H-027: Un modelo diario da la probabilidad de que cada moneda suba más que las comisiones mejor que su frecuencia base

No supera Tipo: previsión · Estado: rechazada

¿Puede un modelo diario predecir la dirección de las cripto? La idea no superó a simplemente comprar la moneda y mantenerla. Queda rechazada.

Resultado

Los detalles técnicos los genera el motor y se muestran en inglés.

pooled Brier skill -0.0089 (p = 0.012, need p < 0.025); skill above zero on 5/13 coins; paper portfolio beats holding on 4/13 and the constant share on 4/13

Sharpe: rentabilidad por unidad de riesgo (más es mejor). CAGR: crecimiento anual medio. Caída máxima: la peor caída desde un pico. p-valor: probabilidad de que el resultado sea suerte (menos es mejor). Las columnas “Mantener” son comprar y mantener el mismo activo en los mismos días. Glosario

Activo	Días	Brier skill	p-valor	q (FDR)	Aciertos	Sharpe	Sharpe mantener	Sharpe de la parte constante	En mercado
BTC	1760	-0.0074	0.219	0.317	52.2%	0.40	0.47	0.47	48%
ETH	1760	-0.0023	0.366	0.476	51.0%	0.16	0.20	0.20	49%
SOL	1760	-0.0117	0.505	0.597	51.2%	0.22	0.34	0.34	49%
BNB	1760	+0.0042	0.022	0.049	51.2%	0.45	0.41	0.41	48%
XRP	1760	+0.0028	0.003	0.021	54.1%	0.50	0.50	0.50	49%
ADA	1760	-0.0042	0.095	0.177	53.9%	-0.06	-0.03	-0.03	49%
LTC	1760	+0.0008	0.015	0.040	52.6%	0.13	0.10	0.10	49%
LINK	1760	-0.0119	0.680	0.680	49.8%	0.27	0.29	0.29	48%
DOGE	1760	-0.0009	0.004	0.021	53.5%	0.20	0.25	0.25	49%
XLM	1760	+0.0031	0.006	0.021	53.3%	0.29	0.29	0.29	49%
TRX	1760	+0.0034	0.005	0.021	53.8%	0.81	0.74	0.74	48%
EVER	1306	-0.1021	0.676	0.680	54.7%	-0.06	-0.11	-0.11	49%
GRAM	946	-0.0314	0.161	0.261	57.7%	-0.46	-0.35	-0.35	47%
∑	21612	-0.0089	0.012	—	52.8%	—	—	—	—

Calibración: previsión frente a lo ocurrido

Previsión	Previsión ⌀	Ocurrió	Días
20%–30%	26.7%	33.3%	15
30%–40%	37.7%	44.4%	820
40%–50%	46.0%	44.4%	13847
50%–60%	53.2%	45.9%	6447
60%–70%	63.3%	58.7%	455
70%–80%	72.9%	57.1%	28

Curvas de capital

Crecimiento de 1 unidad, escala logarítmica, con comisiones. Solo cuentan los días en que la regla está plenamente definida.

Activo y periodo:

Por qué podría funcionar

Idea by F1DevBin: an honest service could publish a daily buy/sell view with a confidence level for every coin and keep score in public. Rephrased as a forecast: every day, for every coin, the probability that the next day's return beats the round-trip cost. One logistic regression shared by all 13 coins. Inputs at the close of day D: log returns over 1, 3, 7 and 30 days, distance from the 50- and 200-day averages, 7- and 30-day volatility, Bitcoin's 1- and 7-day returns, and, lagged one day for publication delay, BTC funding (7-day mean), Fear & Greed, 30-day USDT+USDC supply growth and 7-day BTC net exchange flow. Every input is a rolling 365-day z-score of its own past (min. 180 days, clipped at ±5), so coins with very different volatility share one model. The model is refitted on the first day of every month on decisions whose outcome was already known (up to two days before), L2 = 1. Costs: 0.1 % per side on Binance, 0.4 % per side on Gate.io coins (0.2 % fee + 0.2 % slippage). It passes only if, pooled over all coins from 2022 on, its probabilities beat each coin's base rate in the training window (Brier skill above zero) by more than rotating the forecasts in time does (one shift for all coins, 2000 shifts). Per-coin results are exploratory (Benjamini-Hochberg). Our earlier results (no rule beat luck on any of 156 rule x coin pairs; minute-level direction, H-001/H-002, failed) make a pass unlikely. A paper portfolio holds a share of the coin equal to the probability, trading only when the share moves by 10 points or more; it is reported against holding and against a constant share equal to its own average (timing skill would beat the constant share). Shares alpha with H-028 (0.05 / 2).

Historial de veredictos

2026-10-28: No supera (este motor, datos hasta 2026-10-26)

Especificación prerregistrada

kind: forecast
target: direction
model:
  type: pooled_logit
  features:
  - r1
  - r3
  - r7
  - r30
  - d50
  - d200
  - v7
  - v30
  - btc_r1
  - btc_r7
  - funding
  - fear_greed
  - stable30
  - flow7
  zscore_window: 365
  zscore_min_periods: 180
  clip: 5
  l2: 1.0
  refit: monthly
  external_lag: 1
  ffill_limit: 3
universe:
- BTCUSDT
- ETHUSDT
- SOLUSDT
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
- EVERUSDT
- GRAMUSDT
costs:
  default: 0.001
  EVERUSDT: 0.004
  GRAMUSDT: 0.004
portfolio:
  weight: probability
  band: 0.1
periods:
- name: oos
  start: '2022-01-01'
significance:
  method: circular_shift
  n: 2000
  alpha: 0.025
criterion:
  metric: brier_skill
  pooled: true