Rank213 as-of universe long history review

目标：补一条“历史时点真实 universe”验证线，不替换 frozen universe 线。

规则冻结：15m / 64 / 12 / top3-bottom3 / max(1.5%,2×median) / 4bps×turnover；唯一变化是 universe membership 按历史时点可用性动态决定。

证据等级提醒：本页只解决“币未上线时不能提前参赛”的 onboard-time 可见性问题；它不是 monthly/quarterly rolling Top30 选池回测。历史滚动选池讨论默认看 evidence_map 与 monthly_volume_universe_rebuild。

runner 页面 · frozen universe long-history · funding long-history · ffill impact audit · regime_review

1) 样本与 baseline vs veto（as-of universe）

start
2020-02-01T00:00:00Z
end
2026-04-10T18:00:00Z
calendar days
2260.75d
rebalances
18087
avg universe size
18.45
universe size range
6~30
plain net mean
-1.13 bps
plain net cumulative
-95.12%
veto net mean
-0.84 bps
veto net cumulative
-89.98%
Δ net mean
0.30 bps
Δ net cumulative
5.14%

2) 1Y / 2Y / 3Y / 5Y / 6Y / 7Y / 8Y 可用性与同口径结果

windowavailablerequired_start_utcavailable_start_utcrebalancesavg_universe_sizeplain_net_mean_bpsplain_net_cum_pctveto_net_mean_bpsveto_net_cum_pctdelta_net_mean_bpsdelta_net_cum_pctnote
1Yyes2025-04-10T18:00:00Z2025-04-10T18:00:00Z2921.000028.138x2.13 bps11.04%6.46 bps360.06%4.33 bps349.02%
2Yyes2024-04-10T18:00:00Z2024-04-10T18:00:00Z5841.000025.272x-0.74 bps-64.67%1.09 bps21.55%1.84 bps86.22%
3Yyes2023-04-11T18:00:00Z2023-04-11T18:00:00Z8761.000023.096x-0.26 bps-59.77%0.80 bps21.01%1.06 bps80.78%
5Yyes2021-04-11T18:00:00Z2021-04-11T18:00:00Z14601.000019.965x-1.49 bps-95.01%-0.93 bps-86.51%0.56 bps8.50%
6Yyes2020-04-11T18:00:00Z2020-04-11T18:00:00Z17521.000018.769x-0.99 bps-93.29%-0.68 bps-86.05%0.31 bps7.24%
7Yno2019-04-12T18:00:00Z2020-02-01T00:00:00Zinsufficient as-of backtest span
8Yno2018-04-12T18:00:00Z2020-02-01T00:00:00Zinsufficient as-of backtest span

3) 按年表现（as-of universe）

yearrebalancesavg_universe_sizeplain_net_mean_bpsplain_net_cum_pctplain_win_rateplain_max_dd_pctplain_avg_turnover_xveto_net_mean_bpsveto_net_cum_pctveto_win_rateveto_max_dd_pctveto_avg_turnover_xdelta_net_mean_bpsdelta_net_cum_pct
2020268011.250x-3.67 bps-64.59%43.92%-69.37%1.000x-3.99 bps-67.40%43.58%-70.15%1.035x-0.32 bps-2.81%
2021292015.000x2.77 bps90.04%46.03%-60.00%1.000x1.97 bps51.35%45.62%-60.03%1.028x-0.81 bps-38.69%
2022292015.258x-5.26 bps-79.61%44.18%-81.69%1.000x-5.52 bps-80.97%44.32%-82.88%1.019x-0.26 bps-1.37%
2023292017.756x-0.26 bps-12.84%46.92%-34.64%1.000x-0.79 bps-24.93%46.51%-42.22%1.047x-0.53 bps-12.10%
2024292821.328x-1.97 bps-48.60%47.78%-68.63%1.000x-1.98 bps-48.64%47.23%-68.19%1.049x-0.02 bps-0.04%
2025292026.361x-1.38 bps-48.82%48.18%-66.11%1.000x-0.09 bps-21.47%47.33%-69.04%1.151x1.29 bps27.35%
202679930.000x9.02 bps55.03%51.56%-55.77%1.000x17.92 bps252.57%51.44%-19.45%1.307x8.90 bps197.54%

4) universe 随时间变化

monthrebalancesuniverse_size_meanuniverse_size_minuniverse_size_maxentered_names_sumexited_names_sumactive_symbols
2020-022328.103x69909
2020-032489.000x99009
2020-042409.000x99009
2020-052489.000x99009
2020-062409.262x9101010
2020-0724810.673x10111011
2020-0824811.290x11121012
2020-0924012.767x12142014
2020-1024814.484x14151015
2020-1124015.000x15150015
2020-1224815.000x15150015
2021-0124815.000x15150015
2021-0222415.000x15150015
2021-0324815.000x15150015
2021-0424015.000x15150015
2021-0524815.000x15150015
2021-0624015.000x15150015
2021-0724815.000x15150015
2021-0824815.000x15150015
2021-0924015.000x15150015
2021-1024815.000x15150015
2021-1124015.000x15150015
2021-1224815.000x15150015
2022-0124815.000x15150015
2022-0222414.442x10150515
2022-0324814.859x10155515
2022-0424014.542x10155015
2022-0524815.000x15150015
2022-0624015.000x15150015
2022-0724815.000x15150015
2022-0824815.185x15161016
2022-0924016.000x16160016
2022-1024816.000x16160016
2022-1124016.000x16160016
2022-1224816.000x16160016
2023-0124816.000x16160016
2023-0222416.000x16160016
2023-0324816.000x16160016
2023-0424016.000x16160016
2023-0524817.718x16182018
2023-0624018.000x18180018
2023-0724818.218x18191019
2023-0824819.000x19190019
2023-0924019.000x19190019
2023-1024819.000x19190019
2023-1124019.000x19190019
2023-1224819.000x19190019
2024-0124819.000x19190019
2024-0223219.332x19201020
2024-0324820.000x20200020
2024-0424021.546x20222022
2024-0524822.000x22220022
2024-0624022.000x22220022
2024-0724822.000x22220022
2024-0824822.000x22220022
2024-0924022.000x22220022
2024-1024822.000x22220022
2024-1124022.000x22220022
2024-1224822.000x22220022
2025-0124822.222x22231023
2025-0222423.527x23241024
2025-0324824.286x24251025
2025-0424025.000x25250025
2025-0524825.028x25261026
2025-0624026.000x26260026
2025-0724826.512x26271027
2025-0824827.000x27270027
2025-0924027.933x27281028
2025-1024828.661x28302030
2025-1124030.000x30300030
2025-1224830.000x30300030
2026-0124830.000x30300030
2026-0222430.000x30300030
2026-0324830.000x30300030
2026-047930.000x30300030

首尾 6 笔 rebalance 的 universe 变化快照（entered / exited）：

Head

timestampmonthuniverse_sizeentered_namesexited_namesentered_symbolsexited_symbolseligible_symbols
2020-02-01T00:00:00Z2020-02660ADAUSDT,BCHUSDT,BTCUSDT,ETHUSDT,LINKUSDT,XRPUSDTBTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT
2020-02-01T03:00:00Z2020-02600BTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT
2020-02-01T06:00:00Z2020-02600BTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT
2020-02-01T09:00:00Z2020-02600BTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT
2020-02-01T12:00:00Z2020-02600BTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT
2020-02-01T15:00:00Z2020-02600BTCUSDT,ETHUSDT,XRPUSDT,ADAUSDT,BCHUSDT,LINKUSDT

Tail

timestampmonthuniverse_sizeentered_namesexited_namesentered_symbolsexited_symbolseligible_symbols
2026-04-10T03:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT
2026-04-10T06:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT
2026-04-10T09:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT
2026-04-10T12:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT
2026-04-10T15:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT
2026-04-10T18:00:00Z2026-043000BTCUSDT,ETHUSDT,SOLUSDT,SIRENUSDT,XRPUSDT,TAOUSDT,ONUSDT,RIVERUSDT,DOGEUSDT,CUSDT,BNBUSDT,HYPEUSDT,ZECUSDT,PIPPINUSDT,1000PEPEUSDT,B3USDT,STGUSDT,ADAUSDT,WLDUSDT,SUIUSDT,BCHUSDT,PIXELUSDT,ENAUSDT,LINKUSDT,DOTUSDT,AVAXUSDT,ONTUSDT,FILUSDT,KNCUSDT,QUSDT

5) 最终结论

as-of universe 长历史线已向 5~8Y 扩展到可用范围；其中可用长窗里 veto 相对 baseline 仍维持正增量。但未覆盖到的更长窗口仍应明确标 unavailable，不能超范围宣称。