age90_14d_skip1d_voladj 二轮验证
验证对象：age90_14d_skip1d_voladj。本页只做二轮研究验证，不表示可以直接上线。
生成时间：2026-05-06 03:27 UTC · 数据：现有 monthly-volume causal daily backtest artifacts。
结论
它确实有 alpha 候选价值，但风险还不过关。 全样本累计 455.65%，均值 10.92 bps，但最大回撤 -60.08%，正收益月占比 58.67%。
最大坑：收益集中在部分月份，且 close-to-close 成交仍偏理想。已用本地 Binance raw 1d zip 补做 open-to-open 压力测试；结果没有推翻策略，但同样是日线开盘价理想成交，不能替代真实执行回测。
核心指标
455.65%累计净收益
-60.08%最大回撤
10.92 bps日均 basket 收益
58.67%正收益月占比
收益曲线与逐月波动
成本敏感性
这里把 daily gross_ret 直接扣不同 per-basket 成本。原研究口径为 4bps；如果真实执行接近 12-20bps，收益/回撤会明显恶化。
| cost_bps_per_basket | trading_baskets | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|
| 0.0000 | 2263.0000 | 14.92 bps | 1273.02% | -48.46% | 50.15% |
| 4.0000 | 2263.0000 | 10.92 bps | 455.65% | -60.08% | 49.05% |
| 8.0000 | 2263.0000 | 6.92 bps | 124.78% | -75.49% | 47.95% |
| 12.0000 | 2263.0000 | 2.92 bps | -9.10% | -84.97% | 46.93% |
| 16.0000 | 2263.0000 | -1.08 bps | -63.25% | -90.79% | 46.18% |
| 20.0000 | 2263.0000 | -5.08 bps | -85.15% | -94.66% | 45.29% |
执行时点压力测试
同一批 daily 持仓，不重新选币，只改变成交价时点。这里仍按 4bps per-basket 成本扣减。
| scenario | valid_days | avg_coverage_pct | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|---|
| paper_raw_close_to_close | 2263 | 100.00% | 10.92 bps | 455.65% | -60.08% | 49.05% |
| same_day_open_to_next_open | 2263 | 100.00% | 18.56 bps | 2983.62% | -43.73% | 50.60% |
| delayed_next_open_to_following_open | 2263 | 99.98% | 10.99 bps | 464.11% | -59.34% | 48.96% |
paper_raw_close_to_close：用 raw zip 的 close 重建原始 close-to-close，主要验证缓存口径。same_day_open_to_next_open：假设信号在当天开盘前已可用，按 open-to-open 成交。delayed_next_open_to_following_open：信号延迟一天后再按 open-to-open 成交，测试 alpha 衰减。
时间分段 / Walk-forward 风险
没有重新调参，只按时间切片看同一 frozen rule 是否跨阶段稳定。
| fold | rows | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|
| 2020-2021 | 700 | 9.32 bps | 46.41% | -50.89% | 50.14% |
| 2022-2023 | 730 | -0.84 bps | -18.42% | -50.41% | 45.21% |
| 2024-2026 | 833 | 22.58 bps | 365.22% | -36.93% | 51.50% |
| 2024 | 366 | 10.24 bps | 34.12% | -36.93% | 51.64% |
| 2025 | 365 | 19.34 bps | 81.20% | -28.15% | 49.59% |
| 2026 YTD | 102 | 78.42 bps | 91.43% | -24.37% | 57.84% |
逐月贡献集中度
如果总收益主要靠少数月份，策略稳定性就要打折。
58.67%正收益月占比
2025-12最佳月 39.14%
2024-07最差月 -18.10%
89.29%前 6 盈利月贡献
贡献最高月份
| month | net_cum_pct | max_drawdown_pct | win_rate_pct | trading_baskets | share_of_total_log_return_pct |
|---|---|---|---|---|---|
| 2025-12 | 39.14% | -8.03% | 64.52% | 31 | 19.26% |
| 2026-03 | 38.01% | -24.37% | 54.84% | 31 | 18.79% |
| 2024-11 | 31.75% | -6.15% | 66.67% | 30 | 16.08% |
| 2021-09 | 29.14% | -4.51% | 63.33% | 30 | 14.91% |
| 2021-01 | 19.14% | -16.61% | 58.06% | 31 | 10.21% |
| 2024-09 | 18.80% | -5.93% | 63.33% | 30 | 10.05% |
拖累最大月份
| month | net_cum_pct | max_drawdown_pct | win_rate_pct | trading_baskets | share_of_total_log_return_pct |
|---|---|---|---|---|---|
| 2024-07 | -18.10% | -19.42% | 41.94% | 31 | -11.65% |
| 2021-05 | -17.80% | -23.28% | 41.94% | 31 | -11.43% |
| 2022-02 | -17.22% | -16.98% | 28.57% | 28 | -11.02% |
| 2023-03 | -16.81% | -15.25% | 32.26% | 31 | -10.73% |
| 2023-02 | -16.77% | -17.04% | 32.14% | 28 | -10.71% |
| 2020-08 | -15.53% | -18.53% | 32.26% | 31 | -9.84% |
滚动 6/12/24 月稳定性
重点看 12/24 个月窗口是否频繁转负。
| window_months | end_month | net_cum_pct | positive_month_rate_pct | worst_month_net_pct | avg_monthly_net_pct |
|---|---|---|---|---|---|
| 24 | 2023-05 | -30.16% | 45.83% | -17.22% | -0.86% |
| 24 | 2023-06 | -23.36% | 45.83% | -17.22% | -0.49% |
| 24 | 2023-07 | -18.01% | 45.83% | -17.22% | -0.25% |
| 24 | 2023-08 | -15.38% | 45.83% | -17.22% | -0.13% |
| 24 | 2023-09 | -35.46% | 41.67% | -17.22% | -1.40% |
| 24 | 2023-10 | -37.23% | 41.67% | -17.22% | -1.53% |
| 24 | 2023-11 | -31.64% | 41.67% | -17.22% | -1.14% |
| 24 | 2023-12 | -18.42% | 45.83% | -17.22% | -0.39% |
| 24 | 2024-01 | -15.72% | 45.83% | -17.22% | -0.27% |
| 24 | 2024-02 | -4.16% | 45.83% | -16.81% | 0.20% |
| 24 | 2024-03 | -4.64% | 45.83% | -16.81% | 0.18% |
| 24 | 2024-04 | -13.52% | 41.67% | -16.81% | -0.24% |
| 24 | 2024-05 | -6.29% | 45.83% | -16.81% | 0.09% |
| 24 | 2024-06 | -18.03% | 41.67% | -16.81% | -0.48% |
| 24 | 2024-07 | -39.27% | 37.50% | -18.10% | -1.67% |
| 24 | 2024-08 | -39.44% | 37.50% | -18.10% | -1.69% |
| 24 | 2024-09 | -25.82% | 41.67% | -18.10% | -0.78% |
| 24 | 2024-10 | -22.71% | 41.67% | -18.10% | -0.59% |
| 24 | 2024-11 | -7.21% | 41.67% | -18.10% | 0.33% |
| 24 | 2024-12 | -2.50% | 41.67% | -18.10% | 0.55% |
| 24 | 2025-01 | 17.64% | 45.83% | -18.10% | 1.35% |
| 24 | 2025-02 | 45.44% | 50.00% | -18.10% | 2.17% |
| 24 | 2025-03 | 49.25% | 50.00% | -18.10% | 2.26% |
| 24 | 2025-04 | 68.33% | 54.17% | -18.10% | 2.78% |
| 24 | 2025-05 | 72.92% | 54.17% | -18.10% | 2.90% |
| 24 | 2025-06 | 73.05% | 54.17% | -18.10% | 2.90% |
| 24 | 2025-07 | 99.44% | 58.33% | -18.10% | 3.48% |
| 24 | 2025-08 | 116.20% | 62.50% | -18.10% | 3.80% |
| 24 | 2025-09 | 109.88% | 62.50% | -18.10% | 3.68% |
| 24 | 2025-10 | 102.75% | 62.50% | -18.10% | 3.53% |
| 24 | 2025-11 | 92.61% | 62.50% | -18.10% | 3.29% |
| 24 | 2025-12 | 143.03% | 62.50% | -18.10% | 4.50% |
| 24 | 2026-01 | 184.87% | 66.67% | -18.10% | 5.15% |
| 24 | 2026-02 | 239.84% | 70.83% | -18.10% | 5.91% |
| 24 | 2026-03 | 361.14% | 70.83% | -18.10% | 7.42% |
| 24 | 2026-04 | 435.04% | 75.00% | -18.10% | 8.08% |
Long / Short 归因
重建 leg 级收益覆盖率：100.00%。Long leg 日均 27.05 bps，Short leg 日均 2.79 bps。如果一侧明显弱，后续可以考虑单边化或侧别 gate。
27.05 bpslong leg 日均
2.79 bpsshort leg 日均
700.12%0.5 long-only 复利
-38.41%0.5 short-only 复利
贡献最大的 symbol/side
| symbol | side | legs | avg_weighted_contrib_bps | sum_weighted_contrib_pct | win_rate_pct |
|---|---|---|---|---|---|
| SIRENUSDT | long | 26 | 178.08 bps | 46.30% | 65.38% |
| ETHUSDT | long | 338 | 10.01 bps | 33.83% | 53.85% |
| XRPUSDT | long | 267 | 10.78 bps | 28.79% | 54.31% |
| PIPPINUSDT | long | 59 | 45.13 bps | 26.63% | 49.15% |
| SOLUSDT | long | 321 | 8.20 bps | 26.34% | 50.16% |
| BTCUSDT | long | 382 | 6.62 bps | 25.31% | 53.93% |
| DOGEUSDT | long | 169 | 14.64 bps | 24.74% | 48.52% |
| BNBUSDT | long | 382 | 6.09 bps | 23.28% | 48.43% |
| VETUSDT | long | 99 | 22.95 bps | 22.72% | 51.52% |
| SUIUSDT | long | 121 | 18.31 bps | 22.15% | 49.59% |
| ETCUSDT | short | 152 | 13.73 bps | 20.87% | 50.00% |
| NEARUSDT | short | 87 | 23.33 bps | 20.30% | 58.62% |
拖累最大的 symbol/side
| symbol | side | legs | avg_weighted_contrib_bps | sum_weighted_contrib_pct | win_rate_pct |
|---|---|---|---|---|---|
| NEARUSDT | long | 87 | -27.28 bps | -23.73% | 39.08% |
| CHZUSDT | long | 42 | -42.88 bps | -18.01% | 45.24% |
| LINKUSDT | short | 115 | -15.26 bps | -17.55% | 42.61% |
| ORDIUSDT | long | 20 | -84.06 bps | -16.81% | 30.00% |
| MYXUSDT | long | 10 | -155.00 bps | -15.50% | 30.00% |
| DYDXUSDT | long | 67 | -19.66 bps | -13.17% | 40.30% |
| IOSTUSDT | short | 43 | -30.02 bps | -12.91% | 32.56% |
| DYDXUSDT | short | 65 | -19.73 bps | -12.83% | 43.08% |
| BCHUSDT | short | 214 | -5.97 bps | -12.78% | 45.33% |
| LTCUSDT | long | 185 | -6.83 bps | -12.64% | 45.95% |
| OPUSDT | long | 75 | -16.74 bps | -12.55% | 40.00% |
| 1000PEPEUSDT | short | 78 | -15.83 bps | -12.35% | 47.44% |
简单风险 Gate 快检
这些 gate 只用过去策略自身收益，避免未来函数；它们是风险诊断，不是最终参数优化。
| gate | active_rate_pct | skipped_days | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|---|
| trade_all_reference | 100.00% | 0 | 10.92 bps | 455.65% | -60.08% | 49.05% |
| prior_30d_return_positive | 53.25% | 1058 | 18.95 bps | 479.86% | -52.30% | 50.87% |
| prior_60d_return_positive | 53.69% | 1048 | 17.28 bps | 382.29% | -33.68% | 49.88% |
| prior_30d_return_above_minus5pct | 69.42% | 692 | 15.60 bps | 528.55% | -46.01% | 50.10% |
未完成验证项
- TWAP / 滑点：本轮已补 raw 1d open/close 压力测试，但没有分钟线和 orderbook，不能严谨估计真实冲击成本。
- 真实资金费率：第四条 perp overlay 已暂时搁置，本策略本轮没有加入 funding/basis/OI。
- 参数样本外：这里没有重新优化参数，但也还没做正式 walk-forward 参数冻结实验。