回顾性独立复算 · 2026-10-25 · 尚未完成真正样本外验证
现规则 · 每边成本假设0.10% · 平均每日对数收益；青色为早期，金色为后期，每组仅8例。比较多个规则与长度，未做显著性认证。
2999根Binance BTCUSDT日线，2018-08-09—2026-10-24，单交易所，未完成第二数据源校验。前200日预热，早期退出不得跨入2023年，后期信号从2023年开始。各规则事件间隔至少151天，30/50/70/100/150天使用相同事件。次日开盘进入，h天后开盘退出；双边成本为假设，不执行ATR止损。
这是已看过部分历史后的时间分组，不是真正未见样本。每组5—8个事件，且比较多种规则，不能声称统计显著。基准是同年所有可行日期的平均同长度收益，窗口重叠，仅作环境对照；未做全期买入持有或风险调整优势验证。
网页上的23个观察周期采用100日分隔；本研究采用150日分隔及时间隔离，样本数不同。历史规则失效不等于交易亏损。
触发日：2019-02-25, 2019-07-31, 2020-01-03, 2020-06-16, 2020-11-28, 2021-04-30, 2021-09-30, 2022-02-28
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +10.82 | +7.07 | 62.5% | +0.233 | -9.96 | +2.59 |
| 0.10% | 50 | 8 | +22.72 | +27.08 | 75.0% | +0.311 | -15.92 | +8.22 |
| 0.10% | 70 | 8 | +10.74 | -3.48 | 50.0% | +0.019 | -32.08 | -10.85 |
| 0.10% | 100 | 8 | +28.93 | -5.63 | 37.5% | +0.127 | -38.34 | -4.05 |
| 0.10% | 150 | 8 | +45.42 | +12.24 | 50.0% | +0.129 | -46.43 | -5.06 |
| 0.25% | 30 | 8 | +10.48 | +6.75 | 62.5% | +0.223 | -9.96 | +2.58 |
| 0.25% | 50 | 8 | +22.35 | +26.70 | 75.0% | +0.305 | -15.92 | +8.19 |
| 0.25% | 70 | 8 | +10.41 | -3.77 | 50.0% | +0.014 | -32.08 | -10.82 |
| 0.25% | 100 | 8 | +28.54 | -5.92 | 37.5% | +0.124 | -38.34 | -4.04 |
| 0.25% | 150 | 8 | +44.98 | +11.91 | 50.0% | +0.127 | -46.43 | -5.05 |
触发日：2019-03-29, 2019-10-26, 2020-04-06, 2020-10-10, 2021-03-13, 2021-08-13, 2022-02-07, 2022-07-19
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +6.76 | -1.72 | 37.5% | +0.164 | -12.44 | +1.32 |
| 0.10% | 50 | 8 | +14.57 | +3.72 | 50.0% | +0.191 | -19.79 | +5.07 |
| 0.10% | 70 | 8 | +21.81 | +9.80 | 50.0% | +0.159 | -19.79 | +7.87 |
| 0.10% | 100 | 8 | +44.08 | +11.42 | 62.5% | +0.174 | -23.56 | +23.91 |
| 0.10% | 150 | 8 | +53.75 | -19.16 | 37.5% | +0.086 | -36.94 | +24.73 |
| 0.25% | 30 | 8 | +6.44 | -2.02 | 37.5% | +0.154 | -12.44 | +1.31 |
| 0.25% | 50 | 8 | +14.22 | +3.41 | 50.0% | +0.185 | -19.79 | +5.06 |
| 0.25% | 70 | 8 | +21.44 | +9.47 | 50.0% | +0.155 | -19.79 | +7.84 |
| 0.25% | 100 | 8 | +43.65 | +11.09 | 62.5% | +0.171 | -23.56 | +23.84 |
| 0.25% | 150 | 8 | +53.29 | -19.41 | 37.5% | +0.084 | -36.94 | +24.66 |
触发日：2019-03-29, 2019-10-26, 2020-04-06, 2020-10-10, 2021-03-13, 2021-08-13, 2022-02-07, 2022-07-19
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +6.76 | -1.72 | 37.5% | +0.164 | -12.44 | +1.32 |
| 0.10% | 50 | 8 | +14.57 | +3.72 | 50.0% | +0.191 | -19.79 | +5.07 |
| 0.10% | 70 | 8 | +21.81 | +9.80 | 50.0% | +0.159 | -19.79 | +7.87 |
| 0.10% | 100 | 8 | +44.08 | +11.42 | 62.5% | +0.174 | -23.56 | +23.91 |
| 0.10% | 150 | 8 | +53.75 | -19.16 | 37.5% | +0.086 | -36.94 | +24.73 |
| 0.25% | 30 | 8 | +6.44 | -2.02 | 37.5% | +0.154 | -12.44 | +1.31 |
| 0.25% | 50 | 8 | +14.22 | +3.41 | 50.0% | +0.185 | -19.79 | +5.06 |
| 0.25% | 70 | 8 | +21.44 | +9.47 | 50.0% | +0.155 | -19.79 | +7.84 |
| 0.25% | 100 | 8 | +43.65 | +11.09 | 62.5% | +0.171 | -23.56 | +23.84 |
| 0.25% | 150 | 8 | +53.29 | -19.41 | 37.5% | +0.084 | -36.94 | +24.66 |
触发日：2019-03-21, 2019-10-25, 2020-04-02, 2020-10-10, 2021-03-13, 2021-08-11, 2022-02-07, 2022-07-08
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +9.76 | +2.72 | 50.0% | +0.256 | -12.67 | +4.32 |
| 0.10% | 50 | 8 | +15.71 | +2.04 | 50.0% | +0.229 | -17.47 | +6.21 |
| 0.10% | 70 | 8 | +28.62 | +14.59 | 50.0% | +0.238 | -19.79 | +14.69 |
| 0.10% | 100 | 8 | +49.82 | +17.45 | 62.5% | +0.210 | -23.56 | +29.64 |
| 0.10% | 150 | 8 | +60.41 | -15.10 | 37.5% | +0.120 | -36.94 | +31.39 |
| 0.25% | 30 | 8 | +9.43 | +2.41 | 50.0% | +0.246 | -12.67 | +4.30 |
| 0.25% | 50 | 8 | +15.36 | +1.73 | 50.0% | +0.223 | -17.47 | +6.19 |
| 0.25% | 70 | 8 | +28.24 | +14.25 | 50.0% | +0.233 | -19.79 | +14.64 |
| 0.25% | 100 | 8 | +49.37 | +17.10 | 62.5% | +0.207 | -23.56 | +29.55 |
| 0.25% | 150 | 8 | +59.93 | -15.35 | 37.5% | +0.118 | -36.94 | +31.30 |
触发日：2019-04-02, 2020-01-14, 2020-07-27, 2020-12-25, 2021-07-30, 2022-03-27
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 6 | +9.87 | +14.11 | 83.3% | +0.280 | -8.66 | +1.15 |
| 0.10% | 50 | 6 | +20.28 | +6.64 | 50.0% | +0.247 | -17.57 | +4.73 |
| 0.10% | 70 | 6 | +20.71 | +12.62 | 50.0% | +0.157 | -23.91 | -3.13 |
| 0.10% | 100 | 6 | +45.57 | +38.80 | 66.7% | +0.223 | -23.91 | +6.74 |
| 0.10% | 150 | 6 | +40.15 | +38.31 | 83.3% | +0.151 | -38.59 | -23.65 |
| 0.25% | 30 | 6 | +9.54 | +13.77 | 83.3% | +0.270 | -8.66 | +1.14 |
| 0.25% | 50 | 6 | +19.92 | +6.32 | 50.0% | +0.241 | -17.57 | +4.72 |
| 0.25% | 70 | 6 | +20.34 | +12.28 | 50.0% | +0.153 | -23.91 | -3.12 |
| 0.25% | 100 | 6 | +45.14 | +38.38 | 66.7% | +0.220 | -23.91 | +6.72 |
| 0.25% | 150 | 6 | +39.73 | +37.90 | 83.3% | +0.149 | -38.59 | -23.58 |
触发日：2019-03-05, 2019-10-27, 2020-05-07, 2021-08-13, 2022-03-29
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 5 | -4.40 | -3.91 | 20.0% | -0.203 | -14.84 | -10.68 |
| 0.10% | 50 | 5 | -7.26 | -8.44 | 20.0% | -0.235 | -22.65 | -18.29 |
| 0.10% | 70 | 5 | +13.22 | -8.72 | 40.0% | +0.052 | -22.65 | -2.74 |
| 0.10% | 100 | 5 | +19.05 | +18.45 | 60.0% | +0.060 | -22.65 | -2.36 |
| 0.10% | 150 | 5 | +15.74 | -12.68 | 40.0% | -0.038 | -38.44 | -12.10 |
| 0.25% | 30 | 5 | -4.69 | -4.19 | 20.0% | -0.213 | -14.84 | -10.65 |
| 0.25% | 50 | 5 | -7.54 | -8.71 | 20.0% | -0.241 | -22.65 | -18.23 |
| 0.25% | 70 | 5 | +12.88 | -8.99 | 40.0% | +0.048 | -22.65 | -2.73 |
| 0.25% | 100 | 5 | +18.69 | +18.09 | 60.0% | +0.057 | -22.65 | -2.35 |
| 0.25% | 150 | 5 | +15.39 | -12.94 | 40.0% | -0.040 | -38.44 | -12.07 |
触发日：2019-04-02, 2019-10-26, 2020-04-29, 2021-05-20, 2021-12-14
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 5 | -5.56 | -12.13 | 40.0% | -0.224 | -17.63 | -14.00 |
| 0.10% | 50 | 5 | -0.03 | -16.72 | 40.0% | -0.081 | -22.06 | -14.66 |
| 0.10% | 70 | 5 | +5.26 | -1.45 | 40.0% | +0.021 | -26.49 | -15.36 |
| 0.10% | 100 | 5 | +35.32 | +20.41 | 80.0% | +0.243 | -26.49 | +7.76 |
| 0.10% | 150 | 5 | +20.76 | +21.97 | 60.0% | +0.063 | -27.91 | -14.32 |
| 0.25% | 30 | 5 | -5.84 | -12.39 | 40.0% | -0.234 | -17.63 | -13.96 |
| 0.25% | 50 | 5 | -0.32 | -16.97 | 40.0% | -0.087 | -22.06 | -14.61 |
| 0.25% | 70 | 5 | +4.94 | -1.74 | 40.0% | +0.016 | -26.49 | -15.32 |
| 0.25% | 100 | 5 | +34.91 | +20.05 | 80.0% | +0.240 | -26.49 | +7.74 |
| 0.25% | 150 | 5 | +20.40 | +21.60 | 60.0% | +0.061 | -27.91 | -14.28 |
触发日：2023-01-04, 2023-06-06, 2023-11-15, 2024-04-22, 2024-10-06, 2025-03-19, 2025-08-22, 2026-03-02
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +8.33 | +6.44 | 62.5% | +0.246 | -7.57 | +4.46 |
| 0.10% | 50 | 8 | +17.23 | +13.54 | 87.5% | +0.296 | -10.08 | +10.72 |
| 0.10% | 70 | 8 | +19.05 | +12.77 | 75.0% | +0.223 | -13.70 | +9.65 |
| 0.10% | 100 | 8 | +18.83 | +10.11 | 50.0% | +0.135 | -19.44 | +5.18 |
| 0.10% | 150 | 8 | +25.24 | +31.06 | 62.5% | +0.128 | -20.31 | +3.68 |
| 0.25% | 30 | 8 | +8.00 | +6.12 | 62.5% | +0.236 | -7.57 | +4.44 |
| 0.25% | 50 | 8 | +16.88 | +13.20 | 87.5% | +0.290 | -10.08 | +10.69 |
| 0.25% | 70 | 8 | +18.69 | +12.44 | 75.0% | +0.219 | -13.70 | +9.62 |
| 0.25% | 100 | 8 | +18.48 | +9.78 | 50.0% | +0.132 | -19.44 | +5.16 |
| 0.25% | 150 | 8 | +24.86 | +30.67 | 62.5% | +0.126 | -20.31 | +3.67 |
触发日：2023-01-08, 2023-06-20, 2023-12-01, 2024-05-15, 2024-10-15, 2025-04-22, 2025-10-01, 2026-03-04
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +10.32 | +7.08 | 62.5% | +0.295 | -6.66 | +6.45 |
| 0.10% | 50 | 8 | +9.73 | +7.53 | 75.0% | +0.142 | -10.49 | +3.22 |
| 0.10% | 70 | 8 | +15.86 | +10.90 | 62.5% | +0.175 | -16.50 | +6.46 |
| 0.10% | 100 | 8 | +23.57 | +10.09 | 50.0% | +0.163 | -19.44 | +9.91 |
| 0.10% | 150 | 8 | +16.71 | +24.23 | 62.5% | +0.071 | -22.24 | -4.85 |
| 0.25% | 30 | 8 | +9.99 | +6.75 | 62.5% | +0.285 | -6.66 | +6.43 |
| 0.25% | 50 | 8 | +9.40 | +7.20 | 75.0% | +0.136 | -10.49 | +3.21 |
| 0.25% | 70 | 8 | +15.51 | +10.57 | 62.5% | +0.171 | -16.50 | +6.44 |
| 0.25% | 100 | 8 | +23.20 | +9.76 | 50.0% | +0.160 | -19.44 | +9.88 |
| 0.25% | 150 | 8 | +16.36 | +23.86 | 62.5% | +0.069 | -22.24 | -4.83 |
触发日：2023-01-08, 2023-06-20, 2023-12-01, 2024-05-15, 2024-10-15, 2025-04-22, 2025-10-01, 2026-03-04
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +10.32 | +7.08 | 62.5% | +0.295 | -6.66 | +6.45 |
| 0.10% | 50 | 8 | +9.73 | +7.53 | 75.0% | +0.142 | -10.49 | +3.22 |
| 0.10% | 70 | 8 | +15.86 | +10.90 | 62.5% | +0.175 | -16.50 | +6.46 |
| 0.10% | 100 | 8 | +23.57 | +10.09 | 50.0% | +0.163 | -19.44 | +9.91 |
| 0.10% | 150 | 8 | +16.71 | +24.23 | 62.5% | +0.071 | -22.24 | -4.85 |
| 0.25% | 30 | 8 | +9.99 | +6.75 | 62.5% | +0.285 | -6.66 | +6.43 |
| 0.25% | 50 | 8 | +9.40 | +7.20 | 75.0% | +0.136 | -10.49 | +3.21 |
| 0.25% | 70 | 8 | +15.51 | +10.57 | 62.5% | +0.171 | -16.50 | +6.44 |
| 0.25% | 100 | 8 | +23.20 | +9.76 | 50.0% | +0.160 | -19.44 | +9.88 |
| 0.25% | 150 | 8 | +16.36 | +23.86 | 62.5% | +0.069 | -22.24 | -4.83 |
触发日：2023-01-08, 2023-06-20, 2023-11-24, 2024-05-15, 2024-10-14, 2025-04-22, 2025-10-01, 2026-03-04
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 8 | +11.72 | +9.41 | 62.5% | +0.333 | -6.66 | +7.86 |
| 0.10% | 50 | 8 | +10.22 | +10.43 | 75.0% | +0.151 | -9.02 | +3.71 |
| 0.10% | 70 | 8 | +14.51 | +10.90 | 62.5% | +0.160 | -16.50 | +5.11 |
| 0.10% | 100 | 8 | +22.46 | +10.09 | 50.0% | +0.157 | -19.44 | +8.80 |
| 0.10% | 150 | 8 | +17.91 | +23.00 | 62.5% | +0.075 | -22.24 | -3.65 |
| 0.25% | 30 | 8 | +11.39 | +9.09 | 62.5% | +0.323 | -6.66 | +7.83 |
| 0.25% | 50 | 8 | +9.89 | +10.10 | 75.0% | +0.145 | -9.02 | +3.70 |
| 0.25% | 70 | 8 | +14.17 | +10.57 | 62.5% | +0.156 | -16.50 | +5.10 |
| 0.25% | 100 | 8 | +22.09 | +9.76 | 50.0% | +0.154 | -19.44 | +8.78 |
| 0.25% | 150 | 8 | +17.56 | +22.63 | 62.5% | +0.073 | -22.24 | -3.64 |
触发日：2023-01-12, 2023-06-21, 2023-12-01, 2024-10-15, 2025-05-01, 2026-01-13
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 6 | +5.30 | +8.64 | 66.7% | +0.112 | -6.81 | +1.42 |
| 0.10% | 50 | 6 | +8.92 | +7.21 | 66.7% | +0.132 | -9.57 | +2.20 |
| 0.10% | 70 | 6 | +17.14 | +20.80 | 66.7% | +0.182 | -16.50 | +6.92 |
| 0.10% | 100 | 6 | +28.61 | +33.88 | 66.7% | +0.212 | -17.31 | +13.07 |
| 0.10% | 150 | 6 | +21.87 | +23.32 | 83.3% | +0.108 | -19.44 | -3.48 |
| 0.25% | 30 | 6 | +4.98 | +8.31 | 66.7% | +0.102 | -6.81 | +1.42 |
| 0.25% | 50 | 6 | +8.59 | +6.89 | 66.7% | +0.126 | -9.57 | +2.19 |
| 0.25% | 70 | 6 | +16.79 | +20.43 | 66.7% | +0.178 | -16.50 | +6.90 |
| 0.25% | 100 | 6 | +28.22 | +33.48 | 66.7% | +0.209 | -17.31 | +13.03 |
| 0.25% | 150 | 6 | +21.50 | +22.95 | 83.3% | +0.106 | -19.44 | -3.46 |
触发日：2023-01-13, 2023-06-20, 2024-06-03, 2025-02-23, 2026-05-02
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 5 | -3.47 | -9.39 | 40.0% | -0.131 | -13.14 | -6.71 |
| 0.10% | 50 | 5 | -4.03 | -4.37 | 40.0% | -0.096 | -20.71 | -9.73 |
| 0.10% | 70 | 5 | -0.01 | -2.29 | 20.0% | -0.025 | -20.71 | -8.60 |
| 0.10% | 100 | 5 | +1.40 | -4.74 | 40.0% | -0.006 | -20.71 | -11.56 |
| 0.10% | 150 | 5 | +18.00 | +23.13 | 100.0% | +0.107 | -20.71 | -3.27 |
| 0.25% | 30 | 5 | -3.76 | -9.66 | 40.0% | -0.141 | -13.14 | -6.69 |
| 0.25% | 50 | 5 | -4.32 | -4.65 | 40.0% | -0.102 | -20.71 | -9.70 |
| 0.25% | 70 | 5 | -0.31 | -2.58 | 20.0% | -0.030 | -20.71 | -8.57 |
| 0.25% | 100 | 5 | +1.09 | -5.02 | 40.0% | -0.009 | -20.71 | -11.53 |
| 0.25% | 150 | 5 | +17.64 | +22.76 | 100.0% | +0.105 | -20.71 | -3.26 |
触发日：2023-01-13, 2023-08-29, 2024-07-13, 2025-03-12, 2025-10-19
| 每边成本 | 天数 | n | 平均净收益% | 中位净收益% | 正收益占比 | 日均对数收益% | 中位回撤% | 同年基准超额pp |
|---|---|---|---|---|---|---|---|---|
| 0.10% | 30 | 5 | -1.74 | -0.51 | 40.0% | -0.069 | -12.77 | -6.02 |
| 0.10% | 50 | 5 | +1.76 | +1.97 | 60.0% | +0.022 | -12.77 | -4.99 |
| 0.10% | 70 | 5 | +16.66 | +27.46 | 80.0% | +0.195 | -18.89 | +7.06 |
| 0.10% | 100 | 5 | +22.55 | +23.20 | 80.0% | +0.181 | -18.89 | +8.62 |
| 0.10% | 150 | 5 | +29.50 | +38.90 | 80.0% | +0.142 | -18.89 | +8.16 |
| 0.25% | 30 | 5 | -2.03 | -0.80 | 20.0% | -0.079 | -12.77 | -6.00 |
| 0.25% | 50 | 5 | +1.46 | +1.67 | 60.0% | +0.016 | -12.77 | -4.98 |
| 0.25% | 70 | 5 | +16.31 | +27.08 | 80.0% | +0.190 | -18.89 | +7.04 |
| 0.25% | 100 | 5 | +22.18 | +22.83 | 80.0% | +0.178 | -18.89 | +8.60 |
| 0.25% | 150 | 5 | +29.11 | +38.48 | 80.0% | +0.140 | -18.89 | +8.14 |
BTC100.DAY 自报方法 · Sullivan等：规则筛选偏差 · Moskowitz等：多市场动量 · Liu/Tsyvinski：加密资产收益
研究源文件、数据快照、方案、全部结果与复现命令保存在仓库 research/ 及 research-sources.md。
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