Rank213 regime review（解释“什么时候有效”）

边界：不新增策略、不重调参数；只用既有 as-of long-history / funding review / performance review 做归因。

as-of long-history · funding review · performance review · formal strategy review · family operating board · runner

1) 2023/2024 负收益主要发生在什么环境

负收益月最稳定特征是：横截面分散度低、veto 触发率低、long-short leg 分化弱；BTC 短窗趋势方向本身区分力次于这些横截面变量。
bad months
18
veto monthly net mean
-7.90%
btc trend(64) mean
11.43 bps
xs dispersion mean
236.30 bps
realized vol mean
38.65 bps
ls divergence mean
1.26 bps

2) 2025/2026 正收益主要发生在什么环境

正收益月最稳定特征是：横截面分散度高、veto 触发率高、long/short leg 分化更明显；在 funding 可得区间内，资金费率对 veto 不是主拖累。
good months
9
veto monthly net mean
29.31%
btc trend(64) mean
-6.42 bps
xs dispersion mean
522.73 bps
realized vol mean
43.74 bps
ls divergence mean
8.89 bps

3) 哪些变量最能区分好坏阶段

区分度按效应量排序；优先看 veto 触发率、横截面分散度与 leg 分化，再看趋势/波动；funding 仅在 2025-10 之后有直接证据。

variablegood_meanbad_meangood_minus_badeffect_size_ddirection
veto_active_rate0.55 bps0.13 bps0.41 bps3.4570higher_in_good
xs_dispersion_bps522.73 bps236.30 bps286.43 bps2.7314higher_in_good
ls_divergence_bps8.89 bps1.26 bps7.63 bps0.7679higher_in_good
delta_net_mean_bps4.60 bps-0.28 bps4.88 bps0.7573higher_in_good
btc_trend_64_bps-6.42 bps11.43 bps-17.84 bps-0.6067lower_in_good
realized_vol_bps43.74 bps38.65 bps5.08 bps0.5315higher_in_good
veto_funding_mean_bps1.36 bpslower_in_good

4) 当前 live 环境更像哪一段

2025/2026 positive regime
current window
2026-03-11T18:00:00Z → 2026-04-10T18:00:00Z
distance to good
2.7483
distance to bad
5.7957
current veto mean
41.32 bps
current delta mean
-9.15 bps

5) 是否能提炼一个简单 on/off gate

veto_active_rate >= 0.3401 and xs_dispersion_bps >= 379.5133 and ls_divergence_bps >= 5.0783 (至少满足2/3条件为ON)

这是解释性 regime gate，不改策略参数、不重跑优化，只用于 live 风险开关提示。

当前窗口 gate 状态：ON（3/3，阈值 3）
ON months
5
OFF months
70
ON monthly mean
45.36%
OFF monthly mean
-4.51%
ON monthly win rate
100.00%
OFF monthly win rate
25.71%

附：最近18个月月度特征与 gate 状态

monthyearrebalancesveto_monthly_netplain_monthly_netdelta_net_mean_bpsbtc_trend_64_bpsxs_dispersion_bpsrealized_vol_bpsls_divergence_bpsveto_active_rategate_on
2024-1120242400.17%0.19%-0.81 bps72.32 bps391.64 bps61.19 bps36.85 bps0.06%False
2024-122024248-0.08%-0.07%-0.78 bps2.32 bps310.35 bps62.84 bps-8.89 bps0.04%False
2025-012025248-0.14%-0.09%-2.32 bps26.10 bps273.20 bps49.74 bps0.09 bps0.22%False
2025-022025224-0.01%0.03%-2.00 bps-53.73 bps327.13 bps55.42 bps-13.58 bps0.50%False
2025-032025248-0.19%-0.13%-3.07 bps9.82 bps318.54 bps49.25 bps-7.52 bps0.25%False
2025-042025240-0.31%-0.31%0.30 bps34.35 bps327.67 bps47.44 bps13.35 bps0.32%False
2025-052025248-0.10%-0.05%-2.18 bps22.06 bps324.78 bps44.31 bps2.71 bps0.33%False
2025-062025240-0.21%-0.13%-4.01 bps7.52 bps220.73 bps37.99 bps-8.94 bps0.20%False
2025-0720252480.28%0.45%-5.21 bps19.81 bps390.54 bps42.24 bps14.02 bps0.40%True
2025-0820252480.04%0.07%-1.42 bps-15.55 bps269.79 bps40.83 bps7.85 bps0.23%False
2025-092025240-0.03%-0.29%12.56 bps8.56 bps338.20 bps34.13 bps6.35 bps0.44%False
2025-1020252480.21%-0.05%9.11 bps-5.01 bps493.75 bps51.95 bps5.93 bps0.47%True
2025-1120252400.10%-0.19%12.18 bps-38.41 bps523.88 bps51.20 bps-4.30 bps0.50%False
2025-1220252480.37%0.30%1.73 bps-4.67 bps447.77 bps39.23 bps17.75 bps0.63%True
2026-0120262480.07%-0.39%21.11 bps-18.93 bps470.80 bps39.71 bps-4.94 bps0.57%False
2026-0220262240.16%-0.27%19.59 bps-52.34 bps555.71 bps50.35 bps-0.70 bps0.54%False
2026-0320262480.99%1.34%-7.53 bps5.94 bps739.31 bps41.43 bps15.59 bps0.73%True
2026-042026790.42%0.49%-8.18 bps51.43 bps813.03 bps36.68 bps28.84 bps0.85%True