⚠ 策略已永久停用 (2026-05-04)
Rank32B / Rank32B Canary / Rank32B Global Live 已永久关闭，不再产生交易信号。
停用原因：(1) preview_unclosed_15m 模式用未收盘 15m K 线价格估算小时级 EMA，等效提前约 45 分钟预知未来；(2) 回测脚本 warmup 窗口膨胀，导致长期回测结果被撤回作废（见 INVALIDATED_BY_WARMUP_AUDIT_2026-04-07.md）；(3) 实盘 vs 模拟 close match rate 仅 11.8%，去除 preview 后所有时间窗口 live-like 回测均为负收益。
本页仅作历史存档参考，不构成任何交易依据。
Rank32b · 5 年 × 3 个月 regime 研究
生成时间：2026-03-26 03:22:36 UTC ｜ universe=18 assets ｜ days=1830 ｜ baseline=official close + fixed hold 8 bars
研究设计
- 先只研究 32b alpha 本体，不把 live TP/SL/timeout 混进来。
- 执行口径固定：
15m official close -> next-bar open -> hold 8 bars -> non-overlap。
- 把过去 5 年按自然季度（3 个月）拆开，回答：哪些市场季度更适合它、哪些季度不适合。
- regime 不用未来标签瞎分，而是只用季度内可观察统计：
equal-weight 3m return / breadth / realized vol / efficiency ratio。
一句话结论
5 年按季度拆开后，Rank32b（固定持有 8 根 15m、10bps/side）更偏向在 bear 且 mid 的窗口里工作；最差窗口更常见于 bull + choppy。
- Top tercile 季度：strategy mean return≈38.69%，eq 3m return≈2.18%，breadth≈37.38%，efficiency≈0.015。
- Bottom tercile 季度：strategy mean return≈10.70%，eq 3m return≈-0.91%，breadth≈33.67%，efficiency≈0.009。
- 直白点：如果市场是同向更整齐、breadth 更广、路径更顺，32b 更像 continuation；如果市场是震荡混合 / 路径更碎，它更容易被来回打脸。
成本总览
| market_cost_bps | quarters | mean_strategy_return | median_strategy_return | positive_quarter_ratio | mean_positive_asset_ratio | mean_active_asset_ratio | mean_trades_per_asset |
|---|
| 6 | 20 | 30.28% | 24.43% | 100.00% | 96.32% | 95.28% | 75.68 |
| 10 | 20 | 22.01% | 16.22% | 100.00% | 91.34% | 95.28% | 75.68 |
| 15 | 20 | 12.47% | 7.34% | 100.00% | 73.83% | 95.28% | 75.68 |
| 20 | 20 | 3.74% | 1.02% | 60.00% | 49.21% | 95.28% | 75.68 |
按方向 bucket 看（primary = 10bps/side）
| direction_bucket | windows | mean_strategy_return | median_strategy_return | positive_window_ratio | mean_positive_asset_ratio | mean_active_asset_ratio | mean_eq_ret_3m | mean_breadth_pos | mean_ew_vol_ann | mean_ew_efficiency |
|---|
| flat_mixed | 7 | 19.56% | 15.11% | 100.00% | 89.05% | 92.86% | -0.03% | 31.93% | 85.36% | 0.004 |
| bull | 7 | 19.09% | 15.31% | 100.00% | 89.58% | 96.83% | 56.39% | 90.18% | 76.05% | 0.023 |
| bear | 6 | 28.29% | 25.09% | 100.00% | 96.06% | 96.30% | -35.16% | 3.94% | 85.44% | 0.014 |
按方向 × 路径平滑度看
| direction_bucket | efficiency_bucket | windows | mean_strategy_return | median_strategy_return | positive_window_ratio | mean_positive_asset_ratio | mean_eq_ret_3m | mean_breadth_pos | mean_ew_vol_ann | mean_ew_efficiency |
|---|
| flat_mixed | choppy | 6 | 20.95% | 15.40% | 100.00% | 89.07% | 1.96% | 34.48% | 90.28% | 0.003 |
| bull | trendy | 6 | 20.71% | 16.03% | 100.00% | 91.55% | 63.28% | 95.02% | 76.73% | 0.026 |
| bear | trendy | 1 | 25.80% | 25.80% | 100.00% | 87.50% | -64.00% | 0.00% | 111.04% | 0.019 |
| bear | mid | 5 | 28.78% | 24.37% | 100.00% | 97.78% | -29.39% | 4.72% | 80.32% | 0.013 |
| flat_mixed | mid | 1 | 11.20% | 11.20% | 100.00% | 88.89% | -11.96% | 16.67% | 55.81% | 0.008 |
| bull | choppy | 1 | 9.33% | 9.33% | 100.00% | 77.78% | 15.07% | 61.11% | 71.98% | 0.006 |
季度明细（primary = 10bps/side）
| quarter | quarter_start | quarter_end | window_days | direction_bucket | efficiency_bucket | vol_bucket | listed_asset_count | eq_ret_3m | btc_ret_3m | breadth_pos | ew_vol_ann | ew_efficiency | mean_total_return | positive_asset_ratio | active_asset_ratio | mean_trades_per_asset |
|---|
| 2021Q2 | 2021-04-01 | 2021-06-30 | 91 | flat_mixed | choppy | high_vol | 16 | 2.86% | -40.67% | 37.50% | 162.17% | 0.001 | 49.09% | 93.75% | 88.89% | 103.17 |
| 2021Q3 | 2021-07-01 | 2021-09-30 | 92 | bull | trendy | high_vol | 16 | 62.96% | 25.74% | 81.25% | 100.15% | 0.019 | 42.51% | 93.75% | 88.89% | 89.89 |
| 2021Q4 | 2021-10-01 | 2021-12-31 | 92 | flat_mixed | choppy | high_vol | 16 | 10.11% | 5.67% | 43.75% | 88.89% | 0.004 | 15.11% | 87.50% | 88.89% | 81.50 |
| 2022Q1 | 2022-01-01 | 2022-03-31 | 90 | flat_mixed | choppy | high_vol | 16 | -10.40% | -1.79% | 6.25% | 86.75% | 0.004 | 11.89% | 93.75% | 88.89% | 77.72 |
| 2022Q2 | 2022-04-01 | 2022-06-30 | 91 | bear | trendy | high_vol | 16 | -64.00% | -56.32% | 0.00% | 111.04% | 0.019 | 25.80% | 87.50% | 88.89% | 88.17 |
| 2022Q3 | 2022-07-01 | 2022-09-30 | 92 | flat_mixed | choppy | mid_vol | 16 | 13.76% | -1.51% | 62.50% | 77.12% | 0.005 | 22.10% | 93.75% | 88.89% | 73.11 |
| 2022Q4 | 2022-10-01 | 2022-12-31 | 92 | bear | mid | low_vol | 16 | -26.42% | -14.96% | 12.50% | 70.98% | 0.013 | 24.37% | 100.00% | 88.89% | 54.22 |
| 2023Q1 | 2023-01-01 | 2023-03-31 | 90 | bull | trendy | low_vol | 16 | 46.98% | 72.27% | 100.00% | 66.47% | 0.023 | 14.81% | 100.00% | 88.89% | 58.83 |
| 2023Q2 | 2023-04-01 | 2023-06-30 | 91 | flat_mixed | choppy | low_vol | 17 | -8.47% | 6.91% | 23.53% | 57.08% | 0.005 | 11.80% | 82.35% | 94.44% | 47.50 |
| 2023Q3 | 2023-07-01 | 2023-09-30 | 92 | flat_mixed | mid | low_vol | 18 | -11.96% | -11.46% | 16.67% | 55.81% | 0.008 | 11.20% | 88.89% | 100.00% | 47.39 |
| 2023Q4 | 2023-10-01 | 2023-12-31 | 92 | bull | trendy | low_vol | 18 | 87.48% | 56.92% | 100.00% | 65.26% | 0.042 | 15.31% | 88.89% | 100.00% | 77.17 |
| 2024Q1 | 2024-01-01 | 2024-03-31 | 91 | bull | trendy | mid_vol | 18 | 71.96% | 67.78% | 100.00% | 80.22% | 0.029 | 16.75% | 83.33% | 100.00% | 86.11 |
| 2024Q2 | 2024-04-01 | 2024-06-30 | 91 | bear | mid | mid_vol | 18 | -31.83% | -11.88% | 0.00% | 75.69% | 0.015 | 19.70% | 100.00% | 100.00% | 74.22 |
| 2024Q3 | 2024-07-01 | 2024-09-30 | 92 | flat_mixed | choppy | low_vol | 18 | 3.89% | 1.10% | 33.33% | 69.67% | 0.002 | 15.69% | 83.33% | 100.00% | 76.11 |
| 2024Q4 | 2024-10-01 | 2024-12-31 | 92 | bull | trendy | mid_vol | 18 | 74.31% | 48.04% | 94.44% | 86.25% | 0.026 | 27.40% | 94.44% | 100.00% | 98.11 |
| 2025Q1 | 2025-01-01 | 2025-03-31 | 90 | bear | mid | high_vol | 18 | -35.00% | -11.87% | 0.00% | 90.16% | 0.013 | 46.27% | 100.00% | 100.00% | 85.56 |
| 2025Q2 | 2025-04-01 | 2025-06-30 | 91 | bull | choppy | mid_vol | 18 | 15.07% | 29.90% | 61.11% | 71.98% | 0.006 | 9.33% | 77.78% | 100.00% | 79.44 |
| 2025Q3 | 2025-07-01 | 2025-09-30 | 92 | bull | trendy | low_vol | 18 | 35.96% | 6.26% | 94.44% | 62.03% | 0.017 | 7.49% | 88.89% | 100.00% | 69.50 |
| 2025Q4 | 2025-10-01 | 2025-12-31 | 92 | bear | mid | high_vol | 18 | -28.08% | -23.22% | 11.11% | 92.98% | 0.012 | 41.09% | 100.00% | 100.00% | 75.28 |
| 2026Q1 | 2026-01-01 | 2026-03-26 | 85 | bear | mid | mid_vol | 18 | -25.64% | -19.21% | 0.00% | 71.81% | 0.013 | 12.50% | 88.89% | 100.00% | 70.67 |