生成时间：2026-03-16 15:07 UTC ｜ 这是 Rank 4 的最小 clean replication 页：只回答 source intake / replication 是否跑通，以及当前应该继续还是 park。
Rank 4 已完成最小 clean replication；当前三组高相关 crypto pairs 在 frozen-beta z-score spread first pass 下整体偏负，应先 park。
parkBTC-USD/ETH-USD这轮是 clean replication，不是 formal cointegration paper-faithful 复现，也不是 Light Stability Pack。当前先判断：最小规则能否诚实跑通，结果是否值得进入下一刀轻量稳定性。
| item | value |
|---|---|
| source | Tadi et al. (2021, 2023) + repo-inspired cointegration / z-score spread template |
| scope | 15m crypto pairs on cached BTC/ETH/SOL history; first pass pairs = BTC/ETH, ETH/SOL, BTC/SOL |
| trade_on | Freeze hedge ratio on first 60% train window; on later bars, if prior-bar z-score >= +2 short spread, if <= -2 long spread; enter on next bar open |
| trade_off | Exit on next bar open when prior-bar z-score mean-reverts inside ±0.25, or max hold 32 bars |
| positioning | Dollar-neutral proxy using 1/(1+|beta|) and |beta|/(1+|beta|) leg weights |
| cost_model | 6.0 bps per side per leg; roundtrip charged as 4 legs = 0.0024 |
| lookahead_guard | Signals use prior-bar z-score only; entries/exits execute on next bar open |
| repaint_guard | No future extrema / no revised labels; only cached OHLCV closes and next open execution |
| what_this_is | Clean replication / honesty gate only; not yet formal cointegration test, not yet stability pack |
| next_light_check | If replication survives, next check should be time stability + cross-pair stability; if replication is broadly negative, park |
| pair | train_rows | test_rows | train_log_price_corr | frozen_beta | train_spread_mean | train_spread_std | entry_z | exit_z | max_hold_bars | trade_count | win_rate | mean_net_return | cumulative_net_return | avg_hold_bars | pair_verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD/ETH-USD | 6918.00 | 4613.00 | 91.15% | 0.589 | 6.6807 | 0.0124 | 2.00 | 0.25 | 32.00 | 83.00 | 30.12% | -0.16% | -12.42% | 32.0 | clean_replication_complete_but_negative |
| BTC-USD/SOL-USD | 6918.00 | 4613.00 | 81.24% | 0.475 | 9.0882 | 0.0176 | 2.00 | 0.25 | 32.00 | 117.00 | 23.93% | -0.22% | -22.91% | 32.0 | clean_replication_complete_but_negative |
| ETH-USD/SOL-USD | 6918.00 | 4613.00 | 71.98% | 0.650 | 4.8420 | 0.0324 | 2.00 | 0.25 | 32.00 | 127.00 | 31.50% | -0.25% | -27.77% | 32.0 | clean_replication_complete_but_negative |
若 clean replication 后三组 pairs 都是负净路径，desk 读法应更偏向 park，而不是为继续保留 Rank 4 强行补更多漂亮说明。
| pair | side | entry_time_utc | exit_time_utc | entry_zscore | exit_signal_zscore | hold_bars | left_weight | right_weight | left_leg_return | right_leg_return | gross_return | net_return | roundtrip_cost |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD/ETH-USD | long_spread | 2026-01-30 01:45 UTC | 2026-01-30 09:45 UTC | -2.25 | -1.85 | 32 | 62.92% | 37.08% | 0.55% | 0.08% | 0.31% | 0.07% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-01-31 17:15 UTC | 2026-02-01 01:15 UTC | -2.11 | -2.14 | 32 | 60.59% | 39.41% | 1.33% | 2.18% | -0.05% | -0.29% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-01 01:45 UTC | 2026-02-01 09:45 UTC | -2.06 | -2.41 | 32 | 60.59% | 39.41% | -0.42% | 1.11% | -0.69% | -0.93% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-01 10:00 UTC | 2026-02-01 18:00 UTC | -2.38 | -3.28 | 32 | 60.59% | 39.41% | -4.86% | -3.18% | -1.69% | -1.93% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-01 18:15 UTC | 2026-02-02 02:15 UTC | -2.97 | -3.58 | 32 | 60.59% | 39.41% | -3.16% | -1.90% | -1.16% | -1.40% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-02 02:30 UTC | 2026-02-02 10:30 UTC | -3.49 | -3.76 | 32 | 60.59% | 39.41% | -0.25% | 0.96% | -0.53% | -0.77% | 0.24% |
| BTC-USD/SOL-USD | long_spread | 2026-02-02 03:45 UTC | 2026-02-02 11:45 UTC | -2.27 | -1.48 | 32 | 67.81% | 32.19% | 4.29% | 6.10% | 0.94% | 0.70% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-02 10:45 UTC | 2026-02-02 18:45 UTC | -3.80 | -3.22 | 32 | 60.59% | 39.41% | 2.93% | 1.51% | 1.18% | 0.94% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-02 19:00 UTC | 2026-02-03 03:00 UTC | -3.31 | -3.48 | 32 | 60.59% | 39.41% | -1.98% | -2.18% | -0.34% | -0.58% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-03 03:15 UTC | 2026-02-03 11:15 UTC | -3.47 | -3.85 | 32 | 60.59% | 39.41% | -1.02% | 0.35% | -0.75% | -0.99% | 0.24% |
| BTC-USD/ETH-USD | short_spread | 2026-02-03 07:15 UTC | 2026-02-03 15:15 UTC | 2.03 | 1.75 | 32 | 62.92% | 37.08% | -2.00% | -2.79% | 0.22% | -0.02% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-03 11:30 UTC | 2026-02-03 19:30 UTC | -3.95 | -4.38 | 32 | 60.59% | 39.41% | -3.64% | -3.53% | -0.82% | -1.06% | 0.24% |
这里只展示前 12 笔 trade preview；完整表见 reports/artifacts/scout_crypto_pairs_stat_arb_15m/trades.csv。
park，而不是默认继续扩研究。