生成时间：2026-03-16 18:50 UTC ｜ 这是原 Rank 4 之后的窄重开：不翻案原 park，只回答 rolling-beta / stricter entry 是否足够把它推进到下一刀轻量稳定性。
Rank 4b rolling-beta clean replication 已把部分 pair 从原先显著负值收回到轻微正 pocket，但最新时间切片把 surviving pairs 一起压回负值，因此当前更诚实 verdict 是 park。
parkETH-USD/SOL-USD这里仍不是 paper candidate verdict。它只是在判断：Rank 4b 这条窄重开，是否已经从“直接 park”抬升到“值得补一刀 Light Stability Pack”。
| item | value |
|---|---|
| source | Rank 4b reframe from Tadi et al. (2021/2023) + repo-inspired stat-arb template |
| scope | 15m crypto pairs on cached BTC/ETH/SOL history; same 3 pairs as Rank 4 baseline |
| what_changed_vs_rank4 | Freeze narrow reframe: rolling-beta z-score spread instead of frozen-beta; stricter entry_z = 2.5; no extra regime gate in the formal v2 spec |
| trade_on | After 60% train split, use prior-bar rolling z-score; if >= +2.5 short spread, if <= -2.5 long spread; enter on next bar open |
| trade_off | Exit on next bar open when prior-bar z-score mean-reverts back through 0.0, or max hold 32 bars |
| beta_model | Rolling beta via 192-bar covariance / variance; weights frozen per trade at entry beta |
| 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 rolling 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 |
| why_no_extra_gate_yet | The reframe first asks whether model calibration alone can rescue the pocket; regime/vol gates stay second-order until this clean replication v2 passes |
| next_light_check_if_survives | Time stability + cost/trade-count stability + cross-pair stability before any paper-candidate discussion |
| pair | train_rows | test_rows | train_log_price_corr | rolling_beta_window | train_beta_median | entry_z | exit_z | max_hold_bars | trade_count | win_rate | mean_net_return | cumulative_net_return | avg_hold_bars | pair_verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ETH-USD/SOL-USD | 6918.00 | 4613.00 | 71.98% | 192 | 0.755 | 2.50 | 0.00 | 32.00 | 20.00 | 50.00% | 0.11% | 2.28% | 32.0 | one_more_light_check |
| BTC-USD/SOL-USD | 6918.00 | 4613.00 | 81.24% | 192 | 0.536 | 2.50 | 0.00 | 32.00 | 15.00 | 40.00% | 0.05% | 0.74% | 29.5 | one_more_light_check |
| BTC-USD/ETH-USD | 6918.00 | 4613.00 | 91.15% | 192 | 0.633 | 2.50 | 0.00 | 32.00 | 21.00 | 28.57% | -0.34% | -6.99% | 30.7 | clean_replication_complete_but_negative |
当前读法应优先看：是不是至少有不止一组 pair 从明显负 pocket 被抬回到轻微正 pocket，以及交易数有没有薄到失真。
| pair | rank4_trade_count | rank4_cumulative_net_return | rank4_verdict | rank4b_trade_count | rank4b_cumulative_net_return | rank4b_verdict | cum_net_delta | trade_count_delta |
|---|---|---|---|---|---|---|---|---|
| ETH-USD/SOL-USD | 127 | -27.77% | clean_replication_complete_but_negative | 20 | 2.28% | one_more_light_check | 30.06% | -107 |
| BTC-USD/SOL-USD | 117 | -22.91% | clean_replication_complete_but_negative | 15 | 0.74% | one_more_light_check | 23.64% | -102 |
| BTC-USD/ETH-USD | 83 | -12.42% | clean_replication_complete_but_negative | 21 | -6.99% | clean_replication_complete_but_negative | 5.43% | -62 |
这张对照不是为了证明 stat-arb 已经成立，而是为了回答：窄 reframe 后，结果有没有从“全线负值”抬回到“值得补下一刀”的状态。
| pair | window_kind | window_label | trade_count | win_rate | mean_net_return | cumulative_net_return | window_verdict |
|---|---|---|---|---|---|---|---|
| BTC-USD/ETH-USD | time_tercile | tercile_1 | 7 | 14.29% | -0.58% | -4.02% | negative_or_flat |
| BTC-USD/ETH-USD | time_tercile | tercile_2 | 7 | 28.57% | -0.28% | -1.92% | negative_or_flat |
| BTC-USD/ETH-USD | time_tercile | tercile_3 | 7 | 42.86% | -0.17% | -1.19% | negative_or_flat |
| BTC-USD/ETH-USD | calendar_month | 2026-01 | 3 | 33.33% | -0.51% | -1.52% | negative_or_flat |
| BTC-USD/ETH-USD | calendar_month | 2026-02 | 9 | 22.22% | -0.35% | -3.13% | negative_or_flat |
| BTC-USD/ETH-USD | calendar_month | 2026-03 | 9 | 33.33% | -0.28% | -2.50% | negative_or_flat |
| BTC-USD/SOL-USD | time_tercile | tercile_1 | 5 | 60.00% | 0.24% | 1.17% | positive |
| BTC-USD/SOL-USD | time_tercile | tercile_2 | 5 | 40.00% | 0.13% | 0.62% | positive |
| BTC-USD/SOL-USD | time_tercile | tercile_3 | 5 | 20.00% | -0.21% | -1.04% | negative_or_flat |
| BTC-USD/SOL-USD | calendar_month | 2026-01 | 3 | 66.67% | 0.16% | 0.49% | positive |
| BTC-USD/SOL-USD | calendar_month | 2026-02 | 6 | 50.00% | 0.25% | 1.46% | positive |
| BTC-USD/SOL-USD | calendar_month | 2026-03 | 6 | 16.67% | -0.20% | -1.20% | negative_or_flat |
| ETH-USD/SOL-USD | time_tercile | tercile_1 | 7 | 71.43% | 0.22% | 1.51% | positive |
| ETH-USD/SOL-USD | time_tercile | tercile_2 | 6 | 66.67% | 0.39% | 2.38% | positive |
| ETH-USD/SOL-USD | time_tercile | tercile_3 | 7 | 14.29% | -0.23% | -1.58% | negative_or_flat |
| ETH-USD/SOL-USD | calendar_month | 2026-01 | 3 | 66.67% | 0.34% | 1.01% | positive |
| ETH-USD/SOL-USD | calendar_month | 2026-02 | 12 | 58.33% | 0.17% | 1.99% | positive |
| ETH-USD/SOL-USD | calendar_month | 2026-03 | 5 | 20.00% | -0.14% | -0.72% | negative_or_flat |
这轮只补一刀时间稳定性，而且直接拿它做 promote / park 二选一：如果 surviving positive pairs 在最近 tercile 与最近月份都一起转负，就说明 pocket 主要来自前段样本，不够诚实地升 paper candidate。
| pair | side | entry_time_utc | exit_time_utc | entry_beta | entry_zscore | exit_signal_zscore | hold_bars | left_weight | right_weight | left_leg_return | right_leg_return | gross_return | net_return | roundtrip_cost |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ETH-USD/SOL-USD | long_spread | 2026-01-27 13:00 UTC | 2026-01-27 21:00 UTC | 0.795 | -2.59 | -2.97 | 32 | 55.71% | 44.29% | 3.51% | 2.80% | 0.72% | 0.48% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-01-27 21:15 UTC | 2026-01-28 05:15 UTC | 0.952 | -3.08 | -2.26 | 32 | 51.23% | 48.77% | -0.79% | -0.85% | 0.01% | -0.23% | 0.24% |
| BTC-USD/SOL-USD | long_spread | 2026-01-28 07:45 UTC | 2026-01-28 15:45 UTC | 0.460 | -2.54 | -3.21 | 32 | 68.50% | 31.50% | 0.28% | -0.84% | 0.46% | 0.22% | 0.24% |
| BTC-USD/SOL-USD | long_spread | 2026-01-28 16:00 UTC | 2026-01-29 00:00 UTC | 0.601 | -3.11 | -1.45 | 32 | 62.45% | 37.55% | -0.20% | -0.57% | 0.09% | -0.15% | 0.24% |
| BTC-USD/ETH-USD | long_spread | 2026-01-29 10:15 UTC | 2026-01-29 18:15 UTC | 0.588 | -2.50 | -2.81 | 32 | 62.97% | 37.03% | -3.88% | -3.96% | -0.98% | -1.22% | 0.24% |
| BTC-USD/ETH-USD | long_spread | 2026-01-29 18:30 UTC | 2026-01-30 02:30 UTC | 0.766 | -2.83 | -2.00 | 32 | 56.61% | 43.39% | -2.88% | -3.13% | -0.27% | -0.51% | 0.24% |
| BTC-USD/ETH-USD | short_spread | 2026-01-31 10:30 UTC | 2026-01-31 18:30 UTC | 0.520 | 2.53 | 1.96 | 32 | 65.78% | 34.22% | -5.56% | -9.38% | 0.45% | 0.21% | 0.24% |
| ETH-USD/SOL-USD | short_spread | 2026-01-31 14:15 UTC | 2026-01-31 22:15 UTC | 0.675 | 2.71 | 0.60 | 32 | 59.70% | 40.30% | -7.55% | -8.70% | 1.00% | 0.76% | 0.24% |
| BTC-USD/SOL-USD | short_spread | 2026-01-31 15:30 UTC | 2026-01-31 23:30 UTC | 0.547 | 2.53 | 1.92 | 32 | 64.65% | 35.35% | -2.88% | -3.38% | 0.66% | 0.42% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-02 08:45 UTC | 2026-02-02 16:45 UTC | 1.099 | -2.51 | -2.90 | 32 | 47.63% | 52.37% | 5.58% | 3.52% | 0.81% | 0.57% | 0.24% |
| BTC-USD/SOL-USD | long_spread | 2026-02-02 14:00 UTC | 2026-02-02 22:00 UTC | 0.657 | -2.64 | -1.66 | 32 | 60.34% | 39.66% | 0.39% | 1.46% | -0.34% | -0.58% | 0.24% |
| ETH-USD/SOL-USD | long_spread | 2026-02-02 17:00 UTC | 2026-02-03 01:00 UTC | 1.422 | -2.76 | -1.31 | 32 | 41.29% | 58.71% | -0.20% | -0.79% | 0.38% | 0.14% | 0.24% |
这里只展示前 12 笔 trade preview；完整表见 reports/artifacts/scout_crypto_pairs_stat_arb_15m_rank4b/trades.csv。
park 仍然成立；Rank 4b 只是合法窄重开，不是推翻旧 verdict。park。