Rank32b · 5 年 × 3 个月 regime 研究

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 choppy 的窗口里工作；最差窗口更常见于 bull + trendy。

• Top tercile 季度：strategy mean return≈33.90%，eq 3m return≈-30.35%，breadth≈0.00%，efficiency≈0.016。
• Bottom tercile 季度：strategy mean return≈5.25%，eq 3m return≈34.76%，breadth≈100.00%，efficiency≈0.021。
• 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	4	22.01%	18.87%	100.00%	100.00%	100.00%	54.75
10	4	16.64%	13.71%	100.00%	100.00%	100.00%	54.75
15	4	10.29%	7.59%	100.00%	75.00%	100.00%	54.75
20	4	4.33%	2.13%	50.00%	50.00%	100.00%	54.75

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
bull	2	6.05%	6.05%	100.00%	100.00%	100.00%	33.11%	100.00%	55.00%	0.019
bear	2	27.24%	27.24%	100.00%	100.00%	100.00%	-27.36%	0.00%	65.33%	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
bull	mid	1	6.84%	6.84%	100.00%	100.00%	31.46%	100.00%	60.65%	0.016
bull	trendy	1	5.25%	5.25%	100.00%	100.00%	34.76%	100.00%	49.35%	0.021
bear	choppy	2	27.24%	27.24%	100.00%	100.00%	-27.36%	0.00%	65.33%	0.014

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
2025Q2	2025-04-01	2025-06-30	91	bull	mid	low_vol	3	31.46%	29.90%	100.00%	60.65%	0.016	6.84%	100.00%	100.00%	56.00
2025Q3	2025-07-01	2025-09-30	92	bull	trendy	low_vol	3	34.76%	6.26%	100.00%	49.35%	0.021	5.25%	100.00%	100.00%	45.33
2025Q4	2025-10-01	2025-12-31	92	bear	choppy	mid_vol	3	-30.35%	-23.22%	0.00%	63.84%	0.016	33.90%	100.00%	100.00%	64.00
2026Q1	2026-01-01	2026-03-26	85	bear	choppy	high_vol	3	-24.38%	-19.21%	0.00%	66.82%	0.013	20.57%	100.00%	100.00%	53.67