策略 10已关闭

TradFi Tick Shadow (NQ → BTC)

after a strong NQ (Nasdaq) day, BTC catches up post-close

策略正文暂以英文显示，中文翻译进行中。

关键指标：

44 events / 180 days, follow rate 48% (random)

为何存在优势 / 假设: Crypto as a 'shadow' of equities: BTC should inherit NQ momentum at the tick horizon.
构造: NQ big day (|ret|>1%) → BTC catch-up post-close; desync filter.
测试数据: 44 events over 180 days.
结果: Follow rate 48% (random). Desync filter WR=40% (worse than random). Tick sell% post-close 47–53% — no directional flow.
验证: No edge on any slice.
根因: Crypto is not a 'shadow' of equities at the tick level — the correlation is macro-horizon only.
结论: Dead (tick version). A separate lag-flip version is a marginal backlog.
来源: scripts/research/tradfi_tick_shadow.py · archive/CASCADE_TICK_BARS_RESEARCH.md

想对你的策略做同样的检验吗？