Rank213 monthly-volume baseline refresh

目的不是继续给旧 veto/gate 打补丁，而是先测试：在相同 monthly volume causal universe 框架下，换一个更适合 crypto 的 baseline 母体，是否比当前 plain baseline 更诚实。

sample 2020-02-01T00:00:00Z → 2026-04-10T00:00:00Z daily rebalance / next-day hold top3 / bottom3 one-way cost 4.0 bps

口径提醒：本页是 baseline refresh 第一轮快筛，执行层改成了 daily rebalance / next-day hold，目的是更贴近“几天内拉升/回落”的 crypto 横截面现实；它不是对原 15m rank213 的 apples-to-apples 替代，而是“新母体候选”的 first falsification。

原 15m 参考线（只作上下文）

plain baseline（原 rank213 15m 参考线）：mean -1.58 bps, cum -98.09%, DD -99.62%, active 100.00%

这条线来自现有 rank213_monthly_volume_universe_rebuild_summary.json，只是提醒为什么要先换 baseline：旧母体自己已经跨窗失稳。

本轮 baseline spec

1) daily raw 7d control：控制组：不做年龄过滤，直接按过去 7d 原始收益做横截面排序，等于故意保留追妖币/追短期强者的倾向。
age_days=0, top_liq_n=None, score_kind=raw_7d
2) age90 14d ex1d vol-adjusted：先上年龄过滤，再用 14d skip-1d 动量 / 14d 波动做排名，测试“中短周期动量 + recent skip + 风险缩放”。
age_days=90, top_liq_n=None, score_kind=voladj_14d_ex1d
3) age90 residual 14d ex1d vol-adjusted：在 14d skip-1d vol-adjusted 基础上，再扣掉同期 BTC 方向暴露（beta=1 近似），先做一版轻量 residual 近似，尽量把共同 beta 和 idiosyncratic continuation 拆开。
age_days=90, top_liq_n=None, score_kind=resid_voladj_14d_ex1d
4) age90 residual 14d ex1d + blowoff penalty：推荐主候选：residual + skip + vol-adjust + 末日 blowoff 惩罚，目标就是少追‘最后一天冲顶的小票’。
age_days=90, top_liq_n=None, score_kind=resid_voladj_14d_ex1d_blowoffpen
5) age90 top12-liq residual + blowoff penalty：保守锚点：每个月只在最液态的 top12 里做 residual momentum，检验‘大币/高流动性 anchor’是否更诚实。
age_days=90, top_liq_n=12, score_kind=resid_voladj_14d_ex1d_blowoffpen

全样本总表

strategy	label	days	active_days	active_rate_pct	net_mean_bps	net_cum_pct	max_drawdown_pct	win_rate_pct	avg_eligible_universe_size
age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	2263	2263	100.00%	10.92 bps	455.65%	-60.08%	49.05%	26.8838
daily_raw_7d_control	1) daily raw 7d control	2263	2263	100.00%	8.51 bps	73.37%	-77.76%	49.36%	29.3279
age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	2263	2263	100.00%	8.20 bps	200.24%	-63.63%	48.12%	26.8838
age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	2263	2263	100.00%	6.19 bps	93.21%	-74.56%	48.12%	26.8838
age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	2263	2263	100.00%	-1.57 bps	-54.65%	-84.73%	48.78%	11.1388

按年切

segment	strategy	label	days	active_days	active_rate_pct	net_mean_bps	net_cum_pct	max_drawdown_pct	win_rate_pct	avg_eligible_universe_size
2020	daily_raw_7d_control	1) daily raw 7d control	335	335	100.00%	24.68 bps	105.77%	-16.87%	53.73%	25.7164
2020	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	335	335	100.00%	13.05 bps	45.65%	-17.86%	52.54%	25.7164
2020	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	335	335	100.00%	10.26 bps	32.27%	-18.57%	52.24%	11.8269
2020	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	335	335	100.00%	8.41 bps	24.02%	-19.63%	50.15%	25.7164
2020	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	335	335	100.00%	7.72 bps	19.46%	-28.04%	51.04%	25.7164
2021	daily_raw_7d_control	1) daily raw 7d control	365	365	100.00%	33.96 bps	171.04%	-23.38%	52.60%	30.0000
2021	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	365	365	100.00%	10.79 bps	22.56%	-50.89%	49.32%	28.3479
2021	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	365	365	100.00%	8.60 bps	13.80%	-45.50%	47.95%	28.3479
2021	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	365	365	100.00%	-7.12 bps	-36.01%	-58.15%	44.38%	28.3479
2021	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	365	365	100.00%	-13.96 bps	-45.92%	-57.97%	48.49%	11.5671
2022	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	365	365	100.00%	6.22 bps	14.78%	-27.64%	49.86%	28.4219
2022	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	365	365	100.00%	5.38 bps	12.21%	-33.19%	44.66%	28.4219
2022	daily_raw_7d_control	1) daily raw 7d control	365	365	100.00%	4.37 bps	3.49%	-40.67%	49.32%	29.7644
2022	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	365	365	100.00%	2.33 bps	-1.50%	-31.20%	45.48%	28.4219
2022	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	365	365	100.00%	-6.97 bps	-25.41%	-39.62%	46.58%	11.2000
2023	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	365	365	100.00%	-0.09 bps	-4.91%	-37.96%	48.77%	10.7315
2023	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	365	365	100.00%	-4.96 bps	-22.49%	-54.16%	43.56%	27.4438
2023	daily_raw_7d_control	1) daily raw 7d control	365	365	100.00%	-5.14 bps	-25.77%	-59.46%	44.66%	30.0000
2023	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	365	365	100.00%	-7.07 bps	-27.30%	-47.84%	45.75%	27.4438
2023	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	365	365	100.00%	-9.85 bps	-35.12%	-55.15%	43.56%	27.4438
2024	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	366	366	100.00%	13.07 bps	49.34%	-33.78%	50.82%	26.1557
2024	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	366	366	100.00%	10.24 bps	34.12%	-36.93%	51.64%	26.1557
2024	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	366	366	100.00%	2.04 bps	-0.89%	-42.10%	48.63%	26.1557
2024	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	366	366	100.00%	-4.02 bps	-19.34%	-32.34%	46.72%	10.6885
2024	daily_raw_7d_control	1) daily raw 7d control	366	366	100.00%	-9.97 bps	-39.59%	-56.87%	47.27%	30.0000
2025	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	365	365	100.00%	19.34 bps	81.20%	-28.15%	49.59%	24.9041
2025	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	365	365	100.00%	16.35 bps	63.78%	-29.61%	50.14%	24.9041
2025	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	365	365	100.00%	14.39 bps	52.34%	-33.30%	48.49%	24.9041
2025	daily_raw_7d_control	1) daily raw 7d control	365	365	100.00%	3.63 bps	-14.97%	-42.01%	49.32%	30.0000
2025	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	365	365	100.00%	-3.30 bps	-17.02%	-44.78%	48.49%	10.7205
2026	age90_14d_skip1d_voladj	2) age90 14d ex1d vol-adjusted	102	102	100.00%	78.42 bps	91.43%	-24.37%	57.84%	27.6667
2026	age90_resid_14d_skip1d_voladj	3) age90 residual 14d ex1d vol-adjusted	102	102	100.00%	51.81 bps	46.16%	-25.15%	50.98%	27.6667
2026	age90_resid_14d_skip1d_voladj_blowoffpen	4) age90 residual 14d ex1d + blowoff penalty	102	102	100.00%	49.76 bps	43.72%	-28.91%	53.92%	27.6667
2026	age90_top12liq_resid_14d_skip1d_voladj_blowoffpen	5) age90 top12-liq residual + blowoff penalty	102	102	100.00%	32.83 bps	33.54%	-21.62%	54.90%	11.6961
2026	daily_raw_7d_control	1) daily raw 7d control	102	102	100.00%	11.77 bps	-21.24%	-56.79%	48.04%	30.0000