H-035: BTC 7 日资金费率高于其 3 年 90 分位时做空各币，否则做多
未通过 类别: 套利 · 状态: 已否定
BTC 资金费率极端偏高预示加密货币下跌吗？ 该想法没有跑赢简单地买入并持有，已被否定。
结果
oos: wins 0/11 (need 1), beats buy-and-hold 0/11
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| BTCUSDT | oos (2022-01-06 → 2026-11-03) | 0.30 | 0.49 | +2.4% | +12.7% | -66.7% | -66.7% | 100% | 0.823 | 否 | 否 |
| ETHUSDT | oos (2022-01-06 → 2026-11-03) | 0.05 | 0.21 | -18.2% | -8.8% | -76.6% | -71.7% | 100% | 0.810 | 否 | 否 |
| SOLUSDT | oos (2022-01-06 → 2026-11-03) | 0.20 | 0.35 | -21.7% | -10.0% | -93.6% | -93.6% | 100% | 0.791 | 否 | 否 |
| BNBUSDT | oos (2022-01-06 → 2026-11-03) | 0.03 | 0.42 | -13.2% | +8.3% | -63.4% | -60.5% | 100% | 0.997 | 否 | 否 |
| XRPUSDT | oos (2022-01-06 → 2026-11-03) | -0.19 | 0.51 | -38.9% | +11.0% | -93.6% | -72.0% | 100% | 0.997 | 否 | 否 |
| ADAUSDT | oos (2022-01-06 → 2026-11-03) | -0.27 | -0.02 | -45.9% | -32.1% | -97.0% | -91.0% | 100% | 0.939 | 否 | 否 |
| LTCUSDT | oos (2022-01-06 → 2026-11-03) | -0.21 | 0.11 | -34.6% | -17.2% | -91.3% | -72.9% | 100% | 0.983 | 否 | 否 |
| LINKUSDT | oos (2022-01-06 → 2026-11-03) | -0.14 | 0.23 | -38.8% | -15.8% | -94.5% | -81.7% | 100% | 0.972 | 否 | 否 |
| DOGEUSDT | oos (2022-01-06 → 2026-11-03) | 0.09 | 0.26 | -26.5% | -14.4% | -85.8% | -85.2% | 100% | 0.862 | 否 | 否 |
| XLMUSDT | oos (2022-01-06 → 2026-11-03) | -0.44 | 0.29 | -54.9% | -9.7% | -98.2% | -74.8% | 100% | 0.991 | 否 | 否 |
| TRXUSDT | oos (2022-01-06 → 2026-11-03) | 0.34 | 0.75 | -30.6% | +36.7% | -97.1% | -51.1% | 100% | 0.989 | 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。
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 | ✗ | 不如持有 | 0.30 / 0.49 | +2% / +13% | 2022-01-06 |
| ETH | ✗ | 不如持有 | 0.04 / 0.21 | -18% / -9% | 2022-01-06 |
| SOL | ✗ | 不如持有 | 0.20 / 0.35 | -22% / -10% | 2022-01-06 |
| BNB | ✗ | 不如持有 | 0.02 / 0.42 | -13% / +8% | 2022-01-06 |
| XRP | ✗ | 不如持有 | -0.19 / 0.51 | -39% / +11% | 2022-01-06 |
| ADA | ✗ | 不如持有 | -0.28 / -0.02 | -46% / -32% | 2022-01-06 |
| LTC | ✗ | 不如持有 | -0.21 / 0.11 | -35% / -17% | 2022-01-06 |
| LINK | ✗ | 不如持有 | -0.14 / 0.23 | -39% / -16% | 2022-01-06 |
| DOGE | ✗ | 不如持有 | 0.09 / 0.26 | -27% / -14% | 2022-01-06 |
| XLM | ✗ | 不如持有 | -0.45 / 0.29 | -55% / -10% | 2022-01-06 |
| TRX | ✗ | 不如持有 | 0.34 / 0.75 | -31% / +37% | 2022-01-06 |
| EVER | ✗ | 不如持有 | -0.22 / -0.17 | -71% / -69% | 2022-03-19 |
| GRAM | ✗ | 不如持有 | -0.42 / 0.12 | -45% / -18% | 2023-03-14 |
为什么可能有效
Very high BTC funding means crowded longs paying shorts; such extremes may precede pullbacks as the premium mean-reverts. The model drafted it for BTC only (its rationale read high funding as short-side pressure); widened to every coin (rule 7) on 2026-11-04, before any test. The signal stays BTC's funding; Binance coins trade long/short at the futures taker fee.
结论历史
- 2026-11-04: 未通过 (本引擎，数据截至 2026-11-03)
预注册规范
kind: timing_rule
rule:
type: feature_vs_rolling_quantile
feature: funding_btc_7d
q: 0.9
long_when: not_above
lookback: 1095
min_periods: 730
lag: 1
mode: long_short
fee: 0.0005
universe:
- BTCUSDT
- ETHUSDT
- SOLUSDT
- BNBUSDT
- XRPUSDT
- ADAUSDT
- LTCUSDT
- LINKUSDT
- DOGEUSDT
- XLMUSDT
- TRXUSDT
periods:
- name: oos
start: '2022-01-01'
significance:
method: circular_shift
n: 2000
alpha: 0.0038
criterion:
min_wins:
oos: 1
require_significance: true