Forecasting Cross-Venue Funding Cash Flows: A Walk-Forward, Cost-Adjusted Benchmark

Cross-venue perpetual-funding comparisons require forecasts of holding-period cash flows, not annualizations of the latest quote. We construct a public-data benchmark covering 40 crypto assets, five venues, and 800 directed venue pairs over 90 days. Six causal estimators are evaluated at 24-, 72-, and 168-hour horizons in a frozen 30-day holdout containing 72,800 pair-origins per horizon. A one-day exponentially weighted estimator reduces MAE from $1.762 to $1.574 at 24 hours relative to a seven-day median (Holm-adjusted p=0.0035); improvements at longer horizons are not uniformly significant after multiplicity control. The conservative endpoint's coverage falls from 80.13% to 75.86% as the horizon rises from 24 to 168 hours. Online-scaled central intervals approach nominal 90% coverage but retain days below 80%. Among positively forecast routes, median realized funding is $0.17–$2.79, far below a $50 illustrative round-trip cost. The results support horizon-specific forecast evaluation and show why funding accuracy cannot be equated with executable net carry.