เทียบ 2 config บนหน้าต่างเดียวกันทุกอัน: CHAMP = champion (ladder sizing, threshold 50%, จูนจาก curve-fit) vs KELLY_g1_cdc = Kelly/Leland sizing w*=μ/(γσ²) (γ=1 full-Kelly, μ จาก CDC EMA-12 drift, RiskMetrics EWMA λ=0.94 สำหรับ σ, CAP=0.4948 จาก signal_kelly.CAP_FRAC — ค่าจากทฤษฎีล้วน ไม่มีค่าจูน). ทั้งคู่: deadband band 1% (BLL 1992), กริด 2%, COIN-M long leg เปิด, ไม่คิด funding, Binance source, maker fee 0.025%. หน้าต่าง 12 เดือน เลื่อนทีละ 1 เดือน ตลอด 2020-07-01→2026-06-01 = 60 หน้าต่าง (validation รัน config เดียวกันหลายช่วง ไม่จูน = curve-fit-free).
report-meta v1.0 · 2026-07-13
แต่ละแท่ง = จำนวนหน้าต่างที่ได้ α ในช่วงนั้น. เส้นประสี = FULL single-path ของ config นั้น.
แท่งเหนือเส้น = 12 เดือนนั้นกำไร · ใต้เส้น = ขาดทุน.
แท่งเหนือเส้น = KELLY ทำได้ดีกว่า CHAMP ในหน้าต่างนั้น · ใต้เส้น = CHAMP ดีกว่า.
| วันเริ่ม (12ด) | → จบ | CHAMP α | KELLY α | Δ (K−C) | CHAMP liq | KELLY liq | อิสระ |
|---|---|---|---|---|---|---|---|
| 2020-07-01 | 2021-07-01 | +0.3228 | +0.0782 | -0.2446 | 18 | 27 | ● |
| 2020-08-01 | 2021-08-01 | +0.2838 | +0.0659 | -0.2179 | 15 | 25 | |
| 2020-09-01 | 2021-09-01 | +0.3326 | +0.0931 | -0.2396 | 19 | 25 | |
| 2020-10-01 | 2021-10-01 | +0.3086 | +0.1551 | -0.1535 | 22 | 23 | |
| 2020-11-01 | 2021-11-01 | +0.3103 | +0.1685 | -0.1419 | 17 | 22 | |
| 2020-12-01 | 2021-12-01 | +0.3131 | +0.1477 | -0.1654 | 16 | 20 | |
| 2021-01-01 | 2022-01-01 | +0.2518 | +0.1295 | -0.1224 | 11 | 15 | |
| 2021-02-01 | 2022-02-01 | +0.3403 | +0.3629 | +0.0226 | 10 | 13 | |
| 2021-03-01 | 2022-03-01 | +0.2517 | +0.1794 | -0.0724 | 9 | 13 | |
| 2021-04-01 | 2022-04-01 | +0.1725 | +0.2247 | +0.0522 | 9 | 9 | |
| 2021-05-01 | 2022-05-01 | +0.1200 | +0.2460 | +0.1259 | 9 | 8 | |
| 2021-06-01 | 2022-06-01 | +0.0356 | +0.1209 | +0.0853 | 8 | 11 | |
| 2021-07-01 | 2022-07-01 | +0.1241 | +0.2183 | +0.0943 | 7 | 10 | ● |
| 2021-08-01 | 2022-08-01 | +0.1306 | +0.1005 | -0.0302 | 5 | 12 | |
| 2021-09-01 | 2022-09-01 | +0.0857 | +0.0644 | -0.0212 | 5 | 12 | |
| 2021-10-01 | 2022-10-01 | +0.0893 | +0.1525 | +0.0631 | 4 | 7 | |
| 2021-11-01 | 2022-11-01 | +0.0460 | +0.1262 | +0.0802 | 3 | 6 | |
| 2021-12-01 | 2022-12-01 | +0.0796 | +0.2143 | +0.1346 | 3 | 6 | |
| 2022-01-01 | 2023-01-01 | +0.0757 | +0.1232 | +0.0475 | 3 | 6 | |
| 2022-02-01 | 2023-02-01 | -0.0035 | +0.0112 | +0.0148 | 4 | 7 | |
| 2022-03-01 | 2023-03-01 | +0.1142 | +0.0551 | -0.0591 | 2 | 6 | |
| 2022-04-01 | 2023-04-01 | +0.1371 | +0.1443 | +0.0072 | 2 | 5 | |
| 2022-05-01 | 2023-05-01 | +0.1447 | +0.1113 | -0.0334 | 2 | 5 | |
| 2022-06-01 | 2023-06-01 | +0.0590 | +0.0971 | +0.0381 | 3 | 3 | |
| 2022-07-01 | 2023-07-01 | -0.1331 | -0.1504 | -0.0173 | 7 | 6 | ● |
| 2022-08-01 | 2023-08-01 | +0.0052 | +0.0388 | +0.0337 | 3 | 3 | |
| 2022-09-01 | 2023-09-01 | +0.0117 | +0.0131 | +0.0014 | 4 | 4 | |
| 2022-10-01 | 2023-10-01 | +0.0046 | -0.1323 | -0.1369 | 3 | 6 | |
| 2022-11-01 | 2023-11-01 | -0.0514 | -0.1741 | -0.1227 | 5 | 7 | |
| 2022-12-01 | 2023-12-01 | -0.0632 | -0.0860 | -0.0228 | 8 | 8 | |
| 2023-01-01 | 2024-01-01 | +0.0330 | -0.0373 | -0.0703 | 7 | 8 | |
| 2023-02-01 | 2024-02-01 | -0.0294 | -0.1367 | -0.1073 | 6 | 8 | |
| 2023-03-01 | 2024-03-01 | -0.0387 | -0.0595 | -0.0209 | 10 | 8 | |
| 2023-04-01 | 2024-04-01 | +0.0465 | -0.0313 | -0.0778 | 7 | 7 | |
| 2023-05-01 | 2024-05-01 | +0.0392 | -0.0382 | -0.0775 | 6 | 7 | |
| 2023-06-01 | 2024-06-01 | -0.0641 | -0.0739 | -0.0098 | 10 | 8 | |
| 2023-07-01 | 2024-07-01 | -0.0836 | -0.1023 | -0.0188 | 9 | 7 | ● |
| 2023-08-01 | 2024-08-01 | -0.0208 | -0.0522 | -0.0314 | 8 | 8 | |
| 2023-09-01 | 2024-09-01 | -0.0338 | -0.1213 | -0.0876 | 9 | 12 | |
| 2023-10-01 | 2024-10-01 | -0.0382 | -0.0941 | -0.0559 | 9 | 10 | |
| 2023-11-01 | 2024-11-01 | -0.0558 | -0.1391 | -0.0834 | 10 | 12 | |
| 2023-12-01 | 2024-12-01 | +0.0275 | -0.0714 | -0.0989 | 8 | 11 | |
| 2024-01-01 | 2025-01-01 | -0.0820 | -0.1957 | -0.1137 | 11 | 14 | |
| 2024-02-01 | 2025-02-01 | +0.0456 | -0.0706 | -0.1162 | 10 | 11 | |
| 2024-03-01 | 2025-03-01 | +0.0086 | -0.0092 | -0.0178 | 8 | 8 | |
| 2024-04-01 | 2025-04-01 | -0.0521 | -0.0785 | -0.0264 | 7 | 10 | |
| 2024-05-01 | 2025-05-01 | -0.0203 | -0.0547 | -0.0344 | 8 | 10 | |
| 2024-06-01 | 2025-06-01 | +0.0049 | +0.0082 | +0.0032 | 8 | 10 | |
| 2024-07-01 | 2025-07-01 | +0.0369 | +0.0266 | -0.0103 | 7 | 10 | ● |
| 2024-08-01 | 2025-08-01 | +0.0047 | -0.0059 | -0.0106 | 6 | 8 | |
| 2024-09-01 | 2025-09-01 | -0.0239 | -0.0147 | +0.0092 | 8 | 8 | |
| 2024-10-01 | 2025-10-01 | +0.0643 | +0.0269 | -0.0374 | 5 | 7 | |
| 2024-11-01 | 2025-11-01 | +0.0414 | -0.0007 | -0.0421 | 4 | 5 | |
| 2024-12-01 | 2025-12-01 | +0.0001 | +0.1025 | +0.1023 | 3 | 3 | |
| 2025-01-01 | 2026-01-01 | -0.0034 | +0.0944 | +0.0978 | 3 | 3 | |
| 2025-02-01 | 2026-02-01 | -0.0003 | +0.1679 | +0.1682 | 2 | 2 | |
| 2025-03-01 | 2026-03-01 | +0.0047 | +0.0503 | +0.0456 | 2 | 4 | |
| 2025-04-01 | 2026-04-01 | -0.0175 | +0.0348 | +0.0523 | 3 | 3 | |
| 2025-05-01 | 2026-05-01 | +0.0173 | +0.0499 | +0.0326 | 1 | 2 | |
| 2025-06-01 | 2026-06-01 | +0.0220 | +0.0577 | +0.0357 | 1 | 2 |