策略 06已关闭

Icebreaker — breakout momentum

momentum at the breakout-bar close (mom-k0) selects continuation of the move

策略正文暂以英文显示，中文翻译进行中。

关键指标：

7/7 scorecard → turned out to be a 1-bar lookahead artifact (causally 3/7, CPCV −2.48)

为何存在优势 / 假设: The project's longest research thread. Hypothesis: breakout-instant momentum magnitude monotonically orders future PnL, coin-agnostically.
构造: CLEAN(spacing) × |mom-k0| ≥ ~2.5% → market entry at the breakout close → managed exit.
测试数据: Bybit klines 2y/3y, 40 coins × 12 months; tape cross-check on 9 memes.
结果: Looked like the project's best edge: unconditional 7/7 scorecard over 3 years (CPCV 1.93, PBO 0, 519 trades net +0.106%), confirmed on real tape.
验证: A causal re-validation nulled everything: research-mom was measured 1 minute AFTER entry (lookahead). Causally: mombin flat, the working bin −0.115%, scorecard 3/7 FAIL (CPCV −2.48, P(>0)=0%).
根因: A 1-bar lookahead in the feature selector. Every certificate (DSR/CPCV/PBO) was a leakage artifact.
结论: Dead. The project's best lesson: a 7/7 scorecard does not save you from lookahead in the selector — verify feature causality separately.
来源: ICEBREAKER_RESEARCH.md · PROGRESS 2026-07-20

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