Scorecard7 / 7
每个策略都要通过七项检验：CPCV（purged + embargo）、Deflated Sharpe（按 n_trials 校正）、PBO via CSCV、MinBTL、factor-alpha、多市况与 walk-forward。通过阈值约为 7 项中的 6–7 项。我们始终报告试验次数：“好的回测” ≠ 发现。
档案内容
14 个已关闭策略公开部分是我们检验并如实关闭的策略。这是方法论的展示：一个严谨的“零结果”是什么样子，以及为何大多数想法无法存活。
01Ride the Whale — detecting accumulation in the book detect a large trader building a position and step in ahead of them 164,902 events → MFE/MAE ≈ 1.0 (pure noise) 已关闭 02Informed Flow Detection volume passes without moving price → someone is absorbing/accumulating → price follows them 2,090 signals → MFE/MAE = 0.99 across all types 已关闭 037 Funding Exploits (on majors) systematically sweep 7 mechanics around funding/settlement looking for a structural edge 0 / 7 已关闭 04Spread Trading — Calendar / Basis / Cross-Asset trade perp-vs-quarterly spreads, the basis premium, and cointegrated pairs MMs hold the spread <1 bps; no pair is stably cointegrated 已关闭 05Astrology / Mercury Retrograde vs BTC lunar phases, Mercury retrograde and zodiac transits predict BTC zero edge across all 12 signs 已关闭 06Icebreaker — breakout momentum momentum at the breakout-bar close (mom-k0) selects continuation of the move 7/7 scorecard → turned out to be a 1-bar lookahead artifact (causally 3/7, CPCV −2.48) 已关闭 07Arbitrage (6 tracks) classic arbitrage: cross-exchange, CEX-DEX, on-chain pools, etc. 6 tracks tested — all dead 已关闭 08CVD / buy-sell classification (TIB·VIB·DIB·CVD) cumulative volume delta and buy/sell imbalance predict direction 461 signals, all |corr|<0.05, ML acc 47.5% (worse than random) 已关闭 09Cascade Tick Bars tick/imbalance bars catch the start of a liquidation cascade for a directional entry 3 days: WR 100% (false) → 90 days: WR 47%, net −0.10%/trade, Sharpe −3.4 已关闭 10TradFi Tick Shadow (NQ → BTC) after a strong NQ (Nasdaq) day, BTC catches up post-close 44 events / 180 days, follow rate 48% (random) 已关闭 11Signal Denoising (Wavelet + Kalman) denoising price (wavelet/Kalman) improves the directional entry standalone 0/8 validation (Kalman velocity is useful as a tool) 已关闭 12Denoised Big Move catch large moves on a denoised signal 0/8 validation — long-only beta on a bull market 已关闭 13Equity Market / PEAD / Micro-Cap port equity-market edges (post-earnings drift, microcaps) onto our stack PEAD ~0.1%/trade (negligible); US 8-K: costs = edge 已关闭 14News Event Trading (Strategy/Saylor BTC sale) trade the predictable reaction to major news events (BTC sales, etc.) N=2 in all history — not systematizable 已关闭
有效策略（LIVE/paper）在私有区，按需开放访问。
服务：验证你的策略
发来规则/回测——我们用同一套 scorecard（DSR · PBO · CPCV · MinBTL · 多市况 · walk-forward）配合真实成本模型与逐笔成交交叉检验来运行，并给出如实结论：有效 / 假象 / 有条件——附带数字与注意事项。
- 你将获得
- 一份 de Prado 格式报告：scorecard、成本/容量、失败模式、结论
- 需要你提供
- 规则说明 + 数据/回测（或其访问权限）
- 形式
- 一份私有报告（与本档案相同，但针对你的策略）
你的请求将发送到我们的 Telegram。