213c Short Leg Gate 与仓位控制深度研究
生成时间：2026-05-07 12:26:24 UTC | 成本假设：4/8/12 bps/1x turnover | 变体数：24（累计 ~100，预期 ~5.0 假阳性 @95%）
核心发现
最佳变体：buffer8_weekly_short_btc_prior7_positive @ 4bps = 8.95 bps， 累计 261.28%， 最大回撤 -54.63%
对比 buffer8_50_50 baseline：5.78 bps @ 4bps
1. 全样本结果 @ 4bps
| verdict | experiment_group | variant | net_mean_bps | net_cum_pct | max_drawdown_pct | sharpe | avg_turnover_x | long_mean_bps | short_mean_bps | short_gate | reason |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Fail | reference | base_50_50_daily | 2.59 bps | -0.02% | -70.30% | 0.216 | 0.598 | 6.10 bps | -1.12 bps | always | does not preserve positive 12bps net |
| Promising | reference | buffer8_50_50 | 5.78 bps | 124.18% | -42.41% | 0.519 | 0.210 | 5.50 bps | 1.13 bps | always | clears 12bps mean/turnover target, but still needs robustness and real-cost replay |
| Promising | reference | buffer8_weekly | 7.85 bps | 272.15% | -48.50% | 0.730 | 0.134 | 7.27 bps | 1.11 bps | always | clears 12bps mean/turnover target, but still needs robustness and real-cost replay |
| Diagnostic | composite_gate | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 6.42 bps | 84.73% | -62.43% | 0.449 | 0.197 | 5.50 bps | 1.71 bps | btc_prior7_positive_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | composite_gate | buffer8_btc_prior7_negative_AND_dispersion_mid_high | 2.91 bps | -9.20% | -89.21% | 0.215 | 0.189 | 5.50 bps | -1.83 bps | btc_prior7_negative_AND_dispersion_mid_high | does not preserve positive 12bps net |
| Diagnostic | composite_gate | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 5.85 bps | 78.56% | -81.87% | 0.434 | 0.186 | 5.50 bps | 1.09 bps | eligible_prior7_negative_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | composite_gate | buffer8_btc_above_ma20_AND_dispersion_mid_high | 6.39 bps | 82.35% | -69.87% | 0.445 | 0.175 | 5.50 bps | 1.59 bps | btc_above_ma20_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | threshold_gate | buffer8_btc_prior7_above_5pct | 3.29 bps | -11.39% | -80.72% | 0.228 | 0.182 | 5.50 bps | -1.48 bps | btc_prior7_above_5pct | does not preserve positive 12bps net |
| Diagnostic | threshold_gate | buffer8_eligible_prior7_below_neg5pct | 3.09 bps | 3.91% | -86.98% | 0.244 | 0.192 | 5.50 bps | -1.64 bps | eligible_prior7_below_neg5pct | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | threshold_gate | buffer8_dispersion_above_median | 4.85 bps | 44.72% | -73.28% | 0.364 | 0.162 | 5.50 bps | -0.00 bps | dispersion_above_median | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | threshold_gate | buffer8_dispersion_above_q67_AND_btc_prior7_positive | 5.64 bps | 48.99% | -77.81% | 0.386 | 0.150 | 5.50 bps | 0.74 bps | dispersion_above_q67_AND_btc_prior7_positive | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | new_indicator_gate | buffer8_btc_consecutive_up_3d | 3.85 bps | -2.60% | -86.06% | 0.261 | 0.159 | 5.50 bps | -1.01 bps | btc_consecutive_up_3d | does not preserve positive 12bps net |
| Fail | new_indicator_gate | buffer8_eligible_consecutive_down_3d | 3.58 bps | -4.40% | -88.32% | 0.249 | 0.155 | 5.50 bps | -1.30 bps | eligible_consecutive_down_3d | does not preserve positive 12bps net |
| Diagnostic | new_indicator_gate | buffer8_btc_vol_expansion | 4.20 bps | 8.54% | -86.49% | 0.290 | 0.119 | 5.50 bps | -0.82 bps | btc_vol_expansion | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | new_indicator_gate | buffer8_dispersion_above_rolling_q75 | -8.51 bps | -93.45% | -96.77% | -0.625 | 0.248 | 5.50 bps | -13.02 bps | dispersion_above_rolling_q75 | does not preserve positive 12bps net |
| Watch | weekly_overlay | buffer8_weekly_short_btc_prior7_positive | 8.95 bps | 261.28% | -54.63% | 0.663 | 0.188 | 7.27 bps | 2.43 bps | btc_prior7_positive | positive 12bps net with acceptable turnover, but thickness or drawdown is still marginal |
| Diagnostic | weekly_overlay | buffer8_weekly_short25 | 7.44 bps | 237.82% | -55.32% | 0.688 | 0.098 | 7.27 bps | 0.55 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | weekly_overlay | buffer8_weekly_dispersion_mid_high | 7.08 bps | 167.09% | -59.87% | 0.574 | 0.118 | 7.27 bps | 0.28 bps | prior30_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | weekly_overlay | buffer8_weekly_btc_prior7_negative | 5.27 bps | 84.49% | -78.54% | 0.441 | 0.182 | 7.27 bps | -1.28 bps | btc_prior7_negative | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | adaptive_cap | buffer8_adaptive_cap_dispersion_3level | 4.33 bps | 34.26% | -66.89% | 0.335 | 0.162 | 5.50 bps | -0.51 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Promising | adaptive_cap | buffer8_adaptive_cap_btc_regime_3level | 7.23 bps | 206.54% | -47.58% | 0.637 | 0.224 | 5.50 bps | 2.63 bps | always | clears 12bps mean/turnover target, but still needs robustness and real-cost replay |
| Diagnostic | adaptive_cap | buffer8_adaptive_cap_eligible_trend_2level | 4.66 bps | 67.45% | -60.93% | 0.404 | 0.221 | 5.50 bps | 0.05 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | adaptive_cap | buffer8_adaptive_cap_combined_4level | 5.98 bps | 119.74% | -62.19% | 0.506 | 0.192 | 5.50 bps | 1.26 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | adaptive_cap | buffer8_weekly_adaptive_cap_dispersion | 7.34 bps | 186.26% | -57.81% | 0.599 | 0.107 | 7.27 bps | 0.50 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
1b. 全样本结果 @ 12bps
| verdict | experiment_group | variant | net_mean_bps | net_cum_pct | max_drawdown_pct | sharpe | avg_turnover_x | long_mean_bps | short_mean_bps | short_gate | reason |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Fail | reference | base_50_50_daily | -2.19 bps | -66.53% | -84.08% | -0.183 | 0.598 | 6.10 bps | -1.12 bps | always | does not preserve positive 12bps net |
| Watch | reference | buffer8_50_50 | 4.11 bps | 52.78% | -48.88% | 0.368 | 0.210 | 5.50 bps | 1.13 bps | always | positive 12bps net with acceptable turnover, but thickness or drawdown is still marginal |
| Promising | reference | buffer8_weekly | 6.78 bps | 191.39% | -49.98% | 0.630 | 0.134 | 7.27 bps | 1.11 bps | always | clears 12bps mean/turnover target, but still needs robustness and real-cost replay |
| Diagnostic | composite_gate | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 4.84 bps | 28.71% | -65.52% | 0.339 | 0.197 | 5.50 bps | 1.71 bps | btc_prior7_positive_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | composite_gate | buffer8_btc_prior7_negative_AND_dispersion_mid_high | 1.40 bps | -35.79% | -91.61% | 0.103 | 0.189 | 5.50 bps | -1.83 bps | btc_prior7_negative_AND_dispersion_mid_high | does not preserve positive 12bps net |
| Diagnostic | composite_gate | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 4.36 bps | 27.01% | -85.65% | 0.324 | 0.186 | 5.50 bps | 1.09 bps | eligible_prior7_negative_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | composite_gate | buffer8_btc_above_ma20_AND_dispersion_mid_high | 5.00 bps | 32.45% | -72.06% | 0.348 | 0.175 | 5.50 bps | 1.59 bps | btc_above_ma20_AND_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | threshold_gate | buffer8_btc_prior7_above_5pct | 1.84 bps | -36.47% | -84.57% | 0.127 | 0.182 | 5.50 bps | -1.48 bps | btc_prior7_above_5pct | does not preserve positive 12bps net |
| Fail | threshold_gate | buffer8_eligible_prior7_below_neg5pct | 1.55 bps | -26.94% | -90.02% | 0.122 | 0.192 | 5.50 bps | -1.64 bps | eligible_prior7_below_neg5pct | does not preserve positive 12bps net |
| Diagnostic | threshold_gate | buffer8_dispersion_above_median | 3.55 bps | 7.60% | -74.97% | 0.267 | 0.162 | 5.50 bps | -0.00 bps | dispersion_above_median | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | threshold_gate | buffer8_dispersion_above_q67_AND_btc_prior7_positive | 4.44 bps | 13.20% | -81.44% | 0.304 | 0.150 | 5.50 bps | 0.74 bps | dispersion_above_q67_AND_btc_prior7_positive | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | new_indicator_gate | buffer8_btc_consecutive_up_3d | 2.58 bps | -27.13% | -88.70% | 0.175 | 0.159 | 5.50 bps | -1.01 bps | btc_consecutive_up_3d | does not preserve positive 12bps net |
| Fail | new_indicator_gate | buffer8_eligible_consecutive_down_3d | 2.34 bps | -28.04% | -90.66% | 0.163 | 0.155 | 5.50 bps | -1.30 bps | eligible_consecutive_down_3d | does not preserve positive 12bps net |
| Fail | new_indicator_gate | buffer8_btc_vol_expansion | 3.24 bps | -12.80% | -88.55% | 0.224 | 0.119 | 5.50 bps | -0.82 bps | btc_vol_expansion | does not preserve positive 12bps net |
| Fail | new_indicator_gate | buffer8_dispersion_above_rolling_q75 | -10.50 bps | -95.84% | -97.75% | -0.771 | 0.248 | 5.50 bps | -13.02 bps | dispersion_above_rolling_q75 | does not preserve positive 12bps net |
| Diagnostic | weekly_overlay | buffer8_weekly_short_btc_prior7_positive | 7.45 bps | 156.23% | -56.08% | 0.552 | 0.188 | 7.27 bps | 2.43 bps | btc_prior7_positive | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | weekly_overlay | buffer8_weekly_short25 | 6.65 bps | 182.34% | -59.15% | 0.616 | 0.098 | 7.27 bps | 0.55 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | weekly_overlay | buffer8_weekly_dispersion_mid_high | 6.14 bps | 115.13% | -60.95% | 0.497 | 0.118 | 7.27 bps | 0.28 bps | prior30_dispersion_mid_high | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | weekly_overlay | buffer8_weekly_btc_prior7_negative | 3.81 bps | 32.12% | -83.21% | 0.319 | 0.182 | 7.27 bps | -1.28 bps | btc_prior7_negative | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Fail | adaptive_cap | buffer8_adaptive_cap_dispersion_3level | 3.04 bps | -0.23% | -72.43% | 0.235 | 0.162 | 5.50 bps | -0.51 bps | always | does not preserve positive 12bps net |
| Watch | adaptive_cap | buffer8_adaptive_cap_btc_regime_3level | 5.45 bps | 103.65% | -53.41% | 0.479 | 0.224 | 5.50 bps | 2.63 bps | always | positive 12bps net with acceptable turnover, but thickness or drawdown is still marginal |
| Diagnostic | adaptive_cap | buffer8_adaptive_cap_eligible_trend_2level | 2.89 bps | 11.78% | -65.43% | 0.251 | 0.221 | 5.50 bps | 0.05 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | adaptive_cap | buffer8_adaptive_cap_combined_4level | 4.44 bps | 54.52% | -65.45% | 0.375 | 0.192 | 5.50 bps | 1.26 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
| Diagnostic | adaptive_cap | buffer8_weekly_adaptive_cap_dispersion | 6.49 bps | 135.46% | -59.18% | 0.529 | 0.107 | 7.27 bps | 0.50 bps | always | positive net, but drawdown/turnover/path is not suitable as a candidate |
2. Walk-Forward 稳定性总结
扩展窗口：训练 2020-02 起逐年增长，测试 2022-2026。选择标准：训练期 net_mean_bps @ 4bps 最高。Stable = OOS 正率 ≥60% 且 IS-OOS delta <5bps。
| variant | fold_count | selection_frequency | IS_mean_bps | OOS_mean_bps | IS_OOS_delta_bps | OOS_positive_rate | OOS_worst_fold_bps | stability_verdict |
|---|---|---|---|---|---|---|---|---|
| buffer8_eligible_consecutive_down_3d | 5 | 1 | 15.73 bps | 7.70 bps | 8.03 bps | 1.000 | 7.70 bps | Marginal |
| buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 5 | 3 | 17.00 bps | -10.71 bps | 27.71 bps | 0.333 | -18.36 bps | Unstable |
| buffer8_weekly_short_btc_prior7_positive | 5 | 1 | 14.66 bps | -17.26 bps | 31.92 bps | 0.000 | -17.26 bps | Unstable |
| base_50_50_daily | 5 | 0 | 6.16 bps | Unstable | ||||
| buffer8_50_50 | 5 | 0 | 9.16 bps | Unstable | ||||
| buffer8_adaptive_cap_btc_regime_3level | 5 | 0 | 10.75 bps | Unstable | ||||
| buffer8_adaptive_cap_combined_4level | 5 | 0 | 11.70 bps | Unstable | ||||
| buffer8_adaptive_cap_dispersion_3level | 5 | 0 | 10.90 bps | Unstable | ||||
| buffer8_adaptive_cap_eligible_trend_2level | 5 | 0 | 8.67 bps | Unstable | ||||
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 5 | 0 | 13.23 bps | Unstable | ||||
| buffer8_btc_consecutive_up_3d | 5 | 0 | 14.32 bps | Unstable | ||||
| buffer8_btc_prior7_above_5pct | 5 | 0 | 10.62 bps | Unstable | ||||
| buffer8_btc_prior7_negative_AND_dispersion_mid_high | 5 | 0 | 13.41 bps | Unstable | ||||
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 5 | 0 | 12.47 bps | Unstable | ||||
| buffer8_btc_vol_expansion | 5 | 0 | 15.12 bps | Unstable | ||||
| buffer8_dispersion_above_median | 5 | 0 | 9.01 bps | Unstable | ||||
| buffer8_dispersion_above_q67_AND_btc_prior7_positive | 5 | 0 | 14.57 bps | Unstable | ||||
| buffer8_dispersion_above_rolling_q75 | 5 | 0 | -1.87 bps | Unstable | ||||
| buffer8_eligible_prior7_below_neg5pct | 5 | 0 | 13.62 bps | Unstable | ||||
| buffer8_weekly | 5 | 0 | 12.99 bps | Unstable | ||||
| buffer8_weekly_adaptive_cap_dispersion | 5 | 0 | 14.20 bps | Unstable | ||||
| buffer8_weekly_btc_prior7_negative | 5 | 0 | 15.46 bps | Unstable | ||||
| buffer8_weekly_dispersion_mid_high | 5 | 0 | 12.33 bps | Unstable | ||||
| buffer8_weekly_short25 | 5 | 0 | 15.41 bps | Unstable |
2b. Walk-Forward 逐 Fold 细节（Top 10 变体）
| fold | variant | train_net_mean_bps | test_net_mean_bps | test_sharpe | test_max_dd_pct | selected |
|---|---|---|---|---|---|---|
| 1 | buffer8_weekly | 20.77 bps | False | |||
| 1 | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 23.11 bps | False | |||
| 1 | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 33.78 bps | -18.36 bps | -1.340 | -58.99% | True |
| 1 | buffer8_btc_above_ma20_AND_dispersion_mid_high | 25.49 bps | False | |||
| 1 | buffer8_weekly_short_btc_prior7_positive | 25.44 bps | False | |||
| 1 | buffer8_weekly_short25 | 27.97 bps | False | |||
| 1 | buffer8_weekly_dispersion_mid_high | 21.11 bps | False | |||
| 1 | buffer8_adaptive_cap_btc_regime_3level | 18.17 bps | False | |||
| 1 | buffer8_adaptive_cap_combined_4level | 25.25 bps | False | |||
| 1 | buffer8_weekly_adaptive_cap_dispersion | 27.00 bps | False | |||
| 2 | buffer8_weekly | 13.81 bps | False | |||
| 2 | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 10.62 bps | False | |||
| 2 | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 16.24 bps | False | |||
| 2 | buffer8_btc_above_ma20_AND_dispersion_mid_high | 10.71 bps | False | |||
| 2 | buffer8_weekly_short_btc_prior7_positive | 14.30 bps | False | |||
| 2 | buffer8_weekly_short25 | 15.00 bps | False | |||
| 2 | buffer8_weekly_dispersion_mid_high | 10.48 bps | False | |||
| 2 | buffer8_adaptive_cap_btc_regime_3level | 9.90 bps | False | |||
| 2 | buffer8_adaptive_cap_combined_4level | 9.46 bps | False | |||
| 2 | buffer8_weekly_adaptive_cap_dispersion | 12.88 bps | False | |||
| 3 | buffer8_weekly | 11.54 bps | False | |||
| 3 | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 10.23 bps | False | |||
| 3 | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 14.91 bps | 3.50 bps | 0.318 | -41.01% | True |
| 3 | buffer8_btc_above_ma20_AND_dispersion_mid_high | 10.81 bps | False | |||
| 3 | buffer8_weekly_short_btc_prior7_positive | 11.92 bps | False | |||
| 3 | buffer8_weekly_short25 | 13.67 bps | False | |||
| 3 | buffer8_weekly_dispersion_mid_high | 11.12 bps | False | |||
| 3 | buffer8_adaptive_cap_btc_regime_3level | 9.07 bps | False | |||
| 3 | buffer8_adaptive_cap_combined_4level | 8.14 bps | False | |||
| 3 | buffer8_weekly_adaptive_cap_dispersion | 12.40 bps | False | |||
| 4 | buffer8_weekly | 9.87 bps | False | |||
| 4 | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 10.94 bps | False | |||
| 4 | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 12.62 bps | -17.27 bps | -1.281 | -54.48% | True |
| 4 | buffer8_btc_above_ma20_AND_dispersion_mid_high | 11.15 bps | False | |||
| 4 | buffer8_weekly_short_btc_prior7_positive | 11.41 bps | False | |||
| 4 | buffer8_weekly_short25 | 11.63 bps | False | |||
| 4 | buffer8_weekly_dispersion_mid_high | 10.80 bps | False | |||
| 4 | buffer8_adaptive_cap_btc_regime_3level | 8.55 bps | False | |||
| 4 | buffer8_adaptive_cap_combined_4level | 8.50 bps | False | |||
| 4 | buffer8_weekly_adaptive_cap_dispersion | 11.06 bps | False | |||
| 5 | buffer8_weekly | 8.96 bps | False | |||
| 5 | buffer8_btc_prior7_positive_AND_dispersion_mid_high | 7.45 bps | False | |||
| 5 | buffer8_eligible_prior7_negative_AND_dispersion_mid_high | 7.46 bps | False | |||
| 5 | buffer8_btc_above_ma20_AND_dispersion_mid_high | 7.97 bps | False | |||
| 5 | buffer8_weekly_short_btc_prior7_positive | 10.22 bps | -17.26 bps | -1.708 | -23.47% | True |
| 5 | buffer8_weekly_short25 | 8.75 bps | False | |||
| 5 | buffer8_weekly_dispersion_mid_high | 8.16 bps | False | |||
| 5 | buffer8_adaptive_cap_btc_regime_3level | 8.08 bps | False | |||
| 5 | buffer8_adaptive_cap_combined_4level | 7.14 bps | False | |||
| 5 | buffer8_weekly_adaptive_cap_dispersion | 7.65 bps | False |
3. 过拟合诊断
累计变体测试数：~100
95% 置信度预期假阳性：~5.0
本研究新增 24 个变体，所有变体在运行前已预注册，未根据结果追加。
注意：2022-2025 数据已被先前 gate 选择研究使用（Phase 3、第五轮）。2026 YTD 是唯一未用于先前设计的时段。
4. Gate 指标分析
基于 buffer8_50_50 的 short contribution，按 gate 激活/未激活拆分。Lift = active mean - inactive mean。
| gate | active_days | active_rate_pct | short_mean_active_bps | short_mean_inactive_bps | lift_bps |
|---|---|---|---|---|---|
| btc_prior7_positive | 1212 | 53.02% | 6.73 bps | -5.19 bps | 11.92 bps |
| btc_prior7_negative | 1057 | 46.24% | -4.91 bps | 6.32 bps | -11.23 bps |
| btc_above_ma20 | 1200 | 52.49% | 6.85 bps | -5.20 bps | 12.05 bps |
| prior30_dispersion_mid_high | 1510 | 66.05% | -0.44 bps | 4.17 bps | -4.61 bps |
| prior30_dispersion_high | 756 | 33.07% | -2.24 bps | 2.79 bps | -5.02 bps |
| btc_prior7_positive_AND_dispersion_mid_high | 799 | 34.95% | 4.89 bps | -0.90 bps | 5.78 bps |
| btc_prior7_negative_AND_dispersion_mid_high | 701 | 30.66% | -5.97 bps | 4.26 bps | -10.23 bps |
| btc_prior7_above_5pct | 572 | 25.02% | -5.91 bps | 3.47 bps | -9.39 bps |
| dispersion_above_median | 1133 | 49.56% | -0.01 bps | 2.24 bps | -2.24 bps |
| btc_consecutive_up_3d | 259 | 11.33% | -8.94 bps | 2.41 bps | -11.35 bps |
| eligible_consecutive_down_3d | 215 | 9.41% | -13.78 bps | 2.67 bps | -16.46 bps |
| btc_vol_expansion | 143 | 6.26% | -13.12 bps | 2.08 bps | -15.20 bps |
| dispersion_above_rolling_q75 | 624 | 27.30% | -47.68 bps | 19.45 bps | -67.14 bps |
5. 自适应仓位细节
按 regime capital 水平拆分 short contribution。
| variant | regime_capital | days | short_mean_bps | active_short_days |
|---|---|---|---|---|
| buffer8_adaptive_cap_dispersion_3level | 0.000 | 2286 | -0.51 bps | 1510 |
| buffer8_adaptive_cap_btc_regime_3level | 0.000 | 2286 | 2.63 bps | 2257 |
| buffer8_adaptive_cap_eligible_trend_2level | 0.000 | 2286 | 0.05 bps | 2257 |
| buffer8_adaptive_cap_combined_4level | 0.000 | 2286 | 1.26 bps | 2257 |
| buffer8_weekly_adaptive_cap_dispersion | 0.000 | 2286 | 0.50 bps | 1510 |
6. 年度稳定性（Top 变体 + 参考）@ 4bps
| variant | year | net_cum_pct | max_drawdown_pct | avg_turnover_x | long_mean_bps | short_mean_bps | active_short_days |
|---|---|---|---|---|---|---|---|
| buffer8_weekly_short_btc_prior7_positive | 2020 | 71.65% | -30.01% | 0.140 | 20.51 bps | -0.59 bps | 192 |
| buffer8_weekly_short_btc_prior7_positive | 2021 | 144.48% | -31.67% | 0.213 | 49.02 bps | -17.16 bps | 198 |
| buffer8_weekly_short_btc_prior7_positive | 2022 | -31.33% | -54.10% | 0.187 | -19.93 bps | 13.62 bps | 154 |
| buffer8_weekly_short_btc_prior7_positive | 2023 | 10.90% | -28.70% | 0.204 | 14.96 bps | -9.19 bps | 206 |
| buffer8_weekly_short_btc_prior7_positive | 2024 | 29.34% | -40.24% | 0.186 | 4.25 bps | 5.92 bps | 208 |
| buffer8_weekly_short_btc_prior7_positive | 2025 | 5.78% | -35.31% | 0.184 | -15.11 bps | 20.24 bps | 188 |
| buffer8_weekly_short_btc_prior7_positive | 2026 | -17.37% | -30.14% | 0.216 | -18.91 bps | 6.78 bps | 57 |
| buffer8_weekly | 2020 | 49.54% | -26.67% | 0.078 | 20.51 bps | -6.68 bps | 306 |
| buffer8_weekly | 2021 | 135.28% | -26.99% | 0.142 | 49.02 bps | -21.03 bps | 365 |
| buffer8_weekly | 2022 | -3.91% | -33.51% | 0.148 | -19.93 bps | 20.97 bps | 365 |
| buffer8_weekly | 2023 | 13.53% | -23.47% | 0.148 | 14.96 bps | -9.46 bps | 365 |
| buffer8_weekly | 2024 | 7.18% | -26.88% | 0.143 | 4.25 bps | -0.34 bps | 366 |
| buffer8_weekly | 2025 | 8.18% | -29.59% | 0.134 | -15.11 bps | 20.17 bps | 365 |
| buffer8_weekly | 2026 | -16.37% | -29.41% | 0.148 | -18.91 bps | 8.07 bps | 125 |
| buffer8_weekly_short25 | 2020 | 66.44% | -21.63% | 0.059 | 20.51 bps | -3.34 bps | 306 |
| buffer8_weekly_short25 | 2021 | 247.27% | -24.25% | 0.102 | 49.02 bps | -10.51 bps | 365 |
| buffer8_weekly_short25 | 2022 | -34.46% | -42.43% | 0.108 | -19.93 bps | 10.49 bps | 365 |
| buffer8_weekly_short25 | 2023 | 33.97% | -26.78% | 0.109 | 14.96 bps | -4.73 bps | 365 |
| buffer8_weekly_short25 | 2024 | 7.77% | -36.92% | 0.105 | 4.25 bps | -0.17 bps | 366 |
| buffer8_weekly_short25 | 2025 | -23.71% | -35.18% | 0.099 | -15.11 bps | 10.09 bps | 365 |
| buffer8_weekly_short25 | 2026 | -19.03% | -29.17% | 0.106 | -18.91 bps | 4.03 bps | 125 |
| buffer8_weekly_adaptive_cap_dispersion | 2020 | 62.11% | -30.29% | 0.066 | 20.51 bps | -2.53 bps | 158 |
| buffer8_weekly_adaptive_cap_dispersion | 2021 | 185.25% | -26.99% | 0.145 | 49.02 bps | -15.85 bps | 365 |
| buffer8_weekly_adaptive_cap_dispersion | 2022 | -45.41% | -52.36% | 0.101 | -19.93 bps | 6.52 bps | 181 |
| buffer8_weekly_adaptive_cap_dispersion | 2023 | 47.01% | -31.86% | 0.084 | 14.96 bps | -1.64 bps | 89 |
| buffer8_weekly_adaptive_cap_dispersion | 2024 | 19.36% | -32.30% | 0.119 | 4.25 bps | 2.76 bps | 317 |
| buffer8_weekly_adaptive_cap_dispersion | 2025 | -28.69% | -42.10% | 0.111 | -15.11 bps | 8.82 bps | 275 |
| buffer8_weekly_adaptive_cap_dispersion | 2026 | -9.37% | -24.34% | 0.138 | -18.91 bps | 14.03 bps | 125 |
| buffer8_adaptive_cap_btc_regime_3level | 2020 | 64.70% | -19.13% | 0.146 | 22.50 bps | -5.08 bps | 306 |
| buffer8_adaptive_cap_btc_regime_3level | 2021 | 70.70% | -33.16% | 0.234 | 51.81 bps | -31.49 bps | 365 |
| buffer8_adaptive_cap_btc_regime_3level | 2022 | -25.11% | -39.87% | 0.249 | -22.35 bps | 17.39 bps | 365 |
| buffer8_adaptive_cap_btc_regime_3level | 2023 | 21.01% | -27.46% | 0.236 | 9.82 bps | -2.21 bps | 365 |
| buffer8_adaptive_cap_btc_regime_3level | 2024 | 19.83% | -28.22% | 0.234 | -2.91 bps | 10.32 bps | 366 |
| buffer8_adaptive_cap_btc_regime_3level | 2025 | 13.30% | -17.14% | 0.232 | -15.39 bps | 22.09 bps | 365 |
| buffer8_adaptive_cap_btc_regime_3level | 2026 | -11.38% | -27.39% | 0.238 | -21.04 bps | 14.65 bps | 125 |
| buffer8_weekly_dispersion_mid_high | 2020 | 43.57% | -30.29% | 0.069 | 20.51 bps | -6.00 bps | 158 |
| buffer8_weekly_dispersion_mid_high | 2021 | 135.28% | -26.99% | 0.142 | 49.02 bps | -21.03 bps | 365 |
| buffer8_weekly_dispersion_mid_high | 2022 | -36.92% | -55.49% | 0.120 | -19.93 bps | 10.50 bps | 181 |
| buffer8_weekly_dispersion_mid_high | 2023 | 48.10% | -29.32% | 0.095 | 14.96 bps | -1.61 bps | 89 |
| buffer8_weekly_dispersion_mid_high | 2024 | 33.80% | -23.17% | 0.140 | 4.25 bps | 5.86 bps | 317 |
| buffer8_weekly_dispersion_mid_high | 2025 | -24.35% | -45.14% | 0.129 | -15.11 bps | 10.78 bps | 275 |
| buffer8_weekly_dispersion_mid_high | 2026 | -16.37% | -29.41% | 0.148 | -18.91 bps | 8.07 bps | 125 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2020 | 74.50% | -31.04% | 0.127 | 22.50 bps | -1.60 bps | 112 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2021 | 99.08% | -38.45% | 0.257 | 51.81 bps | -25.19 bps | 198 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2022 | -46.93% | -48.14% | 0.182 | -22.35 bps | 9.76 bps | 71 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2023 | 26.83% | -38.85% | 0.140 | 9.82 bps | -0.18 bps | 49 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2024 | 51.16% | -36.98% | 0.224 | -2.91 bps | 17.53 bps | 174 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2025 | -37.86% | -41.97% | 0.227 | -15.39 bps | 6.56 bps | 138 |
| buffer8_btc_prior7_positive_AND_dispersion_mid_high | 2026 | -15.89% | -35.61% | 0.256 | -21.04 bps | 10.66 bps | 57 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2020 | 64.06% | -31.04% | 0.121 | 22.50 bps | -3.45 bps | 122 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2021 | 147.42% | -34.20% | 0.213 | 51.81 bps | -19.12 bps | 192 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2022 | -54.60% | -55.15% | 0.155 | -22.35 bps | 5.35 bps | 66 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2023 | 36.50% | -38.07% | 0.147 | 9.82 bps | 1.84 bps | 63 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2024 | 44.10% | -37.08% | 0.203 | -2.91 bps | 16.21 bps | 173 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2025 | -32.68% | -39.29% | 0.197 | -15.39 bps | 8.53 bps | 120 |
| buffer8_btc_above_ma20_AND_dispersion_mid_high | 2026 | -25.28% | -36.31% | 0.194 | -21.04 bps | 0.86 bps | 66 |
| buffer8_50_50 | 2020 | 53.95% | -19.13% | 0.125 | 22.50 bps | -7.59 bps | 306 |
| buffer8_50_50 | 2021 | 51.57% | -32.87% | 0.216 | 51.81 bps | -35.06 bps | 365 |
| buffer8_50_50 | 2022 | -17.15% | -35.01% | 0.241 | -22.35 bps | 19.89 bps | 365 |
| buffer8_50_50 | 2023 | 20.90% | -26.87% | 0.222 | 9.82 bps | -2.35 bps | 365 |
| buffer8_50_50 | 2024 | 3.86% | -33.29% | 0.226 | -2.91 bps | 6.32 bps | 366 |
| buffer8_50_50 | 2025 | 3.94% | -22.07% | 0.214 | -15.39 bps | 19.89 bps | 365 |
| buffer8_50_50 | 2026 | -11.16% | -28.89% | 0.228 | -21.04 bps | 15.55 bps | 125 |
| base_50_50_daily | 2020 | 22.64% | -24.45% | 0.481 | 20.02 bps | -10.20 bps | 306 |
| base_50_50_daily | 2021 | 52.31% | -34.30% | 0.612 | 51.15 bps | -32.20 bps | 365 |
| base_50_50_daily | 2022 | -21.26% | -42.37% | 0.627 | -18.00 bps | 15.97 bps | 365 |
| base_50_50_daily | 2023 | 12.62% | -18.77% | 0.620 | 16.32 bps | -8.99 bps | 365 |
| base_50_50_daily | 2024 | -34.43% | -47.28% | 0.637 | -9.20 bps | 1.97 bps | 366 |
| base_50_50_daily | 2025 | -2.83% | -40.08% | 0.580 | -16.16 bps | 20.67 bps | 365 |
| base_50_50_daily | 2026 | -5.27% | -23.62% | 0.658 | -12.38 bps | 14.39 bps | 125 |
7. 最差月份（最佳变体）
| variant | month | net_cum_pct | max_drawdown_pct | avg_turnover_x |
|---|---|---|---|---|
| buffer8_weekly_short_btc_prior7_positive | 2021-02 | -22.40% | -28.32% | 0.170 |
| buffer8_weekly_short_btc_prior7_positive | 2022-05 | -21.56% | -26.93% | 0.185 |
| buffer8_weekly_short_btc_prior7_positive | 2020-08 | -21.39% | -25.24% | 0.210 |
| buffer8_weekly_short_btc_prior7_positive | 2022-04 | -21.28% | -18.78% | 0.125 |
| buffer8_weekly_short_btc_prior7_positive | 2022-01 | -20.24% | -21.66% | 0.185 |
| buffer8_weekly_short_btc_prior7_positive | 2026-01 | -19.91% | -17.94% | 0.210 |
| buffer8_weekly_short_btc_prior7_positive | 2024-07 | -17.21% | -16.62% | 0.202 |
| buffer8_weekly_short_btc_prior7_positive | 2023-03 | -13.40% | -19.67% | 0.185 |
8. 建议
可做
- 如果某变体在 walk-forward 中 OOS 正率 ≥60% 且 IS-OOS delta <5bps，可考虑进入 real-cost replay
- 自适应仓位（Group C）如果优于 binary gate，说明"连续调节"比"开关"更适合 short leg
- Gate 指标分析中 lift 最高的 gate 值得进一步研究其因果机制
不应做
- 不应将任何单个变体的最佳参数直接推入实盘——需要 walk-forward + real-cost replay 双重验证
- 不应在看到结果后追加新变体——会增加 multiple-testing 负担
- 不应仅凭全样本 mean 选择变体——必须看 OOS 稳定性