H-027: Ежедневная модель оценивает шанс роста каждой монеты выше комиссии точнее базовой частоты
Не прошла Тип: прогноз · Статус: отклонена
Может ли модель предсказать направление цены криптовалют? Идея не обыграла простую покупку монеты с удержанием. Она отклонена.
Результат
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
| Монета | Дней | Brier skill | p-value | q (FDR) | Угадано | Sharpe | Sharpe удержания | Sharpe постоянной доли | В рынке |
|---|---|---|---|---|---|---|---|---|---|
| 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% | — | — | — | — |
Калибровка: прогноз и что сбылось
| Прогноз | Прогноз ⌀ | Сбылось | Дней |
|---|---|---|---|
| 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 |
Кривые капитала
Рост 1 единицы, логарифмическая шкала, с комиссиями. Учитываются только дни, когда правило полностью определено.
Почему это могло бы работать
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).
История вердиктов
- 2026-10-28: Не прошла (этот движок, данные по 2026-10-26)
Зарегистрированная спецификация
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