Mean Reversion역추세
Token Unlock Systematic Short토큰 언락 시스템 숏
Event-study short around scheduled vesting unlocks. Entry D-N, cover D+M. Only events where unlock size >= threshold % of circulating supply.스케줄된 베스팅 언락 전후의 이벤트 스터디 숏. 진입 D-N, 청산 D+M. 언락 물량이 유통량의 임계치 이상인 이벤트만.
REJECTEDabn-return basis (best by total_abn_pnl): avg_abn -0.64%, total_abn -$3.1k, top5 contribution 186%. Beta-stripped EV is negative; alpha is concentrated in 5 events on a 9-symbol cohort.abn 기준 best: avg_abn -0.64%, total_abn -$3.1k, top5 기여 186%. 베타 빼면 음수, alpha가 5개 이벤트에 집중. 9개 symbol cohort라 분산 X.
Headline (best params)핵심 지표 (최적 파라미터)
n events이벤트 수 98
win rate승률 65.31%
win rate (abn)승률 (초과) 62.24%
avg abn ret평균 초과수익 -0.64%
payoff페이오프 0.64
sharpe샤프 1.30
max dd최대 낙폭 -13.45%
fee drag수수료 드래그 10.49%
Honest read솔직한 해석
Raw short on unlock day delivers 65.3% WR and +2.0% avg. But abnormal return vs equal-weight alt basket is -0.6% — signal does not beat shorting a random alt over the same window in most configs. WR is inflated by the alt bear of 2024-26.언락 전후 숏은 승률 65.3%, 평균 +2.0%. 하지만 alt 동일가중 바스켓 대비 초과수익 -0.6% — 대부분 파라미터에서 임의의 alt 숏보다 나을 게 없음. 2024-26 alt 베어장이 승률을 부풀림.
Best param set (by abn pnl)최적 파라미터 (abn pnl 기준)
min pct circ 0.5%
entry lead D-14
exit lag D+3
maker ratio 0.90
n events 98
avg net +2.00%
avg abn -0.64%
net pnl $9824
Param sweep파라미터 스윕
| min% | lead | lag | mr | n | wr승률 | wr abn승률(초과) | avg net평균 net | avg abn평균 abn | sharpe | mdd | net $ |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0.5 | 14 | 3 | 0.90 | 98 | 65% | 62% | +2.00% | -0.64% | 1.30 | -13.4% | +9824 |
| 0.5 | 14 | 3 | 0.70 | 98 | 65% | 62% | +1.99% | -0.65% | 1.30 | -13.5% | +9766 |
| 2.0 | 14 | 7 | 0.90 | 14 | 57% | 50% | +2.27% | -4.99% | 0.53 | -4.6% | +1590 |
| 2.0 | 14 | 7 | 0.70 | 14 | 57% | 50% | +2.26% | -5.01% | 0.52 | -4.6% | +1582 |
| 0.5 | 7 | 3 | 0.90 | 97 | 62% | 61% | +2.22% | -0.90% | 1.59 | -8.6% | +10779 |
| 0.5 | 7 | 3 | 0.70 | 97 | 62% | 61% | +2.21% | -0.92% | 1.58 | -8.6% | +10720 |
| 1.0 | 14 | 7 | 0.90 | 56 | 54% | 52% | -2.18% | -1.95% | -0.86 | -17.9% | -6093 |
| 1.0 | 14 | 7 | 0.70 | 56 | 54% | 52% | -2.19% | -1.96% | -0.87 | -17.9% | -6127 |
| 0.5 | 7 | 7 | 0.90 | 97 | 57% | 52% | +0.77% | -1.15% | 0.61 | -13.4% | +3715 |
| 2.0 | 14 | 3 | 0.90 | 14 | 79% | 50% | -1.71% | -8.00% | -1.23 | -6.1% | -1196 |
| 2.0 | 14 | 3 | 0.70 | 14 | 79% | 50% | -1.72% | -8.01% | -1.23 | -6.1% | -1204 |
| 0.5 | 7 | 7 | 0.70 | 97 | 57% | 52% | +0.75% | -1.16% | 0.60 | -13.4% | +3657 |
| 0.5 | 14 | 7 | 0.90 | 98 | 58% | 55% | +0.15% | -1.33% | 0.29 | -22.0% | +711 |
| 0.5 | 14 | 7 | 0.70 | 98 | 58% | 55% | +0.13% | -1.35% | 0.28 | -22.0% | +652 |
| 1.0 | 7 | 7 | 0.90 | 56 | 50% | 50% | -1.25% | -2.37% | -0.80 | -12.8% | -3496 |
| 1.0 | 7 | 7 | 0.70 | 56 | 50% | 50% | -1.26% | -2.39% | -0.81 | -12.9% | -3529 |
| 1.0 | 14 | 3 | 0.90 | 56 | 63% | 59% | -1.41% | -2.39% | -0.61 | -14.7% | -3943 |
| 1.0 | 14 | 3 | 0.70 | 56 | 63% | 59% | -1.42% | -2.40% | -0.62 | -14.7% | -3977 |
| 2.0 | 7 | 7 | 0.90 | 14 | 64% | 50% | -1.66% | -9.84% | -1.74 | -4.4% | -1162 |
| 2.0 | 7 | 7 | 0.70 | 14 | 64% | 50% | -1.67% | -9.85% | -1.74 | -4.4% | -1171 |
| 2.0 | 3 | 7 | 0.90 | 14 | 43% | 43% | -7.16% | -11.14% | -6.86 | -6.2% | -5012 |
| 2.0 | 3 | 7 | 0.70 | 14 | 43% | 43% | -7.17% | -11.15% | -6.86 | -6.2% | -5020 |
| 2.0 | 7 | 3 | 0.90 | 14 | 64% | 50% | -6.52% | -13.34% | -3.58 | -7.6% | -4566 |
| 2.0 | 7 | 3 | 0.70 | 14 | 64% | 50% | -6.54% | -13.35% | -3.59 | -7.6% | -4575 |
| 1.0 | 7 | 3 | 0.90 | 56 | 54% | 57% | -1.07% | -3.35% | -0.75 | -9.1% | -2986 |
| 1.0 | 7 | 3 | 0.70 | 56 | 54% | 57% | -1.08% | -3.36% | -0.75 | -9.1% | -3019 |
| 2.0 | 3 | 3 | 0.90 | 14 | 36% | 29% | -11.78% | -14.23% | -9.90 | -9.4% | -8243 |
| 2.0 | 3 | 3 | 0.70 | 14 | 36% | 29% | -11.79% | -14.24% | -9.91 | -9.4% | -8252 |
| 1.0 | 3 | 7 | 0.90 | 56 | 46% | 50% | -1.65% | -3.80% | -1.32 | -10.1% | -4613 |
| 1.0 | 3 | 7 | 0.70 | 56 | 46% | 50% | -1.66% | -3.81% | -1.34 | -10.1% | -4647 |
| 0.5 | 3 | 3 | 0.90 | 97 | 61% | 52% | +1.03% | -2.30% | 0.97 | -7.4% | +4997 |
| 0.5 | 3 | 3 | 0.70 | 97 | 61% | 52% | +1.02% | -2.31% | 0.95 | -7.4% | +4939 |
| 1.0 | 3 | 3 | 0.90 | 56 | 55% | 48% | -1.52% | -4.38% | -1.40 | -7.2% | -4267 |
| 1.0 | 3 | 3 | 0.70 | 56 | 55% | 48% | -1.54% | -4.39% | -1.41 | -7.2% | -4301 |
| 0.5 | 3 | 7 | 0.90 | 97 | 53% | 52% | -0.51% | -2.99% | -0.32 | -6.7% | -2492 |
| 0.5 | 3 | 7 | 0.70 | 97 | 53% | 52% | -0.53% | -3.01% | -0.33 | -6.7% | -2550 |
Per-symbol attribution (best params)심볼별 기여도 (최적 파라미터)
| symbol심볼 | n events이벤트 수 | avg net평균 net | avg abn평균 abn | net pnl $순손익 $ |
|---|---|---|---|---|
| ENA | 26 | +4.84% | -0.38% | +6294 |
| STRK | 25 | +4.77% | +2.34% | +5960 |
| ARB | 26 | +3.73% | +1.68% | +4855 |
| MON | 1 | +20.61% | -3.28% | +1031 |
| PENGU | 1 | +2.80% | -10.00% | +140 |
| BIO | 6 | -0.93% | -1.76% | -279 |
| SUI | 2 | -20.67% | -6.02% | -2067 |
| AVAX | 3 | -15.36% | +3.22% | -2303 |
| XPL | 8 | -9.51% | -16.06% | -3805 |
Biggest events (top 20 by pct of circulating)규모 상위 이벤트 (유통량 대비 top 20)
| symbol심볼 | event date이벤트 일자 | pct circ | gross ret총수익 | abn ret초과수익 | netnet |
|---|---|---|---|---|---|
| MON | 2025-11-24 | 326.0% | +20.8% | -3.0% | +20.6% |
| XPL | 2025-09-25 | 44.4% | -124.5% | -126.0% | -124.7% |
| PENGU | 2024-12-17 | 36.6% | +2.9% | -9.9% | +2.8% |
| ARB | 2024-03-16 | 17.9% | +19.8% | +30.9% | +19.6% |
| ENA | 2024-04-02 | 12.8% | -31.6% | -35.3% | -31.7% |
| ENA | 2024-09-02 | 9.8% | +27.9% | +21.8% | +27.7% |
| XPL | 2025-10-25 | 4.9% | +6.7% | +2.7% | +6.5% |
| XPL | 2025-11-25 | 4.9% | +15.1% | -10.2% | +14.9% |
| XPL | 2025-12-25 | 4.9% | +4.8% | -9.9% | +4.5% |
| XPL | 2026-01-25 | 4.9% | +11.9% | +1.7% | +11.7% |
| XPL | 2026-02-25 | 4.9% | -24.4% | -22.2% | -24.6% |
| XPL | 2026-03-25 | 4.9% | +11.1% | +3.3% | +10.8% |
| XPL | 2026-04-25 | 4.9% | +25.0% | +34.0% | +24.8% |
| SUI | 2024-05-01 | 3.7% | +13.4% | +13.2% | +13.2% |
| ARB | 2024-04-16 | 1.5% | +22.8% | -1.7% | +22.6% |
| ARB | 2024-05-16 | 1.5% | +5.6% | +2.8% | +5.3% |
| ARB | 2024-06-16 | 1.5% | +27.0% | -1.6% | +26.8% |
| ARB | 2024-07-16 | 1.5% | +1.3% | +2.6% | +1.0% |
| ARB | 2024-08-16 | 1.5% | +10.4% | -3.8% | +10.2% |
| ARB | 2024-09-16 | 1.5% | -8.0% | +15.8% | -8.2% |
Period 2024-01-07 → 2026-04-24. Universe = ARB, AVAX, BIO, ENA, MON, PENGU, STRK, SUI, XPL. Unlock schedules from CryptoRank /price/{key}/vesting pages + manual ARB from foundation docs. Signal = short from D-N to D+M at daily close. Costs = 2x blended fee (binance perp) + const slippage; ~0.9 bps/day short funding drag. Abnormal return = short return minus equal-weight alt basket return over same window.구간 2024-01-07 → 2026-04-24. 유니버스 = ARB, AVAX, BIO, ENA, MON, PENGU, STRK, SUI, XPL. 언락 스케줄은 CryptoRank /price/{key}/vesting 페이지 + ARB는 재단 문서 기반 수동 입력. 시그널 = D-N에 숏 진입, D+M에 청산 (일봉 종가). 비용 = 바이낸스 perp 블렌디드 피 왕복 + 고정 슬리피지 + 일 0.9bps 숏 펀딩 드래그. 초과수익 = 숏 수익 − 동기간 alt 동일가중 바스켓 수익.