H-028: Um modelo diário estima a chance de um movimento maior que o normal melhor que a frequência base

Passou Tipo: previsão · Status: aprovada

Esta hipótese passou no teste pré-registrado. Isso é motivo para confirmação independente e trading simulado, não para operar com dinheiro real.

Um modelo diário consegue prever grandes movimentos cripto? A ideia atingiu a meta definida antes do teste. Merece uma verificação independente. Não é promessa de lucro.

Resultado

Os detalhes técnicos são gerados pelo motor e mostrados em inglês.

pooled Brier skill +0.0383 (p = 0.000, need p < 0.025); skill above zero on 13/13 coins

Sharpe: retorno por unidade de risco (maior é melhor). CAGR: crescimento anual médio. Drawdown máximo: pior queda a partir de um pico. p-valor: chance de o resultado ser sorte (menor é melhor). As colunas “Segurar” são comprar e segurar o mesmo ativo nos mesmos dias. Glossário

Ativo	Dias	Brier skill	p-valor	q (FDR)	Acertos
BTC	1760	+0.0172	0.001	0.001	56.3%
ETH	1760	+0.0282	0.001	0.001	56.4%
SOL	1760	+0.0246	0.001	0.001	57.3%
BNB	1760	+0.0300	0.001	0.001	58.1%
XRP	1760	+0.0406	0.001	0.001	57.5%
ADA	1760	+0.0439	0.001	0.001	57.6%
LTC	1760	+0.0152	0.001	0.001	56.4%
LINK	1760	+0.0372	0.001	0.001	57.8%
DOGE	1760	+0.0542	0.001	0.001	57.4%
XLM	1760	+0.0564	0.001	0.001	59.0%
TRX	1760	+0.0364	0.001	0.001	59.5%
EVER	1306	+0.0715	0.001	0.001	58.7%
GRAM	946	+0.0600	0.001	0.001	57.7%
∑	21612	+0.0383	0.001	—	57.7%

Calibração: previsão contra o que aconteceu

Previsão	Previsão ⌀	Aconteceu	Dias
10%–20%	18.6%	44.4%	9
20%–30%	27.1%	33.3%	615
30%–40%	36.1%	38.1%	4426
40%–50%	45.1%	43.8%	8013
50%–60%	54.4%	51.8%	5819
60%–70%	64.0%	62.2%	2079
70%–80%	73.9%	73.9%	547
80%–90%	83.6%	83.8%	99
90%–100%	92.8%	80.0%	5

Por que poderia funcionar

Same model and inputs as H-027, different question: the probability that the next day's absolute log move is larger than the coin's median absolute daily move over the past 365 days (measured up to D, so the base rate is near one half). Price direction is close to unpredictable, but the size of moves clusters in calm and nervous stretches, so this is where a model can show real skill; it would help size positions and avoid big losses, not make money by itself. 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). Passes on the same pooled Brier-skill test from 2022 on; the circular shift is conservative here, because rotated forecasts still overlap long volatility regimes. Shares alpha with H-027 (0.05 / 2).

Histórico de veredictos

2026-10-28: Passou (este motor, dados até 2026-10-26)

Especificação pré-registrada

kind: forecast
target: risk
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
periods:
- name: oos
  start: '2022-01-01'
significance:
  method: circular_shift
  n: 2000
  alpha: 0.025
criterion:
  metric: brier_skill
  pooled: true