H-031: 实盘：改进模型（每个币各自的水平、重新校准）对涨幅超过手续费的概率估计优于基础频率

— 类别: 预测 · 状态: 已注册

改进后的模型能实时预测加密货币方向吗？ 数据正在积累中。预注册的检验将在积累一年数据后于 2027-11-01 进行。

已收集前向数据：0/365 天（0.0%）。首次检验日期 2027-11-01。

结果

技术细节由引擎生成，以英文显示。

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

暂无引擎结果：该研究仅作记录保存，不会重新运行。

为什么可能有效

Asked for by F1DevBin after H-027 failed, and designed after seeing H-027's history result, so it is judged only on forecasts published from 2026-11-01 on, data nobody has seen. H-027's probabilities were biased and overconfident: one shared intercept ignored that Gate.io coins need a larger move to beat their costs (Brier skill -0.10 on EVER, -0.03 on GRAM), and where it said 53 % only 46 % happened. Two changes, nothing else: (1) a separate intercept per coin, ridge-penalised like the other weights; (2) Platt recalibration: a model trained on data up to a year before the month's cutoff scores that last year, a one-variable logistic regression maps those scores to outcomes, and the map is applied to the model trained on all data. Same inputs, coins, costs, monthly refits (frozen in datasets/forecast_models/YYYY-MM_v2.json), paper portfolio and scoring as H-029, published in the same daily log before 12:00 UTC (columns ending in _v2) and scored noon to noon. Expectation written before any result: the bias disappears and the skill moves to about zero; beating the base rate clearly is unlikely, because H-027's forecasts carried only a trace of information. Alpha: H-029 is locked at 0.025, so this direction test takes half of it, 0.0125.

结论历史

预注册规范

kind: forecast_live
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
  coin_intercepts: true
  calibration: platt_365
log_suffix: _v2
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
execution:
  time_utc: '12:00'
periods:
- name: forward
  start: '2026-11-01'
significance:
  method: circular_shift
  n: 2000
  alpha: 0.0125
criterion:
  metric: brier_skill
  pooled: true