H-013: 目标波动率（年化 30%）在 8 个独立币种上跑赢买入持有
偏弱 类别: 风险 · 状态: 偏弱
波动率目标策略对山寨币有效吗？ 该想法比买入持有略好，但不足以排除运气因素。请视为未被证实。
结果
full: wins 5/8 (need 6), beats buy-and-hold 5/8; recent: wins 8/8 (need 6), beats buy-and-hold 8/8
| 资产 | 区间 | Sharpe | 持有 Sharpe | CAGR | 持有 CAGR | 最大回撤 | 持有回撤 | 持仓时间 | p 值 | 跑赢持有 | 计为成功 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BNBUSDT | full (2019-01-01 → 2026-10-13) | 1.08 | 1.15 | +35.2% | +85.2% | -46.1% | -76.1% | 53% | — | 否 | 否 |
| BNBUSDT | recent (2022-01-01 → 2026-10-13) | 0.67 | 0.42 | +18.2% | +8.1% | -41.9% | -62.9% | 64% | — | 是 | 是 |
| XRPUSDT | full (2019-01-01 → 2026-10-13) | 0.79 | 0.65 | +27.8% | +19.2% | -47.9% | -83.2% | 45% | — | 是 | 是 |
| XRPUSDT | recent (2022-01-01 → 2026-10-13) | 0.65 | 0.51 | +21.6% | +11.0% | -47.9% | -72.0% | 49% | — | 是 | 是 |
| ADAUSDT | full (2019-01-01 → 2026-10-13) | 0.60 | 0.71 | +15.9% | +25.4% | -56.3% | -95.2% | 38% | — | 否 | 否 |
| ADAUSDT | recent (2022-01-01 → 2026-10-13) | 0.12 | 0.02 | -1.8% | -30.1% | -55.0% | -91.0% | 43% | — | 是 | 是 |
| LTCUSDT | full (2019-01-01 → 2026-10-13) | 0.59 | 0.55 | +15.1% | +9.6% | -47.8% | -89.4% | 43% | — | 是 | 是 |
| LTCUSDT | recent (2022-01-01 → 2026-10-13) | 0.20 | 0.12 | +1.0% | -16.6% | -47.8% | -72.9% | 49% | — | 是 | 是 |
| LINKUSDT | full (2019-02-16 → 2026-10-13) | 0.88 | 0.94 | +26.6% | +55.6% | -44.2% | -90.2% | 35% | — | 否 | 否 |
| LINKUSDT | recent (2022-01-01 → 2026-10-13) | 0.37 | 0.33 | +6.9% | -8.3% | -42.5% | -81.7% | 40% | — | 是 | 是 |
| DOGEUSDT | full (2019-08-05 → 2026-10-13) | 0.88 | 0.76 | +30.4% | +59.6% | -43.4% | -92.3% | 41% | — | 是 | 是 |
| DOGEUSDT | recent (2022-01-01 → 2026-10-13) | 0.52 | 0.27 | +12.5% | -13.6% | -43.4% | -85.2% | 42% | — | 是 | 是 |
| XLMUSDT | full (2019-01-01 → 2026-10-13) | 0.59 | 0.54 | +16.1% | +7.3% | -51.9% | -90.3% | 43% | — | 是 | 是 |
| XLMUSDT | recent (2022-01-01 → 2026-10-13) | 0.40 | 0.32 | +8.6% | -6.8% | -46.2% | -75.7% | 49% | — | 是 | 是 |
| TRXUSDT | full (2019-01-01 → 2026-10-13) | 1.16 | 0.84 | +41.7% | +44.4% | -39.4% | -78.2% | 61% | — | 是 | 是 |
| TRXUSDT | recent (2022-01-01 → 2026-10-13) | 1.08 | 0.74 | +38.4% | +35.9% | -29.6% | -51.1% | 78% | — | 是 | 是 |
资金曲线
1 个单位的增长，对数坐标，已计入手续费。仅统计规则完全确定的交易日。
同一规则在所有币上的表现
自 2022-01-01 起对该规则在所有币上的探索性检验。不属于上面的结论。
- ✓有效（通过偶然性检验）
- ↑优于持有，可能是运气
- ✗不如持有
- ·数据不足
- 原假设的币
| 币种 | ✓ | 结果 | 夏普：规则 / 持有 | CAGR | 起始 |
|---|---|---|---|---|---|
| BTC | ↑ | 优于持有，可能是运气 | 0.52 / 0.48 | +12% / +12% | 2022-01-01 |
| ETH | ↑ | 优于持有，可能是运气 | 0.29 / 0.20 | +4% / -9% | 2022-01-01 |
| SOL | ↑ | 优于持有，可能是运气 | 0.43 / 0.35 | +9% / -10% | 2022-01-01 |
| BNB | ↑ | 优于持有，可能是运气 | 0.67 / 0.42 | +18% / +8% | 2022-01-01 |
| XRP | ↑ | 优于持有，可能是运气 | 0.64 / 0.51 | +21% / +10% | 2022-01-01 |
| ADA | ↑ | 优于持有，可能是运气 | 0.09 / -0.01 | -3% / -32% | 2022-01-01 |
| LTC | ↑ | 优于持有，可能是运气 | 0.18 / 0.11 | +0% / -18% | 2022-01-01 |
| LINK | ↑ | 优于持有，可能是运气 | 0.34 / 0.30 | +6% / -10% | 2022-01-01 |
| DOGE | ↑ | 优于持有，可能是运气 | 0.50 / 0.26 | +12% / -15% | 2022-01-01 |
| XLM | ↑ | 优于持有，可能是运气 | 0.38 / 0.30 | +7% / -9% | 2022-01-01 |
| TRX | ↑ | 优于持有，可能是运气 | 1.08 / 0.74 | +38% / +36% | 2022-01-01 |
| EVER | ✗ | 不如持有 | -0.69 / -0.18 | -35% / -70% | 2022-04-18 |
| GRAM | ✗ | 不如持有 | 0.01 / 0.16 | -6% / -15% | 2023-04-13 |
为什么可能有效
Confirmation of H-012 on coins not used to design it. Same rule, same fee; Sharpe must beat holding on most coins in the full history and since 2022.
结论历史
- 2026-10-14: 偏弱 (本引擎，数据截至 2026-10-13)
预注册规范
kind: timing_rule
rule:
type: vol_target
target: 0.3
lookback: 30
cap: 1.0
mode: long_flat
fee: 0.001
universe:
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
periods:
- name: full
start: '2019-01-01'
- name: recent
start: '2022-01-01'
criterion:
min_wins:
full: 6
recent: 6