本页做的是 public-data frozen replication：Binance USDⓈ-M 1m 公共 K 线，样本近 90 天；BTC 事件锚固定为首 30 天样本上冻结后的 |1m return| ≥ 99.5% 分位 且 volume ≥ 95% 分位；followers 限定 ETH/LTC/XRP/BCH/ETC；执行强制 next-bar open entry + no-overlap + 8 bps/side。
机器判定： background/P0。5m 主持有窗下，jump 事件版没有把 after-cost edge 稳定抬到无条件基线之上；beta-hedged 版本转负说明主要吃的是 BTC beta 尾巴。
| label | hold_min | trades | share_short | mean_net_ret | median_net_ret | hit_rate | cum_net_ret | avg_followers |
|---|---|---|---|---|---|---|---|---|
| jump_13_17_utc_only | 3.00 | 7.00 | 42.86% | -0.293% | -0.355% | 28.57% | -2.04% | 2.71 |
| jump_baseline | 3.00 | 23.00 | 34.78% | -0.214% | -0.274% | 26.09% | -4.81% | 2.74 |
| jump_beta_hedged_spread | 3.00 | 23.00 | 34.78% | -0.127% | -0.154% | 21.74% | -2.88% | 2.74 |
| jump_negative_only | 3.00 | 10.00 | 100.00% | -0.250% | -0.202% | 20.00% | -2.48% | 3.00 |
| unconditional_followthrough_baseline | 3.00 | 2010.00 | 48.81% | -0.164% | -0.166% | 6.42% | -96.33% | 2.46 |
| jump_13_17_utc_only | 5.00 | 7.00 | 42.86% | -0.289% | -0.420% | 28.57% | -2.01% | 2.71 |
| jump_baseline | 5.00 | 22.00 | 36.36% | -0.139% | -0.251% | 31.82% | -3.04% | 2.73 |
| jump_beta_hedged_spread | 5.00 | 22.00 | 36.36% | -0.071% | -0.138% | 27.27% | -1.56% | 2.73 |
| jump_negative_only | 5.00 | 10.00 | 100.00% | -0.228% | -0.248% | 30.00% | -2.26% | 3.00 |
| unconditional_followthrough_baseline | 5.00 | 1839.00 | 49.43% | -0.164% | -0.160% | 9.79% | -95.15% | 2.44 |
| jump_13_17_utc_only | 15.00 | 7.00 | 42.86% | -0.032% | -0.142% | 28.57% | -0.23% | 2.71 |
| jump_baseline | 15.00 | 22.00 | 36.36% | -0.139% | -0.238% | 18.18% | -3.02% | 2.73 |
| jump_beta_hedged_spread | 15.00 | 22.00 | 36.36% | -0.103% | -0.155% | 36.36% | -2.25% | 2.73 |
| jump_negative_only | 15.00 | 10.00 | 100.00% | -0.108% | -0.184% | 20.00% | -1.08% | 3.00 |
| unconditional_followthrough_baseline | 15.00 | 1287.00 | 49.96% | -0.154% | -0.165% | 22.84% | -86.36% | 2.45 |
| label | event_time | direction | followers | n_followers | hold_min | gross_ret | net_ret | avg_beta |
|---|---|---|---|---|---|---|---|---|
| unconditional_followthrough_baseline | 2026-03-30 13:40:00+00:00 | short | ETHUSDT,LTCUSDT | 2.00 | 3.00 | 0.045% | -0.115% | 0.88 |
| unconditional_followthrough_baseline | 2026-03-30 13:56:00+00:00 | short | ETHUSDT,LTCUSDT,XRPUSDT | 3.00 | 15.00 | -0.181% | -0.341% | 0.90 |
| unconditional_followthrough_baseline | 2026-03-30 13:56:00+00:00 | short | ETHUSDT,LTCUSDT,XRPUSDT | 3.00 | 5.00 | 0.070% | -0.090% | 0.90 |
| unconditional_followthrough_baseline | 2026-03-30 13:59:00+00:00 | short | LTCUSDT,BCHUSDT,ETCUSDT | 3.00 | 3.00 | -0.156% | -0.316% | 0.69 |
| unconditional_followthrough_baseline | 2026-03-30 14:23:00+00:00 | short | ETHUSDT,LTCUSDT | 2.00 | 5.00 | 0.141% | -0.019% | 0.94 |
| unconditional_followthrough_baseline | 2026-03-30 14:23:00+00:00 | short | ETHUSDT,LTCUSDT | 2.00 | 3.00 | 0.037% | -0.123% | 0.94 |
| unconditional_followthrough_baseline | 2026-03-30 14:27:00+00:00 | short | LTCUSDT,XRPUSDT,ETCUSDT | 3.00 | 15.00 | 0.388% | 0.227% | 0.79 |
| unconditional_followthrough_baseline | 2026-03-30 14:44:00+00:00 | short | LTCUSDT,XRPUSDT,BCHUSDT,ETCUSDT | 4.00 | 5.00 | -0.055% | -0.215% | 0.76 |
| unconditional_followthrough_baseline | 2026-03-30 14:44:00+00:00 | short | LTCUSDT,XRPUSDT,BCHUSDT,ETCUSDT | 4.00 | 3.00 | -0.179% | -0.338% | 0.76 |
| unconditional_followthrough_baseline | 2026-03-30 15:01:00+00:00 | short | LTCUSDT,ETCUSDT | 2.00 | 15.00 | 0.439% | 0.279% | 0.80 |
| unconditional_followthrough_baseline | 2026-03-30 15:05:00+00:00 | short | LTCUSDT,XRPUSDT,BCHUSDT,ETCUSDT | 4.00 | 5.00 | 0.245% | 0.085% | 0.77 |
| unconditional_followthrough_baseline | 2026-03-30 15:05:00+00:00 | short | LTCUSDT,XRPUSDT,BCHUSDT,ETCUSDT | 4.00 | 3.00 | 0.198% | 0.037% | 0.77 |