BlockBeats 消息,2 月 6 日,加密 KOL、前 FTX 社群合伙人 Benson Sun 发文表示,今晨比特币出现极端下跌行情。以 200 天回溯期计算,BTC 跌幅达到 -5.65 个标准差(σ),制造业中的 Six Sigma 标准意味着每百万次仅允许 3.4 次缺陷,这是人类工业文明对「几乎不可能发生」的定义。而昨天 BTC 的波动,距离这个「工业级不可能」只差 0.35 个标准差。而 -5.65σ 在常态分布下的理论发生概率约为亿分之一。
尽管金融市场存在肥尾效应,自 BTC 有交易纪录以来(2010 年 7 月),这一等级的波动也仅出现 4 次,占全部交易日约 0.07%。即便在 2018、2022 年深熊阶段,滚动 200 天内也未出现如此快速的下跌。这对量化策略构成严峻考验。当前多数量化模型主要基于 2015 年后数据构建,而超过 5.65σ 的历史样本,除 2020 年「312」闪崩这一异常值外,其余均发生在 2015 年以前,几乎无可参考先例。
CoinKarma 量化策略在本轮行情中出现账面浮亏,但由于长期维持 低杠杆(约 1.4 倍),整体仍可承受,最大回撤约 30%。极端行情虽是代价高昂的「学费」,但合约与链上数据将成为未来风控模型的重要养料。
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