H-037: BTC 7 日资金费率高于其 3 年 90 分位时不持有 EVER 和 GRAM — H-035 的 Gate.io 线
未通过 类别: 套利 · 状态: 已否定
BTC 资金费率极端偏高能帮助 EVER 和 GRAM 择时吗？ 该想法没有跑赢简单地买入并持有，已被否定。
结果
gate: wins 0/2 (need 1), beats buy-and-hold 0/2
| 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| EVERUSDT | gate (2023-03-13 → 2026-11-03) | -0.20 | -0.16 | -71.5% | -72.1% | -99.2% | -99.2% | 95% | 0.646 | 否 | 否 |
| GRAMUSDT | gate (2023-03-14 → 2026-11-03) | -0.17 | 0.12 | -31.1% | -17.8% | -88.4% | -85.8% | 95% | 0.984 | 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 | 0.40 / 0.49 | +8% / +13% | 2022-01-06 |
| ETH | ✗ | 不如持有 | 0.13 / 0.21 | -13% / -9% | 2022-01-06 |
| SOL | ✗ | 不如持有 | 0.28 / 0.35 | -15% / -10% | 2022-01-06 |
| BNB | ✗ | 不如持有 | 0.23 / 0.42 | -2% / +8% | 2022-01-06 |
| XRP | ✗ | 不如持有 | 0.17 / 0.51 | -14% / +11% | 2022-01-06 |
| ADA | ✗ | 不如持有 | -0.15 / -0.02 | -38% / -32% | 2022-01-06 |
| LTC | ✗ | 不如持有 | -0.05 / 0.11 | -24% / -17% | 2022-01-06 |
| LINK | ✗ | 不如持有 | 0.05 / 0.23 | -26% / -16% | 2022-01-06 |
| DOGE | ✗ | 不如持有 | 0.18 / 0.26 | -18% / -14% | 2022-01-06 |
| XLM | ✗ | 不如持有 | -0.09 / 0.29 | -29% / -10% | 2022-01-06 |
| TRX | ↑ | 优于持有，可能是运气 | 0.79 / 0.75 | +29% / +37% | 2022-01-06 |
| EVER | ✗ | 不如持有 | -0.20 / -0.17 | -69% / -69% | 2022-03-19 |
| GRAM | ✗ | 不如持有 | -0.16 / 0.12 | -31% / -18% | 2023-03-14 |
为什么可能有效
Gate.io line of H-035 (rule 7: the Gate coins are tested on their own line, with Gate's fee 0.2 % and slippage 0.2 % per side, from 2023-03-13 when all of them have prices; long/flat, as Gate spot cannot short). 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_flat
fee: 0.004
universe:
- EVERUSDT
- GRAMUSDT
periods:
- name: gate
start: '2023-03-13'
significance:
method: circular_shift
n: 2000
alpha: 0.0038
criterion:
min_wins:
gate: 1
require_significance: true