H-026: 短期反转：持有昨天跌幅最大的 3 个币

未通过类别: 其他 · 状态: 已否定

买入昨天跌幅最大的币能赚钱吗？ 该想法没有跑赢简单地买入并持有，已被否定。

结果

技术细节由引擎生成，以英文显示。

since_2020: does not beat the equal-weight basket; since_2022: does not beat the equal-weight basket

Sharpe：单位风险的收益（越高越好）。CAGR：年均增长率。最大回撤：从峰值的最大跌幅。p 值：结果来自运气的概率（越低越好）。“持有”列为同一资产、同一时间段的买入持有结果。术语

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
PORTFOLIO	since_2020 (2020-01-01 → 2026-10-20)	0.17	1.13	-22.3%	+75.6%	-99.3%	-77.0%	100%	0.908	否	否
PORTFOLIO	since_2022 (2022-01-01 → 2026-10-20)	-0.82	0.41	-54.0%	+6.5%	-98.1%	-67.0%	100%	0.990	否	否

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。

资产与区间:

为什么可能有效

Proposed by ChatGPT (via F1DevBin) as its second experiment: after a sharp move relative to the other coins, part of it is given back over the next hours. Daily version (the proposal uses 1-6 hours). Known risk, also noted in the proposal: the effect may exist but be eaten by fees, since the basket changes almost every day.

结论历史

2026-10-21: 未通过 (本引擎，数据截至 2026-10-20)

预注册规范

kind: cross_section
signal:
  type: reversal
  lookbacks:
  - 1
select:
  top: 3
fee: 0.001
universe:
- BTCUSDT
- ETHUSDT
- SOLUSDT
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
periods:
- name: since_2020
  start: '2020-01-01'
- name: since_2022
  start: '2022-01-01'
significance:
  method: circular_shift
  n: 1000
  alpha: 0.0167
criterion:
  min_wins:
    since_2020: 1
    since_2022: 1
  require_significance: true