based signals — Uses 6h and 24h moving averages to detect funding rate regime changes for smarter entry/exit timing.

Backtest Results (15 months)

Strategy	Final Equity	Annualized
SOL-only basis	$123,185	18.5%
Adaptive + JitoSOL	$130,031	24.0%
Advantage	+$6,845	+5.6%

Risk Management

• 1x leverage (fully collateralized)
• 3% stop loss on unrealized PnL
• 5% delta rebalancing threshold
• Multi-market diversification

Tech Stack

• Drift Protocol SDK + Vaults SDK
• Solana Web3.js
• TypeScript
• 36 unit tests

Code: GitHub

Built for the Ranger Build-A-Bear Hackathon — $1M+ in vault seeding prizes.