Rank213 Baseline V2：四方向初筛
这页回答一个问题：既然原 Rank213 baseline 在无未来函数选池下太弱，换 baseline 的四个方向初步表现如何？
生成时间：2026-05-06 03:25 UTC · 样本主口径：monthly-volume causal universe · 价格候选为 daily rebalance / next-day hold / top3-bottom3 / one-way cost 4bps。
Evidence Map · age90 Phase 3 · age90_14d 二轮验证 · 原 baseline refresh 页
先说结论
第 1 条目前最强：age90_14d_skip1d_voladj，累计 455.65%，最大回撤 -60.08%。但这仍是研究快筛，不是上线策略。
第 4 条限制最大：第 4 条本轮没有有效回测收益：本地 funding 缓存主要在样本截止日之后，和 2020-2026 daily baseline 样本无重叠；需要补历史 funding/basis/OI。
为什么测这四条
- 1) 更稳的动量：年龄过滤 + 14d skip-1d 动量 + 波动率调整；避免刚上市币、最后一天冲顶和高波动误判。
age90_14d_skip1d_voladj· full_daily_backtest - 2) 去掉 BTC 噪音：先扣 BTC/市场方向，再按残差动量排序；目标是找币自己的相对强弱。
age90_resid_14d_skip1d_voladj· full_daily_backtest - 3) 防追顶：在残差动量上惩罚最近一天暴拉；目标是少追 blowoff 后的回落。
age90_resid_14d_skip1d_voladj_blowoffpen· full_daily_backtest - 4) 加入 perp 信息：在第 1 条价格信号上叠加实际 funding cashflow；本轮只有 funding-only，尚未加入 basis/OI。
perp_funding_overlay_on_age90_14d_skip1d_voladj· limited_funding_only_overlay
三条策略的共同回测流程
前三条都不是用 4 月 frozen30 回看过去，而是在 monthly-volume causal universe 上做 daily baseline 快筛。核心防线是：当日决策只能看当日以前已经发生的数据。
三条策略原理、未来函数评价、回测质量
更稳的动量
age90_14d_skip1d_voladj
先剔除上市不满 90 天的币，再看过去 14 天、但跳过最近 1 天的收益；最后用 14 天波动率缩放。它的核心是：只追已经证明有持续性的中短周期强势，不追刚上市和最后一天暴拉。
score = return(t-15d -> t-1d) / realized_vol(t-15d -> t-1d)月初用上月成交额选池
→
上市满 90 天过滤
→
只用历史窗口打分
→
次日收益记账
累计 455.65%
回撤 -60.08%
均值 10.92 bps
未来函数评价：低。选池来自每月开始前的上一完整月 quote_volume；打分只用 t 日以前的数据；收益用 t -> t+1d。主要风险不是未来函数，而是 daily close 执行假设偏理想。
回测质量评价：当前三条里质量最好。全样本强，但最大回撤仍到 -60.08%，说明它只是值得二轮研究，不是可直接上线。
下一步验证：做 walk-forward freeze、成本敏感性、top/bottom leg 归因、月度换池后是否集中在少数年份。
去掉 BTC 噪音
age90_resid_14d_skip1d_voladj
在第一条基础上，先扣掉 BTC 同期 14 天收益，再看币自己的相对强弱。它想回答：这个币是真的独立强，还是只是跟着 BTC 涨。
score = (coin_return_14d_ex1d - BTC_return_14d_ex1d) / realized_vol月初用上月成交额选池
→
上市满 90 天过滤
→
只用历史窗口打分
→
次日收益记账
累计 200.24%
回撤 -63.63%
均值 8.20 bps
未来函数评价：低。BTC return 和币本身 return 都只用 t 日以前数据。注意当前 beta=1 是简化近似，不是滚动回归 beta。
回测质量评价：有价值但不如第一条。收益更低、回撤更深一点，说明简单扣 BTC 不一定改善 crypto 横截面；但它是重要稳健性对照。
下一步验证：把 beta=1 改成 rolling beta；区分 BTC 上涨/下跌 regime；检查它是否减少市场方向暴露。
防追顶
age90_resid_14d_skip1d_voladj_blowoffpen
在残差动量上，对最近 1 天暴涨的币扣分。它的目标是避免买到最后一冲、或卖到最后一砸之后马上反弹。
score = residual_voladj_score - 0.5 * zscore(return(t-1d -> t))月初用上月成交额选池
→
上市满 90 天过滤
→
只用历史窗口打分
→
次日收益记账
累计 93.21%
回撤 -74.56%
均值 6.19 bps
未来函数评价：中低。最近 1 天收益在 t 日收盘后才完全可见；如果假设 t 日收盘调仓，不能偷用同一根收盘价之后无法成交的价格。当前 daily 快筛需要后续做 next-open 或执行滑点复核。
回测质量评价：当前结果不理想。全样本仍正，但回撤反而更深到 -74.56%，说明这个 penalty 参数或方向没有解决坏尾部，不能作为优先主线。
下一步验证：扫 penalty 强度；改成只 veto 极端 blowoff 而不是线性扣分；看它是否只在 2024/2026 有用。
回测质量总评
结论：这组回测比旧 frozen30 更可信，因为选池是 causal 的；但它仍是 daily baseline 研究快筛，不是 execution-grade 策略。最大问题不是未来函数，而是回撤、执行假设、样本外稳定性。
| 检查项 | 风险 | 说明 |
|---|---|---|
| 选池未来函数 | 低 | 每月用上一完整自然月 quote_volume 选当月池子，不用当月/未来表现。 |
| 打分未来函数 | 低 | 前两条只用 t 日以前窗口；第三条用最近 1 天，后续要确认执行价不能偷用收盘后价格。 |
| 幸存者偏差 | 中 | monthly-volume universe 比 frozen30 好很多，但仍依赖 Binance UM 历史可交易合约集合，不是官方历史市值快照。 |
| 交易成本 | 中 | 已扣 one-way 4bps，但 daily close-to-close 没有真实盘口、滑点、冲击成本。 |
| 执行一致性 | 中高风险 | 这是 daily 快筛，不是原 15m Rank213 execution；不能直接迁移到 live。 |
| 过拟合风险 | 中 | 候选数量不多，但参数仍需 walk-forward freeze 和样本外验证。 |
旧 baseline 参照
无未来函数 monthly-volume 口径下，原 15m plain baseline：mean -1.58 bps，cum -98.09%，DD -99.62%。这就是换 baseline 的原因。
全样本/可用样本结果
| direction | strategy | status | days | active_rate_pct | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct | human_verdict |
|---|---|---|---|---|---|---|---|---|---|
| 1) 更稳的动量 | age90_14d_skip1d_voladj | full_daily_backtest | 2263 | 100.00% | 10.92 bps | 455.65% | -60.08% | 49.05% | 值得进入第二轮，但回撤仍大，不能直接上线。 |
| 2) 去掉 BTC 噪音 | age90_resid_14d_skip1d_voladj | full_daily_backtest | 2263 | 100.00% | 8.20 bps | 200.24% | -63.63% | 48.12% | 值得进入第二轮，但回撤仍大，不能直接上线。 |
| 3) 防追顶 | age90_resid_14d_skip1d_voladj_blowoffpen | full_daily_backtest | 2263 | 100.00% | 6.19 bps | 93.21% | -74.56% | 48.12% | 有正收益迹象，但稳定性/回撤需要继续筛。 |
| 4) 加入 perp 信息 | perp_funding_overlay_on_age90_14d_skip1d_voladj | limited_funding_only_overlay | 0 | 0.00% | 本地 funding/basis 数据与 2020-2026 daily 样本无有效重叠；本轮不能给出收益结论，必须补全历史 funding/basis/OI 后再测。 |
收益曲线
这张图展示前三条价格 baseline 的日度复利权益曲线。纵轴用 log scale，避免后期收益较大的线把早期波动压扁。
逐月稳定性总览
每个月都是独立复利统计；交易次数这里指 daily basket 数，即当天一组 top3/bottom3 组合。
58.67%
1) 更稳的动量 正收益月占比
均值 3.03% · 最差 2024-07 -18.10%
52.00%
2) 去掉 BTC 噪音 正收益月占比
均值 2.11% · 最差 2024-07 -23.70%
52.00%
3) 防追顶 正收益月占比
均值 1.56% · 最差 2023-02 -21.63%
逐月收益、交易次数、胜率
绿色为当月正收益，橙色为当月负收益。单元格依次展示：当月净收益 / 交易天数 baskets / 胜率 / 当月内最大回撤。
| month | 1) 更稳的动量 收益 / 交易天数 / 胜率 | 2) 去掉 BTC 噪音 收益 / 交易天数 / 胜率 | 3) 防追顶 收益 / 交易天数 / 胜率 |
|---|---|---|---|
| 2020-02 | 4.70% 29 baskets · win 51.72% DD -5.75% | 1.85% 29 baskets · win 48.28% DD -4.87% | 3.53% 29 baskets · win 44.83% DD -4.90% |
| 2020-03 | -9.96% 31 baskets · win 32.26% DD -16.22% | -1.03% 31 baskets · win 48.39% DD -6.13% | 3.10% 31 baskets · win 54.84% DD -5.72% |
| 2020-04 | 3.08% 30 baskets · win 50.00% DD -3.99% | 4.77% 30 baskets · win 53.33% DD -3.60% | -2.08% 30 baskets · win 43.33% DD -5.37% |
| 2020-05 | 6.06% 31 baskets · win 54.84% DD -5.55% | 2.42% 31 baskets · win 54.84% DD -6.24% | -0.19% 31 baskets · win 41.94% DD -5.42% |
| 2020-06 | 8.91% 30 baskets · win 60.00% DD -3.06% | 7.15% 30 baskets · win 60.00% DD -3.98% | 4.70% 30 baskets · win 56.67% DD -3.65% |
| 2020-07 | 18.65% 31 baskets · win 58.06% DD -7.35% | 14.69% 31 baskets · win 58.06% DD -7.45% | 12.06% 31 baskets · win 54.84% DD -9.32% |
| 2020-08 | -15.53% 31 baskets · win 32.26% DD -18.53% | -9.60% 31 baskets · win 41.94% DD -11.79% | -14.52% 31 baskets · win 35.48% DD -15.22% |
| 2020-09 | -3.18% 30 baskets · win 53.33% DD -10.03% | 5.30% 30 baskets · win 60.00% DD -7.05% | 2.40% 30 baskets · win 63.33% DD -7.08% |
| 2020-10 | 16.19% 31 baskets · win 70.97% DD -14.17% | 0.74% 31 baskets · win 58.06% DD -15.96% | 1.88% 31 baskets · win 48.39% DD -12.50% |
| 2020-11 | -9.51% 30 baskets · win 43.33% DD -15.93% | 11.15% 30 baskets · win 46.67% DD -9.20% | 4.32% 30 baskets · win 50.00% DD -13.26% |
| 2020-12 | 4.31% 31 baskets · win 54.84% DD -6.11% | 2.81% 31 baskets · win 48.39% DD -6.65% | 8.91% 31 baskets · win 58.06% DD -8.32% |
| 2021-01 | 19.14% 31 baskets · win 58.06% DD -16.61% | 18.01% 31 baskets · win 48.39% DD -19.32% | 13.60% 31 baskets · win 48.39% DD -23.82% |
| 2021-02 | 7.43% 28 baskets · win 53.57% DD -19.23% | -2.21% 28 baskets · win 50.00% DD -18.52% | -7.98% 28 baskets · win 46.43% DD -21.21% |
| 2021-03 | 6.56% 31 baskets · win 51.61% DD -4.68% | 4.44% 31 baskets · win 45.16% DD -4.68% | 9.01% 31 baskets · win 45.16% DD -4.58% |
| 2021-04 | 16.15% 30 baskets · win 56.67% DD -14.52% | 8.73% 30 baskets · win 53.33% DD -14.12% | 12.94% 30 baskets · win 56.67% DD -14.72% |
| 2021-05 | -17.80% 31 baskets · win 41.94% DD -23.28% | -18.05% 31 baskets · win 48.39% DD -23.14% | -13.51% 31 baskets · win 32.26% DD -22.25% |
| 2021-06 | -9.51% 30 baskets · win 40.00% DD -10.22% | -8.27% 30 baskets · win 43.33% DD -11.66% | -9.37% 30 baskets · win 40.00% DD -11.17% |
| 2021-07 | -15.01% 31 baskets · win 32.26% DD -16.48% | -8.26% 31 baskets · win 45.16% DD -10.08% | -9.94% 31 baskets · win 41.94% DD -10.91% |
| 2021-08 | -10.46% 31 baskets · win 61.29% DD -18.07% | -2.53% 31 baskets · win 58.06% DD -14.28% | -5.98% 31 baskets · win 51.61% DD -18.30% |
| 2021-09 | 29.14% 30 baskets · win 63.33% DD -4.51% | 19.99% 30 baskets · win 63.33% DD -4.98% | 2.05% 30 baskets · win 53.33% DD -12.81% |
| 2021-10 | 8.65% 31 baskets · win 51.61% DD -9.81% | 8.84% 31 baskets · win 41.94% DD -6.57% | -16.55% 31 baskets · win 38.71% DD -20.54% |
| 2021-11 | 5.41% 30 baskets · win 46.67% DD -15.68% | 6.65% 30 baskets · win 46.67% DD -16.03% | 0.03% 30 baskets · win 40.00% DD -18.04% |
| 2021-12 | -7.59% 31 baskets · win 35.48% DD -13.73% | -7.25% 31 baskets · win 32.26% DD -15.46% | -12.05% 31 baskets · win 38.71% DD -17.34% |
| 2022-01 | -11.39% 31 baskets · win 35.48% DD -18.72% | -3.37% 31 baskets · win 41.94% DD -13.82% | 5.15% 31 baskets · win 51.61% DD -8.87% |
| 2022-02 | -17.22% 28 baskets · win 28.57% DD -16.98% | -10.87% 28 baskets · win 25.00% DD -11.61% | -10.81% 28 baskets · win 42.86% DD -13.93% |
| 2022-03 | 2.23% 31 baskets · win 45.16% DD -6.52% | -4.64% 31 baskets · win 38.71% DD -9.54% | -9.36% 31 baskets · win 32.26% DD -13.45% |
| 2022-04 | 9.39% 30 baskets · win 43.33% DD -3.65% | 1.97% 30 baskets · win 50.00% DD -5.28% | 6.02% 30 baskets · win 50.00% DD -4.77% |
| 2022-05 | -4.45% 31 baskets · win 38.71% DD -16.39% | 1.13% 31 baskets · win 51.61% DD -19.49% | 0.79% 31 baskets · win 58.06% DD -22.77% |
| 2022-06 | 9.22% 30 baskets · win 43.33% DD -9.56% | 1.04% 30 baskets · win 43.33% DD -15.29% | -4.58% 30 baskets · win 50.00% DD -18.74% |
| 2022-07 | 10.55% 31 baskets · win 48.39% DD -6.37% | 9.69% 31 baskets · win 45.16% DD -6.43% | 7.74% 31 baskets · win 51.61% DD -5.40% |
| 2022-08 | -1.69% 31 baskets · win 48.39% DD -11.00% | -2.60% 31 baskets · win 48.39% DD -10.75% | -3.68% 31 baskets · win 45.16% DD -15.20% |
| 2022-09 | -3.01% 30 baskets · win 40.00% DD -7.01% | -6.78% 30 baskets · win 33.33% DD -10.20% | 5.69% 30 baskets · win 50.00% DD -6.19% |
| 2022-10 | 9.92% 31 baskets · win 58.06% DD -7.51% | 9.28% 31 baskets · win 61.29% DD -5.58% | 8.12% 31 baskets · win 64.52% DD -5.22% |
| 2022-11 | 9.73% 30 baskets · win 46.67% DD -12.63% | 7.11% 30 baskets · win 53.33% DD -12.81% | 12.95% 30 baskets · win 53.33% DD -8.12% |
| 2022-12 | 3.11% 31 baskets · win 58.06% DD -3.66% | -1.24% 31 baskets · win 51.61% DD -5.41% | -1.14% 31 baskets · win 48.39% DD -3.89% |
| 2023-01 | -7.57% 31 baskets · win 38.71% DD -9.64% | 20.46% 31 baskets · win 48.39% DD -6.70% | 13.24% 31 baskets · win 48.39% DD -6.32% |
| 2023-02 | -16.77% 28 baskets · win 32.14% DD -17.04% | -21.24% 28 baskets · win 28.57% DD -19.25% | -21.63% 28 baskets · win 25.00% DD -21.43% |
| 2023-03 | -16.81% 31 baskets · win 32.26% DD -15.25% | -13.54% 31 baskets · win 41.94% DD -11.92% | -15.45% 31 baskets · win 41.94% DD -14.48% |
| 2023-04 | -2.23% 30 baskets · win 46.67% DD -5.04% | -4.21% 30 baskets · win 40.00% DD -7.42% | -6.78% 30 baskets · win 33.33% DD -11.09% |
| 2023-05 | 5.69% 31 baskets · win 58.06% DD -3.70% | -0.04% 31 baskets · win 54.84% DD -7.33% | 4.35% 31 baskets · win 54.84% DD -4.19% |
| 2023-06 | -0.70% 30 baskets · win 46.67% DD -7.12% | -1.20% 30 baskets · win 36.67% DD -6.28% | -9.63% 30 baskets · win 26.67% DD -9.85% |
| 2023-07 | -9.06% 31 baskets · win 35.48% DD -13.21% | -8.28% 31 baskets · win 29.03% DD -12.93% | -1.42% 31 baskets · win 38.71% DD -7.65% |
| 2023-08 | -7.58% 31 baskets · win 41.94% DD -10.31% | -11.99% 31 baskets · win 35.48% DD -14.17% | -11.71% 31 baskets · win 38.71% DD -12.79% |
| 2023-09 | -1.51% 30 baskets · win 53.33% DD -4.70% | -5.27% 30 baskets · win 50.00% DD -5.90% | -1.88% 30 baskets · win 50.00% DD -5.69% |
| 2023-10 | 5.67% 31 baskets · win 48.39% DD -7.51% | 3.51% 31 baskets · win 48.39% DD -7.85% | 3.45% 31 baskets · win 51.61% DD -7.51% |
| 2023-11 | 14.79% 30 baskets · win 56.67% DD -9.18% | 20.78% 30 baskets · win 56.67% DD -7.57% | 13.47% 30 baskets · win 56.67% DD -8.26% |
| 2023-12 | 10.28% 31 baskets · win 58.06% DD -7.56% | 4.46% 31 baskets · win 51.61% DD -11.17% | -1.88% 31 baskets · win 54.84% DD -15.66% |
| 2024-01 | -8.45% 31 baskets · win 38.71% DD -17.48% | -3.71% 31 baskets · win 41.94% DD -13.00% | -3.29% 31 baskets · win 45.16% DD -10.75% |
| 2024-02 | -5.86% 29 baskets · win 34.48% DD -8.03% | -8.32% 29 baskets · win 44.83% DD -12.92% | -2.46% 29 baskets · win 55.17% DD -11.16% |
| 2024-03 | 1.71% 31 baskets · win 51.61% DD -15.16% | 1.65% 31 baskets · win 45.16% DD -14.83% | 13.92% 31 baskets · win 48.39% DD -10.80% |
| 2024-04 | -0.80% 30 baskets · win 50.00% DD -13.04% | -1.95% 30 baskets · win 50.00% DD -12.91% | 2.90% 30 baskets · win 53.33% DD -10.43% |
| 2024-05 | 3.53% 31 baskets · win 51.61% DD -7.07% | 3.98% 31 baskets · win 51.61% DD -8.07% | 3.24% 31 baskets · win 48.39% DD -7.25% |
| 2024-06 | -4.46% 30 baskets · win 46.67% DD -7.72% | -6.13% 30 baskets · win 46.67% DD -9.96% | -9.58% 30 baskets · win 43.33% DD -11.09% |
| 2024-07 | -18.10% 31 baskets · win 41.94% DD -19.42% | -23.70% 31 baskets · win 29.03% DD -23.85% | -18.44% 31 baskets · win 35.48% DD -18.76% |
| 2024-08 | -1.95% 31 baskets · win 58.06% DD -4.14% | -2.95% 31 baskets · win 51.61% DD -6.36% | -9.23% 31 baskets · win 41.94% DD -12.66% |
| 2024-09 | 18.80% 30 baskets · win 63.33% DD -5.93% | 12.94% 30 baskets · win 60.00% DD -4.58% | 15.39% 30 baskets · win 60.00% DD -6.61% |
| 2024-10 | 14.52% 31 baskets · win 58.06% DD -3.99% | 7.58% 31 baskets · win 51.61% DD -4.84% | 8.71% 31 baskets · win 54.84% DD -5.79% |
| 2024-11 | 31.75% 30 baskets · win 66.67% DD -6.15% | 24.26% 30 baskets · win 56.67% DD -9.02% | 40.48% 30 baskets · win 66.67% DD -5.84% |
| 2024-12 | 8.34% 31 baskets · win 58.06% DD -10.72% | 3.23% 31 baskets · win 54.84% DD -8.53% | 10.89% 31 baskets · win 58.06% DD -7.38% |
| 2025-01 | 11.52% 31 baskets · win 54.84% DD -3.39% | -1.40% 31 baskets · win 45.16% DD -4.71% | -2.18% 31 baskets · win 41.94% DD -7.70% |
| 2025-02 | 2.89% 28 baskets · win 53.57% DD -9.91% | 2.74% 28 baskets · win 53.57% DD -10.11% | 4.53% 28 baskets · win 50.00% DD -10.49% |
| 2025-03 | -14.63% 31 baskets · win 22.58% DD -15.56% | -14.92% 31 baskets · win 32.26% DD -17.00% | -20.51% 31 baskets · win 29.03% DD -22.14% |
| 2025-04 | 10.27% 30 baskets · win 50.00% DD -11.38% | 12.29% 30 baskets · win 50.00% DD -6.99% | 7.07% 30 baskets · win 43.33% DD -6.51% |
| 2025-05 | 8.57% 31 baskets · win 58.06% DD -6.20% | 8.93% 31 baskets · win 54.84% DD -4.06% | -1.08% 31 baskets · win 54.84% DD -8.14% |
| 2025-06 | -0.63% 30 baskets · win 43.33% DD -10.42% | -3.69% 30 baskets · win 43.33% DD -13.35% | -3.38% 30 baskets · win 40.00% DD -12.84% |
| 2025-07 | 4.81% 31 baskets · win 54.84% DD -7.49% | 9.65% 31 baskets · win 61.29% DD -5.56% | 7.42% 31 baskets · win 58.06% DD -6.71% |
| 2025-08 | 0.18% 31 baskets · win 41.94% DD -3.94% | -1.53% 31 baskets · win 41.94% DD -6.20% | 10.04% 31 baskets · win 45.16% DD -4.33% |
| 2025-09 | -4.39% 30 baskets · win 43.33% DD -12.00% | -7.11% 30 baskets · win 46.67% DD -12.54% | -4.93% 30 baskets · win 46.67% DD -10.80% |
| 2025-10 | 2.08% 31 baskets · win 54.84% DD -13.09% | -5.13% 31 baskets · win 54.84% DD -11.42% | -5.59% 31 baskets · win 51.61% DD -11.38% |
| 2025-11 | 9.05% 30 baskets · win 53.33% DD -9.44% | 19.98% 30 baskets · win 56.67% DD -5.76% | 26.78% 30 baskets · win 70.00% DD -4.33% |
| 2025-12 | 39.14% 31 baskets · win 64.52% DD -8.03% | 41.27% 31 baskets · win 61.29% DD -7.33% | 36.19% 31 baskets · win 51.61% DD -7.29% |
| 2026-01 | 7.31% 31 baskets · win 61.29% DD -8.70% | -4.92% 31 baskets · win 48.39% DD -17.14% | -5.23% 31 baskets · win 51.61% DD -13.43% |
| 2026-02 | 12.31% 28 baskets · win 53.57% DD -13.85% | -1.17% 28 baskets · win 50.00% DD -13.83% | -3.24% 28 baskets · win 50.00% DD -13.92% |
| 2026-03 | 38.01% 31 baskets · win 54.84% DD -24.37% | 43.02% 31 baskets · win 51.61% DD -23.17% | 37.73% 31 baskets · win 51.61% DD -24.18% |
| 2026-04 | 15.09% 12 baskets · win 66.67% DD -1.91% | 8.75% 12 baskets · win 58.33% DD -2.18% | 13.79% 12 baskets · win 75.00% DD -0.75% |
Funding Overlay 覆盖说明
0covered days
0.00%coverage
30cached funding symbols
avg leg coverage
basis / OI included: no
funding-only partial-leg overlay using local cached Binance funding files; rows require at least one funded long leg and one funded short leg, but not all six legs. No basis/OI history is included, and coverage is mostly frozen30-era symbols after 2025-10.
当前结论：第 4 条不是失败策略，而是数据不足；不能用空样本判断 funding/basis overlay 的好坏。
按年切片
年度表保留用于快速定位年份稳定性。更细的逐月波动请以上面的月度表为准。
| segment | strategy | days | active_days | net_mean_bps | net_cum_pct | max_drawdown_pct | win_rate_pct |
|---|---|---|---|---|---|---|---|
| 2020 | age90_resid_14d_skip1d_voladj | 335 | 335 | 13.05 bps | 45.65% | -17.86% | 52.54% |
| 2020 | age90_resid_14d_skip1d_voladj_blowoffpen | 335 | 335 | 8.41 bps | 24.02% | -19.63% | 50.15% |
| 2020 | age90_14d_skip1d_voladj | 335 | 335 | 7.72 bps | 19.46% | -28.04% | 51.04% |
| 2021 | age90_14d_skip1d_voladj | 365 | 365 | 10.79 bps | 22.56% | -50.89% | 49.32% |
| 2021 | age90_resid_14d_skip1d_voladj | 365 | 365 | 8.60 bps | 13.80% | -45.50% | 47.95% |
| 2021 | age90_resid_14d_skip1d_voladj_blowoffpen | 365 | 365 | -7.12 bps | -36.01% | -58.15% | 44.38% |
| 2022 | age90_resid_14d_skip1d_voladj_blowoffpen | 365 | 365 | 6.22 bps | 14.78% | -27.64% | 49.86% |
| 2022 | age90_14d_skip1d_voladj | 365 | 365 | 5.38 bps | 12.21% | -33.19% | 44.66% |
| 2022 | age90_resid_14d_skip1d_voladj | 365 | 365 | 2.33 bps | -1.50% | -31.20% | 45.48% |
| 2023 | age90_resid_14d_skip1d_voladj | 365 | 365 | -4.96 bps | -22.49% | -54.16% | 43.56% |
| 2023 | age90_14d_skip1d_voladj | 365 | 365 | -7.07 bps | -27.30% | -47.84% | 45.75% |
| 2023 | age90_resid_14d_skip1d_voladj_blowoffpen | 365 | 365 | -9.85 bps | -35.12% | -55.15% | 43.56% |
| 2024 | age90_resid_14d_skip1d_voladj_blowoffpen | 366 | 366 | 13.07 bps | 49.34% | -33.78% | 50.82% |
| 2024 | age90_14d_skip1d_voladj | 366 | 366 | 10.24 bps | 34.12% | -36.93% | 51.64% |
| 2024 | age90_resid_14d_skip1d_voladj | 366 | 366 | 2.04 bps | -0.89% | -42.10% | 48.63% |
| 2025 | age90_14d_skip1d_voladj | 365 | 365 | 19.34 bps | 81.20% | -28.15% | 49.59% |
| 2025 | age90_resid_14d_skip1d_voladj | 365 | 365 | 16.35 bps | 63.78% | -29.61% | 50.14% |
| 2025 | age90_resid_14d_skip1d_voladj_blowoffpen | 365 | 365 | 14.39 bps | 52.34% | -33.30% | 48.49% |
| 2026 | age90_14d_skip1d_voladj | 102 | 102 | 78.42 bps | 91.43% | -24.37% | 57.84% |
| 2026 | age90_resid_14d_skip1d_voladj | 102 | 102 | 51.81 bps | 46.16% | -25.15% | 50.98% |
| 2026 | age90_resid_14d_skip1d_voladj_blowoffpen | 102 | 102 | 49.76 bps | 43.72% | -28.91% | 53.92% |