Rank32b · 时间周期研究（大币 vs 小币）
生成时间：2026-04-03 12:22 UTC ｜ 历史抓取上限：1830 天 ｜ 目标：回答“这个策略在什么市场时间段更有盈利空间 / 更高 Sharpe，什么时间段明显更差”。
这次口径为什么比 recent live/shadow 更有意义
- 你说得对：最近实盘 / shadow 样本太短，拿它直接做“策略本体”判断，信息密度不够。
- 所以这里故意退一步，先看 长历史、统一执行骨架：
official close → next bar open → fixed hold 8 bars，然后在篮子内做 strongest-only 选择。
- 这页的重点不是解释最近一两天，而是回答：32b 更像在哪些季度 / 哪些滚动 1 年 / 哪些滚动 3 年里有 edge。
- 别拿这里的绝对收益倍数当实盘宣传词。 这页更适合看相对高低、Sharpe 排名、以及什么市场窗口更友好/更恶劣。
先讲一句人话
- 大币 / core18：最好季度 2021Q3（1591.73%），最差季度 2021Q1（40.98%）；按 regime 看，较优状态更像
bull + trendy，较差状态更像 flat_mixed + mid。 - 小币 / hot smallcap：最好季度 2025Q2（1981.21%），最差季度 2026Q2（23.15%）；按 regime 看，较优状态更像
bull + trendy，较差状态更像 bear + choppy。
看法上我会这样切：大币篮子更适合看 rolling 3Y，因为上市历史长；小币篮子更适合看最近 1Y / since-listing 的季度面板，因为很多币根本没资格给你 3 年样本。
大币 / core18
这部分回答两个问题：什么时候做它更舒服？什么时候明显更难做？ 口径是 official-close → next-bar open → hold 8×15m → strongest-only per bar → max_concurrent=1，先看 alpha 骨架的长期周期性，不掺 recent live 的微观执行噪音。
最好 / 最差窗口
按季度收益
| quarter | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | trades |
|---|
| 2021Q3 | 1591.73% | 5.988 | 62.96% | 81.25% | 526 |
| 2024Q4 | 967.84% | 5.606 | 74.31% | 94.44% | 609 |
| 2021Q2 | 904.19% | 3.743 | 2.86% | 37.50% | 585 |
| quarter | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | trades |
|---|
| 2021Q1 | 40.98% | 2.212 | 3.92% | 68.75% | 65 |
| 2023Q4 | 115.30% | 2.240 | 87.48% | 100.00% | 562 |
| 2022Q4 | 116.26% | 2.609 | -26.42% | 12.50% | 406 |
按 rolling 1Y / 3Y Sharpe
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2022Q4 | 2023Q3 | 4791.67% | 11.517 | 100.00% | 0.03% | 38.17% | 0.013 |
| 2023Q1 | 2023Q4 | 4769.87% | 11.337 | 100.00% | 28.51% | 60.05% | 0.020 |
| 2023Q2 | 2024Q1 | 5890.04% | 7.604 | 100.00% | 34.75% | 60.05% | 0.021 |
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2021Q3 | 2022Q2 | 88773.05% | 2.162 | 100.00% | -0.33% | 32.81% | 0.011 |
| 2021Q1 | 2021Q4 | 110529.64% | 2.465 | 100.00% | 19.96% | 57.81% | 0.009 |
| 2024Q1 | 2024Q4 | 37379.18% | 2.581 | 100.00% | 29.58% | 56.94% | 0.018 |
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2021Q4 | 2024Q3 | 70624679.25% | 5.205 | 100.00% | 6.76% | 41.54% | 0.014 |
| 2022Q2 | 2025Q1 | 414672620.97% | 2.616 | 100.00% | 10.06% | 45.25% | 0.017 |
| 2023Q1 | 2025Q4 | 357914873.81% | 2.544 | 100.00% | 18.36% | 52.89% | 0.017 |
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2021Q3 | 2024Q2 | 320853065.38% | 1.680 | 100.00% | 11.68% | 45.54% | 0.016 |
| 2021Q1 | 2023Q4 | 481922357.91% | 1.741 | 100.00% | 8.90% | 46.06% | 0.013 |
| 2021Q2 | 2024Q1 | 1199607682.65% | 1.865 | 100.00% | 14.57% | 48.66% | 0.014 |
按 regime 汇总：什么时候更适合开
| direction_bucket | windows | mean_quarter_return | mean_trade_sharpe | mean_eq_ret_3m | mean_breadth_pos | mean_ew_efficiency | mean_trades |
|---|
| flat_mixed | 8 | 293.35% | 3.465 | 0.46% | 36.53% | 0.005 | 431.6 |
| bull | 7 | 485.93% | 3.811 | 56.39% | 90.18% | 0.023 | 516.6 |
| bear | 6 | 293.56% | 3.489 | -35.18% | 3.94% | 0.014 | 473.2 |
| direction_bucket | efficiency_bucket | windows | mean_quarter_return | mean_trade_sharpe | mean_eq_ret_3m | mean_breadth_pos | mean_ew_efficiency | mean_trades |
|---|
| flat_mixed | mid | 2 | 111.34% | 2.915 | -4.02% | 42.71% | 0.011 | 240.5 |
| flat_mixed | choppy | 6 | 354.02% | 3.648 | 1.96% | 34.48% | 0.003 | 495.3 |
| bull | trendy | 6 | 544.47% | 3.952 | 63.28% | 95.02% | 0.026 | 520.0 |
| bear | trendy | 1 | 372.84% | 3.432 | -64.00% | 0.00% | 0.019 | 518.0 |
| bear | mid | 5 | 277.71% | 3.501 | -29.42% | 4.72% | 0.013 | 464.2 |
| bull | choppy | 1 | 134.66% | 2.965 | 15.07% | 61.11% | 0.006 | 496.0 |
季度明细
| quarter | quarter_start | quarter_end | listed_asset_count | trades | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | ew_efficiency | direction_bucket | efficiency_bucket | vol_bucket |
|---|
| 2021Q1 | 2021-03-22 | 2021-03-31 | 16 | 65 | 40.98% | 2.212 | 3.92% | 68.75% | 0.013 | flat_mixed | mid | mid_vol |
| 2021Q2 | 2021-04-01 | 2021-06-30 | 16 | 585 | 904.19% | 3.743 | 2.86% | 37.50% | 0.001 | flat_mixed | choppy | high_vol |
| 2021Q3 | 2021-07-01 | 2021-09-30 | 16 | 526 | 1591.73% | 5.988 | 62.96% | 81.25% | 0.019 | bull | trendy | high_vol |
| 2021Q4 | 2021-10-01 | 2021-12-31 | 16 | 553 | 361.92% | 3.878 | 10.11% | 43.75% | 0.004 | flat_mixed | choppy | high_vol |
| 2022Q1 | 2022-01-01 | 2022-03-31 | 16 | 469 | 140.52% | 2.644 | -10.40% | 6.25% | 0.004 | flat_mixed | choppy | high_vol |
| 2022Q2 | 2022-04-01 | 2022-06-30 | 16 | 518 | 372.84% | 3.432 | -64.00% | 0.00% | 0.019 | bear | trendy | high_vol |
| 2022Q3 | 2022-07-01 | 2022-09-30 | 16 | 454 | 263.69% | 4.090 | 13.76% | 62.50% | 0.005 | flat_mixed | choppy | mid_vol |
| 2022Q4 | 2022-10-01 | 2022-12-31 | 16 | 406 | 116.26% | 2.609 | -26.42% | 12.50% | 0.013 | bear | mid | low_vol |
| 2023Q1 | 2023-01-01 | 2023-03-31 | 16 | 384 | 185.30% | 3.618 | 46.98% | 100.00% | 0.023 | bull | trendy | low_vol |
| 2023Q2 | 2023-04-01 | 2023-06-30 | 17 | 381 | 181.43% | 3.771 | -8.47% | 23.53% | 0.005 | flat_mixed | choppy | low_vol |
| 2023Q3 | 2023-07-01 | 2023-09-30 | 18 | 416 | 181.71% | 3.617 | -11.96% | 16.67% | 0.008 | flat_mixed | mid | low_vol |
| 2023Q4 | 2023-10-01 | 2023-12-31 | 18 | 562 | 115.30% | 2.240 | 87.48% | 100.00% | 0.042 | bull | trendy | low_vol |
| 2024Q1 | 2024-01-01 | 2024-03-31 | 18 | 583 | 250.93% | 2.708 | 71.96% | 100.00% | 0.029 | bull | trendy | mid_vol |
| 2024Q2 | 2024-04-01 | 2024-06-30 | 18 | 527 | 168.59% | 3.076 | -31.83% | 0.00% | 0.015 | bear | mid | mid_vol |
| 2024Q3 | 2024-07-01 | 2024-09-30 | 18 | 530 | 272.38% | 3.763 | 3.89% | 33.33% | 0.002 | flat_mixed | choppy | low_vol |
| 2024Q4 | 2024-10-01 | 2024-12-31 | 18 | 609 | 967.84% | 5.606 | 74.31% | 94.44% | 0.026 | bull | trendy | mid_vol |
| 2025Q1 | 2025-01-01 | 2025-03-31 | 18 | 519 | 510.89% | 3.590 | -35.00% | 0.00% | 0.013 | bear | mid | high_vol |
| 2025Q2 | 2025-04-01 | 2025-06-30 | 18 | 496 | 134.66% | 2.965 | 15.07% | 61.11% | 0.006 | bull | choppy | mid_vol |
| 2025Q3 | 2025-07-01 | 2025-09-30 | 18 | 456 | 155.72% | 3.551 | 35.96% | 94.44% | 0.017 | bull | trendy | low_vol |
| 2025Q4 | 2025-10-01 | 2025-12-31 | 18 | 451 | 434.94% | 4.236 | -28.08% | 11.11% | 0.012 | bear | mid | high_vol |
| 2026Q1 | 2026-01-01 | 2026-03-26 | 18 | 418 | 157.84% | 3.992 | -25.76% | 0.00% | 0.013 | bear | mid | mid_vol |
成分币历史覆盖
| asset | symbol | status | bars | start | end | trades |
|---|
| BTC-USD | BTCUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 863 |
| ETH-USD | ETHUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1132 |
| SOL-USD | SOLUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1706 |
| LTC-USD | LTCUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1536 |
| NEAR-USD | NEARUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1987 |
| UNI-USD | UNIUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1842 |
| XRP-USD | XRPUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1374 |
| DOGE-USD | DOGEUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1610 |
| BNB-USD | BNBUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1114 |
| ADA-USD | ADAUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1648 |
| AVAX-USD | AVAXUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1764 |
| LINK-USD | LINKUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1678 |
| BCH-USD | BCHUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1490 |
| DOT-USD | DOTUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1633 |
| ZEC-USD | ZECUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1961 |
| AAVE-USD | AAVEUSDT | ok | 175680 | 2021-03-22 | 2026-03-26 | 1814 |
| SUI-USD | SUIUSDT | ok | 101518 | 2023-05-03 | 2026-03-26 | 1146 |
| WLD-USD | WLDUSDT | ok | 93662 | 2023-07-24 | 2026-03-26 | 1144 |
小币 / hot smallcap
这部分回答两个问题：什么时候做它更舒服？什么时候明显更难做？ 口径是 official-close → next-bar open → hold 8×15m → strongest-only per bar → max_concurrent=1，先看 alpha 骨架的长期周期性，不掺 recent live 的微观执行噪音。
最好 / 最差窗口
按季度收益
| quarter | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | trades |
|---|
| 2025Q2 | 1981.21% | 5.396 | 119.85% | 87.50% | 489 |
| 2026Q1 | 1450.05% | 3.055 | 13.32% | 20.00% | 574 |
| 2025Q4 | 727.92% | 2.131 | 68.22% | 20.00% | 544 |
| quarter | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | trades |
|---|
| 2026Q2 | 23.15% | 1.900 | -8.18% | 50.00% | 17 |
| 2024Q2 | 28.66% | 1.024 | -51.85% | 0.00% | 109 |
| 2024Q3 | 130.54% | 3.597 | 12.54% | 100.00% | 130 |
按 rolling 1Y / 3Y Sharpe
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2024Q1 | 2024Q4 | 2475.51% | 4.027 | 100.00% | 259.40% | 58.33% | 0.040 |
| 2025Q2 | 2026Q1 | 1478380.54% | 3.839 | 100.00% | 58.73% | 42.99% | 0.015 |
| 2025Q1 | 2025Q4 | 481030.15% | 2.783 | 100.00% | 36.70% | 37.99% | 0.017 |
| window_start | window_end | window_return | window_sharpe_q | positive_quarter_ratio | avg_eq_ret_3m | avg_breadth_pos | avg_ew_efficiency |
|---|
| 2024Q3 | 2025Q2 | 69408.62% | 1.777 | 100.00% | 37.21% | 55.21% | 0.015 |
| 2024Q4 | 2025Q3 | 166803.48% | 2.119 | 100.00% | 42.45% | 41.32% | 0.017 |
| 2025Q3 | 2026Q2 | 87386.48% | 2.558 | 100.00% | 26.72% | 33.61% | 0.027 |
这个篮子目前没有足够长的连续上市历史，因此 rolling 3Y 只能对更老的篮子（如 core18）认真看；小币这边要接受“上市太晚，3 年结论天然缺样本”的现实。
按 regime 汇总：什么时候更适合开
| direction_bucket | windows | mean_quarter_return | mean_trade_sharpe | mean_eq_ret_3m | mean_breadth_pos | mean_ew_efficiency | mean_trades |
|---|
| bull | 2 | 1091.77% | 3.809 | 552.77% | 93.75% | 0.079 | 296.5 |
| bear | 2 | 216.54% | 1.873 | -63.31% | 0.00% | 0.012 | 283.5 |
| flat_mixed | 6 | 495.40% | 2.774 | 35.11% | 44.63% | 0.021 | 338.2 |
| direction_bucket | efficiency_bucket | windows | mean_quarter_return | mean_trade_sharpe | mean_eq_ret_3m | mean_breadth_pos | mean_ew_efficiency | mean_trades |
|---|
| bull | trendy | 2 | 1091.77% | 3.809 | 552.77% | 93.75% | 0.079 | 296.5 |
| bear | choppy | 1 | 28.66% | 1.024 | -51.85% | 0.00% | 0.009 | 109.0 |
| flat_mixed | choppy | 3 | 678.05% | 3.469 | 19.79% | 54.81% | 0.006 | 390.7 |
| flat_mixed | mid | 2 | 457.56% | 2.171 | 79.71% | 26.67% | 0.017 | 420.0 |
| bear | mid | 1 | 404.42% | 2.722 | -74.77% | 0.00% | 0.015 | 458.0 |
| flat_mixed | trendy | 1 | 23.15% | 1.900 | -8.18% | 50.00% | 0.077 | 17.0 |
季度明细
| quarter | quarter_start | quarter_end | listed_asset_count | trades | quarter_return | trade_sharpe | eq_ret_3m | breadth_pos | ew_efficiency | direction_bucket | efficiency_bucket | vol_bucket |
|---|
| 2024Q1 | 2024-01-18 | 2024-03-31 | 1 | 104 | 202.33% | 2.222 | 985.69% | 100.00% | 0.131 | bull | trendy | high_vol |
| 2024Q2 | 2024-04-01 | 2024-06-30 | 1 | 109 | 28.66% | 1.024 | -51.85% | 0.00% | 0.009 | bear | choppy | high_vol |
| 2024Q3 | 2024-07-01 | 2024-09-30 | 1 | 130 | 130.54% | 3.597 | 12.54% | 100.00% | 0.003 | flat_mixed | choppy | mid_vol |
| 2024Q4 | 2024-10-01 | 2024-12-31 | 6 | 296 | 187.20% | 2.210 | 91.21% | 33.33% | 0.016 | flat_mixed | mid | high_vol |
| 2025Q1 | 2025-01-01 | 2025-03-31 | 8 | 458 | 404.42% | 2.722 | -74.77% | 0.00% | 0.015 | bear | mid | mid_vol |
| 2025Q2 | 2025-04-01 | 2025-06-30 | 8 | 489 | 1981.21% | 5.396 | 119.85% | 87.50% | 0.026 | bull | trendy | low_vol |
| 2025Q3 | 2025-07-01 | 2025-09-30 | 9 | 468 | 453.56% | 3.754 | 33.52% | 44.44% | 0.010 | flat_mixed | choppy | low_vol |
| 2025Q4 | 2025-10-01 | 2025-12-31 | 10 | 544 | 727.92% | 2.131 | 68.22% | 20.00% | 0.018 | flat_mixed | mid | mid_vol |
| 2026Q1 | 2026-01-01 | 2026-03-31 | 10 | 574 | 1450.05% | 3.055 | 13.32% | 20.00% | 0.004 | flat_mixed | choppy | low_vol |
| 2026Q2 | 2026-04-01 | 2026-04-03 | 10 | 17 | 23.15% | 1.900 | -8.18% | 50.00% | 0.077 | flat_mixed | trendy | low_vol |
成分币历史覆盖
| asset | symbol | status | bars | start | end | trades |
|---|
| BEAT-USD | BEATUSDT | ok | 13631 | 2025-11-12 | 2026-04-03 | 214 |
| PIPPIN-USD | PIPPINUSDT | ok | 41671 | 2025-01-24 | 2026-04-03 | 640 |
| SIREN-USD | SIRENUSDT | ok | 36204 | 2025-03-22 | 2026-04-03 | 434 |
| TRADOOR-USD | TRADOORUSDT | ok | 18814 | 2025-09-19 | 2026-04-03 | 286 |
| FARTCOIN-USD | FARTCOINUSDT | ok | 44997 | 2024-12-20 | 2026-04-03 | 637 |
| WIF-USD | WIFUSDT | ok | 77367 | 2024-01-18 | 2026-04-03 | 978 |
| PENGU-USD | PENGUUSDT | ok | 45295 | 2024-12-17 | 2026-04-03 | 571 |
| PNUT-USD | PNUTUSDT | ok | 48766 | 2024-11-11 | 2026-04-03 | 579 |
| MOODENG-USD | MOODENGUSDT | ok | 50408 | 2024-10-25 | 2026-04-03 | 685 |
| HIPPO-USD | HIPPOUSDT | ok | 48574 | 2024-11-13 | 2026-04-03 | 719 |
