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上半部分是冻结前的真实 PIT 历史回测；下半部分是上线后的前瞻 paper 账户。两段净值不拼接。
历史候选包含后来退市或失败的合约；每次只按当时可见的币龄、过去30日成交额、价格和 funding 选池。
多头 gross 1.0、空头 gross 0.6，历史实现 BTC beta 约 +0.31；不能把它当纯防守腿。
没有盘口冲击、清算路径和交易所故障，因此 48% CAGR 是研究结果，不是可直接外推的实盘承诺。
| 流动性排名 | Beta排名 | 币种 | 持仓 | 30日平均成交额 | Beta | 上行 Beta | 目标权重 |
|---|---|---|---|---|---|---|---|
| #1 | #2 | BTC | 做多 | $8.57B | 0.340 | 0.249 | +20.0% |
| #2 | #11 | ETH | 池内 | $6.86B | 0.540 | 0.441 | — |
| #3 | #14 | SOL | 池内 | $1.22B | 0.598 | 0.404 | — |
| #4 | #1 | XAU | 做多 | $1.07B | 0.220 | 0.254 | +20.0% |
| #5 | #6 | XAG | 池内 | $650.6M | 0.445 | 0.433 | — |
| #6 | #23 | ZEC | 做空 | $510.5M | 1.300 | 1.193 | -8.6% |
| #7 | #27 | BANK | 池内 | $501.0M | 1.897 | 1.494 | — |
| #8 | #21 | HYPE | 做空 | $484.2M | 0.911 | 0.506 | -8.6% |
| #9 | #8 | XRP | 池内 | $431.8M | 0.477 | 0.396 | — |
| #10 | #30 | LAB | 池内 | $405.0M | 3.514 | 4.301 | — |
| #11 | #28 | AKE | 池内 | $260.8M | 2.980 | 5.554 | — |
| #12 | #7 | DOGE | 池内 | $259.1M | 0.460 | 0.357 | — |
| #13 | #24 | DEXE | 池内 | $228.2M | 1.341 | 1.727 | — |
| #14 | #4 | BNB | 做多 | $209.5M | 0.375 | 0.291 | +20.0% |
| #15 | #26 | EVAA | 池内 | $165.8M | 1.524 | 2.100 | — |
| #16 | #15 | 1000PEPE | 池内 | $153.5M | 0.608 | 0.296 | — |
| #17 | #18 | ADA | 做空 | $149.2M | 0.772 | 0.611 | -8.6% |
| #18 | #19 | WLD | 做空 | $144.8M | 0.782 | 0.555 | -8.6% |
| #19 | #3 | INTC | 做多 | $127.6M | 0.369 | 0.338 | +20.0% |
| #20 | #20 | NEAR | 做空 | $115.1M | 0.849 | 0.755 | -8.6% |
| #21 | #17 | SUI | 做空 | $97.4M | 0.672 | 0.267 | -8.6% |
| #22 | #29 | ESPORTS | 池内 | $97.2M | 3.316 | 5.396 | — |
| #23 | #25 | TLM | 池内 | $91.8M | 1.405 | 0.729 | — |
| #24 | #22 | VANRY | 做空 | $90.4M | 1.058 | 0.766 | -8.6% |
| #25 | #9 | AAVE | 池内 | $82.5M | 0.488 | 0.123 | — |
| #26 | #10 | UNI | 池内 | $76.6M | 0.525 | 0.291 | — |
| #27 | #13 | LINK | 池内 | $74.6M | 0.594 | 0.434 | — |
| #28 | #16 | RIF | 池内 | $72.5M | 0.659 | -0.961 | — |
| #29 | #5 | COTI | 做多 | $72.5M | 0.421 | 0.197 | +20.0% |
| #30 | #12 | BCH | 池内 | $71.0M | 0.562 | 0.500 | — |
| 四袖设置 | 全样本 CAGR | Sharpe | 最大回撤 | 2025+ CAGR | 2025+ Sharpe | 2025+ 回撤 |
|---|---|---|---|---|---|---|
| 90日币龄 · 5bp | +47.8% | 1.17 | -41.5% | +14.9% | 0.59 | -40.5% |
| 180日币龄 · 5bp | +50.9% | 1.26 | -41.4% | +31.1% | 1.04 | -33.2% |
| 冻结版：180日 · 20bp · BAB v2 | +47.0% | 1.19 | -42.4% | +27.6% | 0.95 | -34.2% |
| 单一锚点 | 全样本 CAGR | Sharpe | 最大回撤 | 2025+ CAGR | 2025+ Sharpe | 2025+ 回撤 |
|---|---|---|---|---|---|---|
| 每月1日 | +60.3% | 1.23 | -50.4% | +11.2% | 0.46 | -50.4% |
| 每月8日 | +37.8% | 0.93 | -48.2% | +32.5% | 0.88 | -29.9% |
| 每月15日 | +47.9% | 1.12 | -43.6% | +1.7% | 0.24 | -43.6% |
| 每月22日 | +38.8% | 0.93 | -50.4% | +40.5% | 1.03 | -48.5% |
| 方向 | 币种 | 当前权重 | 目标权重 | Beta / 上行Beta | 入场 / 最新 | 入场后 |
|---|---|---|---|---|---|---|
| 多 | BTC | +19.1% | +20.0% | 0.42 / 0.47 | 84829.6000 / 77962.6000 | -8.10% |
| 多 | BNB | +18.7% | +20.0% | 0.37 / 0.35 | 772.1500 / 697.9600 | -9.61% |
| 多 | ETH | +17.3% | +20.0% | 0.56 / 0.69 | 2705.0600 / 2252.3400 | -16.74% |
| 多 | SOL | +16.8% | +20.0% | 0.60 / 0.60 | 118.3400 / 95.6200 | -19.20% |
| 多 | LTC | +16.7% | +20.0% | 0.57 / 0.63 | 68.0600 / 54.9200 | -19.31% |
| 空 | ENA | -6.4% | -8.6% | 1.19 / 1.04 | 0.2430 / 0.1754 | -27.84% |
| 空 | SUI | -6.6% | -8.6% | 0.99 / 0.91 | 1.1767 / 0.8693 | -26.12% |
| 空 | TRUMP | -6.7% | -8.6% | 0.99 / 0.83 | 2.0570 / 1.5540 | -24.45% |
| 空 | ONDO | -6.8% | -8.6% | 0.99 / 0.90 | 0.4967 / 0.3803 | -23.43% |
| 空 | ARB | -6.9% | -8.6% | 1.29 / 1.25 | 0.1997 / 0.1542 | -22.79% |
| 空 | ZEC | -8.1% | -8.6% | 1.04 / 0.85 | 1335.4500 / 1222.9200 | -8.43% |
| 空 | 1000PEPE | -9.1% | -8.6% | 1.19 / 1.22 | 0.0044 / 0.0046 | +2.74% |
| 流动性排名 | Beta排名 | 币种 | 选择 | 30日平均成交额 | Beta | 上行 Beta | 目标权重 |
|---|---|---|---|---|---|---|---|
| #1 | #2 | BTC | 做多 | $11.45B | 0.421 | 0.474 | +20.0% |
| #2 | #3 | ETH | 做多 | $9.01B | 0.564 | 0.687 | +20.0% |
| #3 | #23 | ZEC | 做空 | $2.41B | 1.036 | 0.854 | -8.6% |
| #4 | #5 | SOL | 做多 | $2.10B | 0.602 | 0.598 | +20.0% |
| #5 | #10 | XRP | 池内 | $1.27B | 0.777 | 0.847 | — |
| #6 | #8 | HYPE | 池内 | $708.9M | 0.743 | 0.598 | — |
| #7 | #17 | NEAR | 池内 | $575.5M | 0.900 | 0.891 | — |
| #8 | #11 | DOGE | 池内 | $567.7M | 0.780 | 0.780 | — |
| #9 | #18 | UNI | 池内 | $448.2M | 0.910 | 0.851 | — |
| #10 | #1 | BNB | 做多 | $410.1M | 0.369 | 0.354 | +20.0% |
| #11 | #22 | SUI | 做空 | $404.8M | 0.994 | 0.910 | -8.6% |
| #12 | #27 | LSK | 池内 | $335.4M | 1.498 | 2.329 | — |
| #13 | #25 | ENA | 做空 | $321.3M | 1.194 | 1.037 | -8.6% |
| #14 | #24 | 1000PEPE | 做空 | $304.7M | 1.192 | 1.215 | -8.6% |
| #15 | #13 | QNT | 池内 | $275.2M | 0.781 | 0.202 | — |
| #16 | #30 | AKE | 池内 | $261.6M | 3.431 | 5.348 | — |
| #17 | #26 | ARB | 做空 | $261.0M | 1.292 | 1.249 | -8.6% |
| #18 | #19 | WLD | 池内 | $237.5M | 0.966 | 0.806 | — |
| #19 | #12 | PUMP | 池内 | $219.4M | 0.781 | 0.225 | — |
| #20 | #6 | LINK | 池内 | $217.4M | 0.626 | 0.705 | — |
| #21 | #15 | ADA | 池内 | $215.7M | 0.865 | 0.881 | — |
| #22 | #9 | TAO | 池内 | $199.6M | 0.776 | 0.611 | — |
| #23 | #7 | AVAX | 池内 | $192.3M | 0.640 | 0.377 | — |
| #24 | #29 | USELESS | 池内 | $189.2M | 1.999 | 2.009 | — |
| #25 | #14 | BCH | 池内 | $170.2M | 0.796 | 0.873 | — |
| #26 | #21 | ONDO | 做空 | $169.6M | 0.993 | 0.901 | -8.6% |
| #27 | #16 | FIL | 池内 | $157.2M | 0.899 | 0.626 | — |
| #28 | #28 | 龙虾 | 池内 | $146.9M | 1.606 | 1.310 | — |
| #29 | #20 | TRUMP | 做空 | $146.4M | 0.993 | 0.826 | -8.6% |
| #30 | #4 | LTC | 做多 | $140.2M | 0.574 | 0.625 | +20.0% |