Top50 + 4L4S 执行成本与稳定性验证
对象：rank213_age90_14d_skip1d_voladj，每月用上一完整月 quote volume 选 Top50，age ≥ 90d，日频 4 long + 4 short。
生成时间：2026-05-07 05:34 UTC。本页是第四轮扩展，不改变信号公式，只检查 Top50 4x4 是否能承受成本和时间稳定性。
结论
Top50 4x4 目前是最值得继续研究的版本，但不是“已可放大上线”。 flat 4bps 下累计 1283.52%、最大回撤 -42.65%、均值 14.52 bps；flat 12bps 后仍有 127.25%，说明它比 Top30 3x3 更能承受成本。
更现实的 turnover cost 下，平均目标换手约 0.600x/day。若按每 1x turnover 4bps 计，累计 1882.79%；8bps 计仍为 1052.10%。这说明它不是只靠 4bps 乐观假设活着，但真实 maker/taker、滑点和 funding 仍必须实盘验证。
给新研究者的读法
- 本页回答的问题：为什么 213c 采用 Top50 4L4S，以及它在成本、年份和市场状态维度是否稳定。
- 先看成本阶梯。 flat cost 适合快速比较版本，turnover cost 更接近实盘。二者结论一致时，证据更强。
- 再看年度稳定性。 如果收益只集中在某一年，策略更像行情偶然。本页重点确认 213c 没有明显只靠单一年份。
- 最后看 Long / Short 贡献。 213c 的 long half 是主要收益来源；short half 为正但很薄，因此后续研究不能只追求更多做空。
- 本页边界：它证明 Top50 4x4 是当前最强结构，但还没有证明真实成交成本下可以放大。
核心指标
1283.52%flat 4bps 累计净收益
-42.65%flat 4bps 最大回撤
14.52 bpsflat 4bps 日均
61.33%正收益月占比
Flat 成本阶梯
直接从 daily gross 扣固定 bps/active day。它方便比较，但没有反映换手差异。
| cost_bps_per_active_day | active_days | mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | daily_vol_pct |
|---|---|---|---|---|---|---|
| 0.000 | 2259.000 | 18.51 bps | 3311.87% | -38.26% | 49.76% | 2.43% |
| 4.000 | 2259.000 | 14.52 bps | 1283.52% | -42.65% | 49.09% | 2.43% |
| 8.000 | 2259.000 | 10.52 bps | 460.82% | -50.63% | 48.03% | 2.43% |
| 12.000 | 2259.000 | 6.53 bps | 127.25% | -67.19% | 46.93% | 2.43% |
| 16.000 | 2259.000 | 2.54 bps | -7.95% | -78.52% | 45.91% | 2.43% |
| 20.000 | 2259.000 | -1.45 bps | -62.73% | -87.08% | 44.72% | 2.43% |
| 30.000 | 2259.000 | -11.44 bps | -96.12% | -97.56% | 42.82% | 2.43% |
| 40.000 | 2259.000 | -21.42 bps | -99.60% | -99.70% | 40.21% | 2.43% |
换手成本阶梯
每日根据 8 条腿目标权重计算 turnover：sum(abs(w_t - w_{t-1}))。全换仓接近 2x，部分持仓延续则低于 2x。
| cost_bps_per_1x_turnover | avg_turnover_x | implied_avg_daily_cost_bps | mean_bps | cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|---|
| 1.000 | 0.600 | 0.60 bps | 17.91 bps | 2879.00% | -39.01% | 49.62% |
| 2.000 | 0.600 | 1.20 bps | 17.31 bps | 2501.02% | -39.76% | 49.49% |
| 3.000 | 0.600 | 1.80 bps | 16.71 bps | 2170.97% | -40.50% | 49.49% |
| 4.000 | 0.600 | 2.40 bps | 16.11 bps | 1882.79% | -41.23% | 49.36% |
| 5.000 | 0.600 | 3.00 bps | 15.51 bps | 1631.16% | -41.95% | 49.27% |
| 6.000 | 0.600 | 3.60 bps | 14.91 bps | 1411.44% | -42.66% | 49.14% |
| 8.000 | 0.600 | 4.80 bps | 13.71 bps | 1052.10% | -44.05% | 48.92% |
| 10.000 | 0.600 | 6.00 bps | 12.51 bps | 778.15% | -45.41% | 48.43% |
| 12.000 | 0.600 | 7.21 bps | 11.31 bps | 569.32% | -48.68% | 48.30% |
Long / Short 贡献
Top50 4x4 的收益仍主要来自 long half；short half 平均为正，但贡献较薄。
| series | mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | active_days |
|---|---|---|---|---|---|
| dollar_neutral_top50_4x4_flat4bps | 14.52 bps | 1283.52% | -42.65% | 49.09% | 2259 |
| gross_no_cost | 18.51 bps | 3311.87% | -38.26% | 49.76% | 2259 |
| half_cap_long_contribution | 16.63 bps | 1539.71% | -59.60% | 51.52% | 2259 |
| half_cap_short_contribution | 1.88 bps | -26.15% | -82.77% | 48.92% | 2259 |
| full_cap_long_only_minus_4bps | 29.26 bps | 1459.98% | -92.58% | 51.13% | 2259 |
| full_cap_short_only_minus_4bps | -0.23 bps | -94.84% | -99.20% | 48.39% | 2259 |
年度稳定性
| year | days | net_flat_4bps_pct | gross_pct | long_half_pct | short_half_pct | long_half_mean_bps | short_half_mean_bps | avg_turnover_x | btc_pct | top50_eligible_ew_pct |
|---|---|---|---|---|---|---|---|---|---|---|
| 2020.000 | 335.000 | 51.16% | 72.81% | 98.21% | -28.11% | 24.69 bps | -6.36 bps | 0.531 | 212.34% | 44.06% |
| 2021.000 | 365.000 | 128.65% | 164.52% | 465.72% | -64.13% | 54.70 bps | -23.03 bps | 0.597 | 62.61% | 497.48% |
| 2022.000 | 365.000 | 9.75% | 26.79% | -40.43% | 73.63% | -10.22 bps | 18.57 bps | 0.630 | -65.18% | -81.96% |
| 2023.000 | 365.000 | 14.15% | 32.08% | 59.15% | -24.98% | 15.49 bps | -6.41 bps | 0.651 | 166.28% | 92.83% |
| 2024.000 | 366.000 | 35.79% | 57.18% | 28.74% | 5.96% | 10.16 bps | 4.33 bps | 0.620 | 113.84% | -18.11% |
| 2025.000 | 365.000 | 50.45% | 74.08% | -20.94% | 92.57% | -3.36 bps | 21.15 bps | 0.570 | -6.11% | -76.51% |
| 2026.000 | 102.000 | 56.40% | 62.89% | 51.56% | 7.77% | 48.80 bps | 10.38 bps | 0.596 | -16.23% | -34.58% |
月度与滚动窗口
重点看收益是否集中在少数月份，以及 6/12/24 个月窗口是否反复失效。
最佳月份
| month | net_flat_4bps_pct | max_drawdown_pct | win_rate_pct | long_half_mean_bps | short_half_mean_bps | avg_turnover_x |
|---|---|---|---|---|---|---|
| 2025-12 | 33.67% | -7.61% | 61.29% | 75.20 bps | 27.11 bps | 0.508 |
| 2024-11 | 33.04% | -6.54% | 66.67% | 164.82 bps | -63.00 bps | 0.583 |
| 2026-03 | 28.40% | -18.38% | 45.16% | 91.52 bps | 16.05 bps | 0.589 |
| 2021-03 | 26.94% | -6.39% | 61.29% | 128.49 bps | -44.12 bps | 0.581 |
| 2021-07 | 26.48% | -12.50% | 54.84% | 128.05 bps | -41.77 bps | 0.492 |
| 2020-10 | 24.37% | -7.04% | 61.29% | 8.15 bps | 69.31 bps | 0.556 |
| 2021-04 | 22.92% | -12.70% | 50.00% | 96.03 bps | -14.49 bps | 0.600 |
| 2020-12 | 22.19% | -5.44% | 61.29% | 87.91 bps | -14.04 bps | 0.573 |
最差月份
| month | net_flat_4bps_pct | max_drawdown_pct | win_rate_pct | long_half_mean_bps | short_half_mean_bps | avg_turnover_x |
|---|---|---|---|---|---|---|
| 2022-05 | -21.38% | -26.91% | 32.26% | -105.70 bps | 34.15 bps | 0.621 |
| 2025-03 | -19.24% | -17.67% | 32.26% | -62.05 bps | -1.36 bps | 0.702 |
| 2024-07 | -17.46% | -17.23% | 35.48% | -58.96 bps | 2.19 bps | 0.621 |
| 2020-08 | -14.37% | -16.85% | 32.26% | -7.53 bps | -36.15 bps | 0.524 |
| 2021-06 | -13.82% | -13.83% | 46.67% | -76.22 bps | 32.52 bps | 0.600 |
| 2021-05 | -11.87% | -17.05% | 45.16% | -34.67 bps | 1.18 bps | 0.653 |
| 2022-01 | -11.03% | -15.54% | 41.94% | -100.99 bps | 68.63 bps | 0.637 |
| 2020-11 | -10.57% | -16.68% | 40.00% | 32.85 bps | -62.53 bps | 0.608 |
最近滚动窗口
| window_months | end_month | net_cum_pct | positive_month_rate_pct | worst_month_pct | avg_monthly_pct |
|---|---|---|---|---|---|
| 24 | 2023-05 | 41.17% | 54.17% | -21.38% | 2.07% |
| 24 | 2023-06 | 75.71% | 58.33% | -21.38% | 2.95% |
| 24 | 2023-07 | 39.74% | 58.33% | -21.38% | 1.87% |
| 24 | 2023-08 | 37.16% | 58.33% | -21.38% | 1.79% |
| 24 | 2023-09 | 28.76% | 58.33% | -21.38% | 1.49% |
| 24 | 2023-10 | 7.64% | 54.17% | -21.38% | 0.72% |
| 24 | 2023-11 | 5.66% | 54.17% | -21.38% | 0.64% |
| 24 | 2023-12 | 25.27% | 58.33% | -21.38% | 1.34% |
| 24 | 2024-01 | 31.12% | 58.33% | -21.38% | 1.52% |
| 24 | 2024-02 | 57.28% | 62.50% | -21.38% | 2.26% |
| 24 | 2024-03 | 58.54% | 62.50% | -21.38% | 2.30% |
| 24 | 2024-04 | 33.29% | 58.33% | -21.38% | 1.55% |
| 24 | 2024-05 | 66.25% | 58.33% | -7.22% | 2.36% |
| 24 | 2024-06 | 39.17% | 54.17% | -7.22% | 1.59% |
| 24 | 2024-07 | 4.24% | 50.00% | -17.46% | 0.43% |
| 24 | 2024-08 | -1.51% | 45.83% | -17.46% | 0.20% |
| 24 | 2024-09 | 10.23% | 50.00% | -17.46% | 0.68% |
| 24 | 2024-10 | 8.83% | 50.00% | -17.46% | 0.62% |
| 24 | 2024-11 | 28.43% | 50.00% | -17.46% | 1.46% |
| 24 | 2024-12 | 55.00% | 54.17% | -17.46% | 2.31% |
| 24 | 2025-01 | 64.96% | 58.33% | -17.46% | 2.58% |
| 24 | 2025-02 | 77.28% | 58.33% | -17.46% | 2.87% |
| 24 | 2025-03 | 49.02% | 58.33% | -19.24% | 2.23% |
| 24 | 2025-04 | 67.19% | 58.33% | -19.24% | 2.76% |
| 24 | 2025-05 | 80.39% | 58.33% | -19.24% | 3.10% |
| 24 | 2025-06 | 68.43% | 58.33% | -19.24% | 2.81% |
| 24 | 2025-07 | 81.06% | 58.33% | -19.24% | 3.12% |
| 24 | 2025-08 | 80.42% | 58.33% | -19.24% | 3.11% |
| 24 | 2025-09 | 56.62% | 54.17% | -19.24% | 2.49% |
| 24 | 2025-10 | 71.85% | 58.33% | -19.24% | 2.87% |
| 24 | 2025-11 | 64.30% | 54.17% | -19.24% | 2.68% |
| 24 | 2025-12 | 104.31% | 54.17% | -19.24% | 3.77% |
| 24 | 2026-01 | 145.71% | 58.33% | -19.24% | 4.56% |
| 24 | 2026-02 | 138.50% | 58.33% | -19.24% | 4.43% |
| 24 | 2026-03 | 198.92% | 58.33% | -19.24% | 5.51% |
| 24 | 2026-04 | 229.33% | 62.50% | -19.24% | 5.91% |
市场状态 / 离散度
same-day dispersion 是事后诊断，prior30 dispersion 才是可交易 proxy。
市场状态
| slice_group | slice | days | mean_bps | cum_pct | max_drawdown_pct | long_half_mean_bps | short_half_mean_bps | avg_turnover_x | dispersion_mean_bps | prior30_dispersion_mean_bps |
|---|---|---|---|---|---|---|---|---|---|---|
| top50_eligible_EW_state | big_up_>3pct | 518 | 14.57 bps | 74.54% | -44.04% | 281.36 bps | -262.79 bps | 0.604 | 966.76 bps | 811.16 bps |
| top50_eligible_EW_state | flat_abs_<=1pct | 477 | 21.96 bps | 152.64% | -24.40% | 20.17 bps | 5.77 bps | 0.596 | 643.85 bps | 708.85 bps |
| top50_eligible_EW_state | big_down_<-3pct | 462 | 26.68 bps | 203.88% | -25.02% | -290.09 bps | 320.76 bps | 0.617 | 759.62 bps | 788.64 bps |
| BTC_realized_move | abs_<=1pct | 868 | -1.55 bps | -27.06% | -56.98% | 12.22 bps | -9.78 bps | 0.590 | 681.23 bps | 717.51 bps |
| BTC_realized_move | abs_1pct_to_3pct | 859 | 19.22 bps | 294.14% | -44.48% | 20.55 bps | 2.67 bps | 0.605 | 757.27 bps | 762.98 bps |
| BTC_realized_move | abs_>3pct | 536 | 33.01 bps | 381.24% | -24.12% | 17.48 bps | 19.52 bps | 0.610 | 882.47 bps | 812.70 bps |
| BTC_prior30_vol_causal_tercile | low | 748 | 14.50 bps | 152.65% | -23.86% | 4.25 bps | 14.25 bps | 0.607 | 674.88 bps | 650.42 bps |
| BTC_prior30_vol_causal_tercile | mid | 747 | 19.41 bps | 226.47% | -31.58% | 10.92 bps | 12.50 bps | 0.593 | 791.59 bps | 776.43 bps |
| BTC_prior30_vol_causal_tercile | high | 748 | 10.14 bps | 69.29% | -49.25% | 34.43 bps | -20.31 bps | 0.607 | 816.02 bps | 845.12 bps |
| top50_prior30_dispersion_causal_tercile | low | 748 | 13.57 bps | 146.64% | -17.14% | 16.47 bps | 1.08 bps | 0.596 | 562.14 bps | 527.59 bps |
| top50_prior30_dispersion_causal_tercile | mid | 747 | 12.05 bps | 93.72% | -45.69% | 11.07 bps | 4.97 bps | 0.609 | 765.99 bps | 744.51 bps |
| top50_prior30_dispersion_causal_tercile | high | 748 | 18.43 bps | 192.24% | -39.40% | 22.06 bps | 0.37 bps | 0.601 | 954.33 bps | 999.83 bps |
横截面离散度
| slice_group | slice | days | mean_bps | cum_pct | max_drawdown_pct | long_half_mean_bps | short_half_mean_bps | avg_turnover_x | dispersion_mean_bps | prior30_dispersion_mean_bps |
|---|---|---|---|---|---|---|---|---|---|---|
| same_day_top50_dispersion_diagnostic | low | 754 | 0.94 bps | -0.72% | -43.72% | -15.67 bps | 20.61 bps | 0.599 | 440.61 bps | 614.68 bps |
| same_day_top50_dispersion_diagnostic | mid | 755 | 16.90 bps | 196.48% | -32.97% | -1.28 bps | 22.17 bps | 0.620 | 692.76 bps | 755.36 bps |
| same_day_top50_dispersion_diagnostic | high | 754 | 25.71 bps | 370.00% | -32.35% | 66.86 bps | -37.16 bps | 0.582 | 1139.98 bps | 898.69 bps |
| prior30_top50_dispersion_causal_proxy | low | 748 | 13.57 bps | 146.64% | -17.14% | 16.47 bps | 1.08 bps | 0.596 | 562.14 bps | 527.59 bps |
| prior30_top50_dispersion_causal_proxy | mid | 747 | 12.05 bps | 93.72% | -45.69% | 11.07 bps | 4.97 bps | 0.609 | 765.99 bps | 744.51 bps |
| prior30_top50_dispersion_causal_proxy | high | 748 | 18.43 bps | 192.24% | -39.40% | 22.06 bps | 0.37 bps | 0.601 | 954.33 bps | 999.83 bps |
下一步应用建议
- Top50 4x4 可以进入更严格的 paper/live parity 研究，但真钱规模不要放大，先用 tiny-live 验证真实成交成本。
- 优先补 maker/taker fill、fallback market、exit slippage、funding 后的真实净收益；如果 turnover cost 接近 8-12bps/1x turnover，它仍可能活，但空间会明显收窄。
- 保留 Top20/30 3x3 作为保守备选；Top50 4x4 是当前研究最强版本，不应直接替换成 long-only 或 Top100。