Rank213 age90 第四轮：Benchmark / Beta / Residual Alpha
问题：213-age90 的收益到底来自市场上涨暴露，还是来自同一个历史可交易池内的横截面选币能力？
生成时间：2026-05-06 14:23 UTC。样本与 Phase 3 一致：2020-02 到 2026-04，causal monthly-volume universe，age >= 90d。
第五轮：真实成本利润厚度 · Top50 4x4 执行成本与稳定性验证
Phase 3 · 二轮验证 · Live launch
一句话结论
不是单纯 BTC beta，但 long leg 仍有明显 crypto/alt beta 暴露；真正值得保留的是同池横截面排序，策略最吃横截面离散度和波动环境。下一步应优先研究 long 主体化、beta hedge、short 条件化，而不是继续叠复杂 gate。
关键证据：策略对 BTC 的日频相关性 -0.0132，静态 beta -0.0107；BTC 下跌日策略均值 17.84 bps，BTC 上涨日反而只有 4.28 bps。这说明它不是简单 BTC 多头替代品。
但 long top3 full exposure 累计 800.21%，eligible universe 等权累计 21.89%；long 侧仍显著受 alt 市场环境影响，不能把未来收益建立在“币圈一定牛市”上。
新增切片显示：同日 eligible 横截面离散度高时策略均值 32.21 bps，低离散度时 -3.01 bps。这更接近策略本质：它需要币与币之间拉开差距，而不是所有币同涨同跌。
参数扩展显示：最强参数网格是 universe=50, long/short=4/4，累计 1283.52%；最佳 long-only BTC hedge 是 long_only_btc_hedged_u50_top4，累计 30.50%；最佳 dispersion 控制是 base_no_dispersion_control，累计 455.65%。
实用读法：Top20/30/50 都能活，Top70/100 明显稀释；4x4 只在 Top50 上明显优于 3x3。prior30 dispersion sizing 没有跑赢原始全仓，最多是降低风险/降低收益的风控旋钮。long-only 裸多收益高但回撤极深；BTC beta hedge 没有救它，说明 short leg 不能简单用 BTC hedge 替代。
核心指标
455.65%策略净收益
691.94%同期 BTC
21.89%同池 age90 等权
304.24%滚动 BTC beta hedge 后
收益曲线对照
注意：Top30 / eligible EW benchmark 未扣真实换仓成本；策略净收益使用原研究 4bps flat cost。
Benchmark 结果
| series | rows | mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | daily_vol_pct |
|---|---|---|---|---|---|---|
| strategy_net_4bps | 2263 | 10.92 bps | 455.65% | -60.08% | 49.05% | 2.61% |
| strategy_gross | 2263 | 14.92 bps | 1273.02% | -48.46% | 50.15% | 2.61% |
| BTC buy-and-hold close-to-close | 2263 | 14.50 bps | 691.94% | -76.67% | 51.04% | 3.24% |
| Top30 causal universe equal-weight | 2263 | 9.68 bps | -31.12% | -94.82% | 53.56% | 4.69% |
| Age90 eligible universe equal-weight | 2263 | 11.75 bps | 21.89% | -91.29% | 53.65% | 4.59% |
| Long top3 full exposure gross | 2263 | 27.05 bps | 800.21% | -94.61% | 51.44% | 5.91% |
| Long top3 minus eligible EW | 2263 | 15.31 bps | 509.85% | -71.16% | 46.93% | 3.90% |
| Short bottom3 vs eligible EW | 2263 | 14.54 bps | 1176.33% | -58.39% | 57.14% | 2.54% |
| XS spread rebuilt net 4bps | 2263 | 10.92 bps | 455.65% | -60.08% | 49.05% | 2.61% |
| Strategy minus BTC | 2263 | -3.58 bps | -93.78% | -99.17% | 48.61% | 4.18% |
| Strategy minus Top30 EW | 2263 | 1.24 bps | -95.45% | -99.70% | 49.01% | 5.48% |
| Rolling180 BTC beta-hedged net | 2263 | 9.50 bps | 304.24% | -64.15% | 48.39% | 2.61% |
| Rolling180 eligible beta-hedged net | 2263 | 10.58 bps | 410.05% | -65.24% | 49.27% | 2.63% |
Beta / 相关性
这里做两类判断：静态回归只用于诊断；rolling 180d beta hedge 是 causal 口径，只用过去数据估 beta。
| factor | rows | alpha_bps_per_day | beta | r2 | corr | beta_hedged_cum_pct | beta_hedged_mdd_pct |
|---|---|---|---|---|---|---|---|
| BTC | 2263 | 11.08 bps | -0.0107 | 0.0002 | -0.0132 | 475.52% | -59.79% |
| Top30 EW | 2263 | 11.19 bps | -0.0277 | 0.0025 | -0.0497 | 491.78% | -60.01% |
| Age90 eligible EW | 2263 | 11.22 bps | -0.0254 | 0.0020 | -0.0447 | 495.66% | -59.96% |
解读：BTC beta 近 0，说明原策略不是 BTC 单因子；对 eligible EW 的 beta 为 -0.0254，说明它与同池山寨市场也不是简单同向，但 long leg 本身仍会吃 alt regime。
横截面增量拆解
long_top3_minus_eligible_ew 衡量 long 选币是否跑赢同池平均；short_bottom3_minus_eligible_ew 衡量 short 选币是否真的选中了后续弱币。两者相加就是原多空 spread 的主体。
509.85%long 选币超额
1176.33%short 选币超额
455.65%重建多空净收益
99.88%eligible 价格覆盖
年度 Long / Short 贡献
这里把原策略拆成：long top3 裸收益、0.5 long contribution、0.5 short contribution、long 相对同池超额、short 相对同池超额。重点看每年到底是哪一侧在赚钱。
年度观察：long 选币超额最强年份是 2026，均值 133.42 bps；最弱年份是 2023，均值 -9.16 bps。2025-2026 的改善确实主要来自 long 选币突然变强。
| year | days | strategy_net_pct | long_half_contribution_pct | short_half_contribution_pct | long_half_mean_bps | short_half_mean_bps | long_xs_mean_bps | short_xs_mean_bps | btc_pct | eligible_ew_pct |
|---|---|---|---|---|---|---|---|---|---|---|
| 2020.00 | 335.00 | 19.46% | 48.69% | -24.33% | 16.01 bps | -4.30 bps | 4.66 bps | 18.78 bps | 212.34% | 56.63% |
| 2021.00 | 365.00 | 22.56% | 233.49% | -66.83% | 39.66 bps | -24.87 bps | 15.78 bps | 13.81 bps | 62.61% | 440.46% |
| 2022.00 | 365.00 | 12.21% | -45.68% | 93.24% | -12.60 bps | 21.98 bps | 7.45 bps | 11.32 bps | -65.18% | -80.38% |
| 2023.00 | 365.00 | -27.30% | 25.53% | -38.88% | 8.70 bps | -11.76 bps | -9.16 bps | 3.03 bps | 166.28% | 117.35% |
| 2024.00 | 366.00 | 34.12% | 29.46% | 4.86% | 9.98 bps | 4.26 bps | 10.81 bps | 17.67 bps | 113.84% | 2.71% |
| 2025.00 | 365.00 | 81.20% | 14.00% | 59.98% | 7.11 bps | 16.23 bps | 28.44 bps | 18.25 bps | -6.11% | -58.09% |
| 2026.00 | 102.00 | 91.43% | 60.34% | 23.86% | 58.26 bps | 24.16 bps | 133.42 bps | 31.42 bps | -16.23% | -21.58% |
条件切片
| series | days | mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | btc_mean_bps | eligible_ew_mean_bps | long_minus_eligible_mean_bps | short_vs_eligible_mean_bps |
|---|---|---|---|---|---|---|---|---|---|
| BTC up days | 1155 | 4.28 bps | 11.28% | -64.45% | 48.48% | 225.62 bps | 277.68 bps | 4.30 bps | 12.26 bps |
| BTC down days | 1108 | 17.84 bps | 399.32% | -49.76% | 49.64% | -205.57 bps | -265.46 bps | 26.78 bps | 16.91 bps |
| Eligible EW up days | 1214 | 6.73 bps | 40.20% | -69.10% | 47.36% | 184.08 bps | 317.94 bps | 11.37 bps | 10.09 bps |
| Eligible EW down days | 1049 | 15.77 bps | 296.32% | -40.72% | 51.00% | -181.75 bps | -342.61 bps | 19.86 bps | 19.69 bps |
| BTC abs <= 1% | 868 | -5.45 bps | -50.49% | -68.52% | 47.24% | -1.32 bps | 25.17 bps | -5.28 bps | 2.38 bps |
| BTC abs > 3% | 536 | 32.27 bps | 353.60% | -23.33% | 50.75% | 52.12 bps | -6.19 bps | 40.84 bps | 31.71 bps |
| Eligible EW abs <= 1% | 497 | 4.39 bps | 8.57% | -34.34% | 50.10% | 10.00 bps | 3.01 bps | 19.48 bps | -2.70 bps |
| Eligible EW abs > 3% | 943 | 23.45 bps | 514.73% | -46.72% | 51.33% | 13.47 bps | 9.54 bps | 20.71 bps | 34.19 bps |
市场状态切片
这部分回答“什么环境适合 213-age90”。eligible EW 大涨/大跌/震荡是同池市场状态；BTC prior30 vol 和 eligible prior30 vol 是只用过去数据的 causal 波动 proxy。
| slice_group | slice | days | active_rate_pct | mean_bps | cum_pct | max_drawdown_pct | btc_mean_bps | eligible_ew_mean_bps | long_half_mean_bps | short_half_mean_bps | long_xs_mean_bps | short_xs_mean_bps | eligible_dispersion_mean_bps |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| eligible_EW_state | big_up_>3pct | 503 | 22.23% | 17.83 bps | 83.76% | -49.07% | 327.12 bps | 566.83 bps | 292.58 bps | -270.75 bps | 18.34 bps | 25.33 bps | 919.28 bps |
| eligible_EW_state | up_1pct_to_3pct | 449 | 19.84% | -11.40 bps | -47.54% | -63.47% | 111.73 bps | 194.09 bps | 91.17 bps | -98.56 bps | -11.76 bps | -3.04 bps | 658.12 bps |
| eligible_EW_state | flat_abs_<=1pct | 497 | 21.96% | 4.39 bps | 8.57% | -34.34% | 10.00 bps | 3.01 bps | 11.24 bps | -2.85 bps | 19.48 bps | -2.70 bps | 581.18 bps |
| eligible_EW_state | down_-3pct_to_-1pct | 374 | 16.53% | 14.81 bps | 58.71% | -36.63% | -93.64 bps | -190.00 bps | -80.68 bps | 99.49 bps | 28.63 bps | 8.98 bps | 574.29 bps |
| eligible_EW_state | big_down_<-3pct | 440 | 19.44% | 29.88 bps | 234.53% | -21.64% | -345.10 bps | -627.54 bps | -302.06 bps | 335.93 bps | 23.42 bps | 44.33 bps | 713.85 bps |
| BTC_realized_move | abs_<=1pct | 868 | 38.36% | -5.45 bps | -50.49% | -68.52% | -1.32 bps | 25.17 bps | 9.94 bps | -11.40 bps | -5.28 bps | 2.38 bps | 625.33 bps |
| BTC_realized_move | abs_1pct_to_3pct | 859 | 37.96% | 14.15 bps | 147.41% | -59.38% | 7.02 bps | 9.38 bps | 14.78 bps | 3.37 bps | 20.17 bps | 16.12 bps | 685.12 bps |
| BTC_realized_move | abs_>3pct | 536 | 23.69% | 32.27 bps | 353.60% | -23.33% | 52.12 bps | -6.19 bps | 17.32 bps | 18.95 bps | 40.84 bps | 31.71 bps | 828.95 bps |
| BTC_prior30_vol_causal_tercile | low | 748 | 33.05% | 17.37 bps | 205.70% | -29.94% | 16.59 bps | -5.24 bps | 7.11 bps | 14.26 bps | 19.47 bps | 23.27 bps | 612.51 bps |
| BTC_prior30_vol_causal_tercile | mid | 747 | 33.01% | 12.29 bps | 81.94% | -49.36% | -6.01 bps | -4.24 bps | 6.52 bps | 9.77 bps | 17.29 bps | 15.29 bps | 746.61 bps |
| BTC_prior30_vol_causal_tercile | high | 748 | 33.05% | 2.91 bps | -3.53% | -47.81% | 32.79 bps | 43.38 bps | 26.51 bps | -19.59 bps | 9.63 bps | 4.20 bps | 734.23 bps |
| eligible_prior30_vol_causal_tercile | low | 748 | 33.05% | 19.93 bps | 220.27% | -37.88% | 10.88 bps | 4.40 bps | 16.46 bps | 7.47 bps | 28.53 bps | 19.34 bps | 649.34 bps |
| eligible_prior30_vol_causal_tercile | mid | 747 | 33.01% | 3.91 bps | 12.36% | -68.56% | 21.70 bps | 15.51 bps | 6.18 bps | 1.72 bps | -3.14 bps | 18.95 bps | 673.51 bps |
| eligible_prior30_vol_causal_tercile | high | 748 | 33.05% | 8.72 bps | 49.12% | -40.26% | 10.83 bps | 14.01 bps | 17.49 bps | -4.77 bps | 20.97 bps | 4.47 bps | 770.41 bps |
横截面离散度切片
诊断口径：same_day_eligible_dispersion 使用当天 t→t+1d 的 eligible 内 p90-p10 收益差，只能解释环境，不能在入场时提前知道。
可研究口径：prior30_eligible_dispersion 是过去 30 天离散度均值，属于 causal proxy，可以作为下一轮 gate/size 的候选，但还没证明可上线。
| slice_group | slice | days | active_rate_pct | mean_bps | cum_pct | max_drawdown_pct | long_xs_mean_bps | short_xs_mean_bps | eligible_dispersion_mean_bps | prior30_dispersion_mean_bps |
|---|---|---|---|---|---|---|---|---|---|---|
| same_day_eligible_dispersion_diagnostic | low | 754 | 33.32% | -3.01 bps | -26.44% | -47.97% | -2.46 bps | 4.43 bps | 394.00 bps | 586.08 bps |
| same_day_eligible_dispersion_diagnostic | mid | 754 | 33.32% | 3.54 bps | 4.07% | -44.90% | 13.61 bps | 1.47 bps | 625.30 bps | 681.06 bps |
| same_day_eligible_dispersion_diagnostic | high | 755 | 33.36% | 32.21 bps | 625.81% | -47.71% | 34.74 bps | 37.68 bps | 1068.97 bps | 819.06 bps |
| prior30_eligible_dispersion_causal_proxy | low | 748 | 33.05% | 7.50 bps | 52.06% | -43.00% | 15.13 bps | 7.88 bps | 522.99 bps | 497.40 bps |
| prior30_eligible_dispersion_causal_proxy | mid | 747 | 33.01% | 11.50 bps | 87.12% | -52.74% | 16.93 bps | 14.07 bps | 693.68 bps | 669.47 bps |
| prior30_eligible_dispersion_causal_proxy | high | 748 | 33.05% | 13.57 bps | 88.59% | -41.29% | 14.33 bps | 20.81 bps | 876.62 bps | 920.43 bps |
| same_day_eligible_dispersion_decile | decile_1 | 227 | 10.03% | -7.59 bps | -17.12% | -27.85% | -2.84 bps | -4.34 bps | 291.56 bps | 524.71 bps |
| same_day_eligible_dispersion_decile | decile_2 | 226 | 9.99% | 12.72 bps | 30.67% | -7.93% | 19.87 bps | 13.58 bps | 395.94 bps | 586.16 bps |
| same_day_eligible_dispersion_decile | decile_3 | 226 | 9.99% | -9.37 bps | -21.75% | -33.65% | -18.64 bps | 7.89 bps | 459.47 bps | 629.40 bps |
| same_day_eligible_dispersion_decile | decile_4 | 226 | 9.99% | -2.73 bps | -12.91% | -35.19% | 5.63 bps | -3.09 bps | 524.14 bps | 639.17 bps |
| same_day_eligible_dispersion_decile | decile_5 | 227 | 10.03% | -6.47 bps | -17.84% | -33.47% | 11.99 bps | -16.93 bps | 588.48 bps | 672.57 bps |
| same_day_eligible_dispersion_decile | decile_6 | 226 | 9.99% | 14.45 bps | 29.23% | -18.73% | 19.72 bps | 17.18 bps | 658.77 bps | 701.10 bps |
| same_day_eligible_dispersion_decile | decile_7 | 226 | 9.99% | 22.86 bps | 53.72% | -32.52% | 31.69 bps | 22.03 bps | 737.21 bps | 723.02 bps |
| same_day_eligible_dispersion_decile | decile_8 | 226 | 9.99% | 7.48 bps | 10.37% | -55.20% | -3.33 bps | 26.29 bps | 841.21 bps | 758.41 bps |
| same_day_eligible_dispersion_decile | decile_9 | 226 | 9.99% | 18.36 bps | 34.52% | -33.53% | 30.62 bps | 14.09 bps | 1005.94 bps | 804.47 bps |
| same_day_eligible_dispersion_decile | decile_10 | 227 | 10.03% | 59.46 bps | 210.70% | -29.45% | 58.26 bps | 68.67 bps | 1458.71 bps | 913.74 bps |
参数稳定性：Universe 20/30/50/70/100 与 3x3/4x4
这里完整重算 causal monthly quote-volume universe，不再只拿原 Top30。每个月用上一完整月成交额选 Top N，再做 age90、14d skip1d vol-adjust 排名，比较 3L3S 与 4L4S。
成本仍用 4bps flat，方便和主回测比较；4x4 实盘订单更多，真实成本可能高于表中假设。
| series | universe_size | leg_count | active_days | active_rate_pct | mean_bps | active_mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | avg_eligible_count | long_half_mean_bps | short_half_mean_bps |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| universe20_long3_short3 | 20 | 3 | 2259 | 99.82% | 11.71 bps | 11.73 bps | 639.37% | -43.87% | 49.71% | 18.32 | 13.63 bps | 2.08 bps |
| universe20_long4_short4 | 20 | 4 | 2259 | 99.82% | 9.17 bps | 9.19 bps | 410.98% | -53.70% | 50.02% | 18.32 | 12.64 bps | 0.53 bps |
| universe30_long3_short3 | 30 | 3 | 2259 | 99.82% | 10.97 bps | 10.99 bps | 462.00% | -59.63% | 49.01% | 26.92 | 13.63 bps | 1.34 bps |
| universe30_long4_short4 | 30 | 4 | 2259 | 99.82% | 8.64 bps | 8.66 bps | 309.30% | -49.42% | 49.85% | 26.92 | 12.65 bps | -0.01 bps |
| universe50_long3_short3 | 50 | 3 | 2259 | 99.82% | 13.48 bps | 13.50 bps | 758.20% | -51.77% | 47.86% | 43.08 | 17.18 bps | 0.29 bps |
| universe50_long4_short4 | 50 | 4 | 2259 | 99.82% | 14.52 bps | 14.54 bps | 1283.52% | -42.65% | 49.09% | 43.08 | 16.63 bps | 1.88 bps |
| universe70_long3_short3 | 70 | 3 | 2259 | 99.82% | 4.78 bps | 4.79 bps | 20.69% | -79.07% | 47.59% | 57.81 | 9.41 bps | -0.64 bps |
| universe70_long4_short4 | 70 | 4 | 2259 | 99.82% | 9.02 bps | 9.04 bps | 289.10% | -63.22% | 48.34% | 57.81 | 13.62 bps | -0.60 bps |
| universe100_long3_short3 | 100 | 3 | 2259 | 99.82% | 3.30 bps | 3.30 bps | -27.21% | -90.77% | 46.75% | 77.25 | 8.48 bps | -1.19 bps |
| universe100_long4_short4 | 100 | 4 | 2259 | 99.82% | 5.74 bps | 5.75 bps | 70.92% | -83.11% | 47.86% | 77.25 | 10.38 bps | -0.65 bps |
Dispersion 仓位控制
这部分只用 prior30_eligible_dispersion，即入场前过去 30 天 eligible 内 p90-p10 离散度均值。它是可交易 proxy，不使用当天未来收益。
结果用于判断是否值得下一轮做 sizing/gate；不是最终上线参数。尤其是高档 leverage 1.5 会放大回撤和真实成本。
结论：这一轮 prior30 dispersion 控制没有改善主策略。gate_high_only 把回撤从约 -60% 降到约 -41%，但累计收益也从约 +456% 降到约 +89%；scale 版本也没有优于原始全仓。因此 dispersion 更适合当风险监控/解释变量，不适合现在直接作为强 gate。
| series | active_days | active_rate_pct | avg_scale | max_scale | mean_bps | active_mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | low_days | mid_days | high_days |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| base_no_dispersion_control | 2263 | 100.00% | 1.00 | 1.00 | 10.92 bps | 10.92 bps | 455.65% | -60.08% | 49.05% | 748 | 747 | 748 |
| gate_high_only | 748 | 33.05% | 0.33 | 1.00 | 4.48 bps | 13.57 bps | 88.59% | -41.29% | 16.04% | 0 | 0 | 748 |
| gate_mid_high | 1495 | 66.06% | 0.66 | 1.00 | 8.28 bps | 12.54 bps | 252.89% | -50.55% | 32.70% | 0 | 747 | 748 |
| scale_low0.5_mid1_high1.5 | 2243 | 99.12% | 0.99 | 1.50 | 11.76 bps | 11.87 bps | 369.88% | -62.96% | 48.56% | 748 | 747 | 748 |
| scale_low0_mid0.75_high1.5 | 1495 | 66.06% | 0.74 | 1.50 | 9.57 bps | 14.49 bps | 228.49% | -58.87% | 32.70% | 0 | 747 | 748 |
不 Short：Long-only + BTC Rolling Beta Hedge
这里测试“只做 long topK，同时用过去 180 天估计 BTC beta 后动态对冲”。这回答：如果 short leg 很难实盘赚钱，能否用 BTC hedge 替代 short leg。
结论：不理想。最佳裸 long-only 是 long_only_unhedged_u50_top4，累计 1462.48%，但最大回撤 -92.57%；最佳 BTC hedge 后只剩 30.50%，最大回撤仍 -95.77%。BTC hedge 大幅削弱 upside，却没有真正解决 alt 崩盘尾部风险。
| series | variant | universe_size | leg_count | active_days | active_rate_pct | mean_bps | active_mean_bps | cum_pct | max_drawdown_pct | win_rate_pct | avg_rolling_beta |
|---|---|---|---|---|---|---|---|---|---|---|---|
| long_only_btc_hedged_u20_top3 | rolling_btc_hedged | 20 | 3 | 2259 | 99.82% | 7.21 bps | 7.06 bps | -46.03% | -97.22% | 47.15% | 1.15 |
| long_only_unhedged_u20_top3 | unhedged | 20 | 3 | 2259 | 99.82% | 23.26 bps | 23.30 bps | 428.90% | -96.96% | 51.26% | 1.15 |
| long_only_btc_hedged_u20_top4 | rolling_btc_hedged | 20 | 4 | 2259 | 99.82% | 5.37 bps | 5.21 bps | -41.37% | -96.08% | 47.24% | 1.15 |
| long_only_unhedged_u20_top4 | unhedged | 20 | 4 | 2259 | 99.82% | 21.28 bps | 21.32 bps | 460.57% | -96.78% | 51.39% | 1.15 |
| long_only_btc_hedged_u30_top3 | rolling_btc_hedged | 30 | 3 | 2259 | 99.82% | 6.18 bps | 6.03 bps | -70.35% | -97.28% | 45.43% | 1.15 |
| long_only_unhedged_u30_top3 | unhedged | 30 | 3 | 2259 | 99.82% | 23.26 bps | 23.30 bps | 282.80% | -96.08% | 51.13% | 1.15 |
| long_only_btc_hedged_u30_top4 | rolling_btc_hedged | 30 | 4 | 2259 | 99.82% | 5.08 bps | 4.92 bps | -61.12% | -96.51% | 46.31% | 1.14 |
| long_only_unhedged_u30_top4 | unhedged | 30 | 4 | 2259 | 99.82% | 21.30 bps | 21.34 bps | 319.21% | -95.66% | 51.13% | 1.14 |
| long_only_btc_hedged_u50_top3 | rolling_btc_hedged | 50 | 3 | 2259 | 99.82% | 12.24 bps | 12.11 bps | -31.44% | -95.96% | 45.25% | 1.19 |
| long_only_unhedged_u50_top3 | unhedged | 50 | 3 | 2259 | 99.82% | 30.38 bps | 30.43 bps | 954.23% | -93.89% | 50.82% | 1.19 |
| long_only_btc_hedged_u50_top4 | rolling_btc_hedged | 50 | 4 | 2259 | 99.82% | 12.35 bps | 12.21 bps | 30.50% | -95.77% | 46.31% | 1.16 |
| long_only_unhedged_u50_top4 | unhedged | 50 | 4 | 2259 | 99.82% | 29.26 bps | 29.31 bps | 1462.48% | -92.57% | 51.13% | 1.16 |
| long_only_btc_hedged_u70_top3 | rolling_btc_hedged | 70 | 3 | 2259 | 99.82% | -3.23 bps | -3.39 bps | -97.98% | -99.63% | 44.68% | 1.19 |
| long_only_unhedged_u70_top3 | unhedged | 70 | 3 | 2259 | 99.82% | 14.84 bps | 14.86 bps | -69.14% | -99.22% | 49.54% | 1.19 |
| long_only_btc_hedged_u70_top4 | rolling_btc_hedged | 70 | 4 | 2259 | 99.82% | 6.49 bps | 6.33 bps | -67.58% | -98.65% | 46.80% | 1.16 |
| long_only_unhedged_u70_top4 | unhedged | 70 | 4 | 2259 | 99.82% | 23.25 bps | 23.29 bps | 283.21% | -97.37% | 50.77% | 1.16 |
| long_only_btc_hedged_u100_top3 | rolling_btc_hedged | 100 | 3 | 2259 | 99.82% | -5.16 bps | -5.29 bps | -99.28% | -99.91% | 44.23% | 1.17 |
| long_only_unhedged_u100_top3 | unhedged | 100 | 3 | 2259 | 99.82% | 12.97 bps | 13.00 bps | -88.05% | -99.75% | 47.90% | 1.17 |
| long_only_btc_hedged_u100_top4 | rolling_btc_hedged | 100 | 4 | 2259 | 99.82% | -0.53 bps | -0.66 bps | -95.01% | -99.62% | 45.60% | 1.13 |
| long_only_unhedged_u100_top4 | unhedged | 100 | 4 | 2259 | 99.82% | 16.77 bps | 16.80 bps | -28.96% | -99.07% | 50.02% | 1.13 |
年度表现
| year | days | strategy_net_pct | btc_pct | eligible_ew_pct | long_top3_pct | long_minus_eligible_pct | short_vs_eligible_pct | rolling_btc_hedged_pct | corr_to_btc | corr_to_eligible_ew |
|---|---|---|---|---|---|---|---|---|---|---|
| 2020.00 | 335.00 | 19.46% | 212.34% | 56.63% | 62.12% | 2.25% | 66.51% | 12.89% | 0.1159 | -0.0332 |
| 2021.00 | 365.00 | 22.56% | 62.61% | 440.46% | 588.17% | 19.97% | 34.78% | 25.56% | 0.0168 | -0.0058 |
| 2022.00 | 365.00 | 12.21% | -65.18% | -80.38% | -78.18% | 8.81% | 40.32% | 4.87% | -0.1151 | -0.1228 |
| 2023.00 | 365.00 | -27.30% | 166.28% | 117.35% | 31.85% | -37.55% | 4.61% | -27.95% | 0.0771 | 0.0912 |
| 2024.00 | 366.00 | 34.12% | 113.84% | 2.71% | 35.45% | 28.26% | 71.98% | 27.06% | 0.0315 | -0.0735 |
| 2025.00 | 365.00 | 81.20% | -6.11% | -58.09% | 1.04% | 117.60% | 76.07% | 62.29% | -0.1428 | -0.1723 |
| 2026.00 | 102.00 | 91.43% | -16.23% | -21.58% | 104.92% | 162.14% | 27.94% | 83.04% | -0.1527 | 0.0740 |
逐月关系
BTC 下跌最深月份
| month | strategy_net_pct | btc_pct | eligible_ew_pct | long_minus_eligible_pct | short_vs_eligible_pct |
|---|---|---|---|---|---|
| 2021-05 | -17.80% | -36.56% | -28.61% | -7.55% | -27.27% |
| 2022-06 | 9.22% | -35.32% | -19.91% | 13.04% | 6.04% |
| 2022-05 | -4.45% | -22.49% | -36.93% | 1.21% | -8.54% |
| 2020-03 | -9.96% | -22.21% | -33.08% | -1.64% | -16.06% |
| 2025-11 | 9.05% | -21.63% | -28.60% | 20.16% | 0.51% |
| 2022-01 | -11.39% | -18.92% | -31.68% | -27.84% | 10.56% |
| 2022-11 | 9.73% | -17.10% | -14.45% | 21.08% | -0.20% |
| 2022-04 | 9.39% | -16.91% | -30.94% | 6.21% | 14.72% |
| 2021-12 | -7.59% | -16.61% | -17.82% | -2.06% | -11.38% |
| 2024-04 | -0.80% | -16.34% | -27.19% | -5.00% | 5.70% |
BTC 大涨月份
| month | strategy_net_pct | btc_pct | eligible_ew_pct | long_minus_eligible_pct | short_vs_eligible_pct |
|---|---|---|---|---|---|
| 2020-12 | 4.31% | 56.28% | 6.92% | 11.39% | -0.56% |
| 2021-02 | 7.43% | 47.83% | 68.16% | 15.65% | -0.42% |
| 2024-02 | -5.86% | 44.94% | 30.55% | -12.80% | 3.33% |
| 2023-01 | -7.57% | 42.86% | 75.79% | -11.64% | -1.60% |
| 2024-11 | 31.75% | 39.96% | 65.59% | 44.88% | 21.66% |
| 2020-11 | -9.51% | 36.50% | 40.39% | -26.79% | 11.90% |
| 2020-04 | 3.08% | 32.96% | 39.30% | 9.66% | -0.93% |
| 2020-10 | 16.19% | 29.59% | -12.20% | 17.52% | 15.53% |
| 2020-07 | 18.65% | 27.92% | 38.59% | 25.68% | 14.02% |
| 2023-10 | 5.67% | 26.65% | 17.08% | 16.37% | -2.47% |
Long 选币超额的好坏月份
最好
| month | strategy_net_pct | btc_pct | eligible_ew_pct | long_minus_eligible_pct | short_vs_eligible_pct |
|---|---|---|---|---|---|
| 2026-03 | 38.01% | 3.55% | -3.07% | 53.75% | 15.30% |
| 2024-11 | 31.75% | 39.96% | 65.59% | 44.88% | 21.66% |
| 2025-12 | 39.14% | 2.97% | 3.71% | 43.95% | 33.63% |
| 2021-09 | 29.14% | -1.47% | -6.67% | 43.38% | 17.76% |
| 2024-09 | 18.80% | 6.13% | 20.97% | 26.62% | 13.40% |
| 2020-07 | 18.65% | 27.92% | 38.59% | 25.68% | 14.02% |
| 2026-01 | 7.31% | -13.37% | -22.38% | 25.01% | -7.32% |
| 2021-03 | 6.56% | 18.55% | 29.00% | 24.23% | -8.00% |
最差
| month | strategy_net_pct | btc_pct | eligible_ew_pct | long_minus_eligible_pct | short_vs_eligible_pct |
|---|---|---|---|---|---|
| 2020-08 | -15.53% | 1.01% | 22.85% | -31.77% | 5.89% |
| 2022-01 | -11.39% | -18.92% | -31.68% | -27.84% | 10.56% |
| 2020-11 | -9.51% | 36.50% | 40.39% | -26.79% | 11.90% |
| 2024-07 | -18.10% | 3.89% | -5.81% | -23.00% | -11.41% |
| 2023-03 | -16.81% | 20.42% | -2.32% | -19.51% | -12.40% |
| 2025-03 | -14.63% | -1.03% | -13.84% | -18.46% | -9.48% |
| 2025-09 | -4.39% | 8.58% | 7.58% | -17.92% | 13.52% |
| 2022-02 | -17.22% | 14.77% | 1.00% | -16.92% | -16.06% |
第四轮后的研发方向
优先方向：把 213-age90 改写为「Top20-50 横截面动量 + 更谨慎 short admission / 风控」研究，而不是简单 long-only BTC hedge。
- 第一优先：围绕
universe50_long4_short4和universe20/30_long3_short3做成本、换手、年份外推和真实执行压力测试。 - 第二优先：short leg 不要删除，也不要简单替换成 BTC hedge；改成 short admission 或 short 降权，重点减少 short squeeze 和高成本场景。
- 第三优先：dispersion 不作为硬 gate 上线；先作为仓位监控指标，只有在更多 causal proxy 验证后再考虑 sizing。
- 第四优先：用 live canary 继续收集真实 maker/taker 成本；如果真实成本接近 12bps，当前所有高收益版本都需要重估。