EXP-000004

TYO SCORE: worst-month factor and drawdown cap

采纳评分研究来源: 混合 2026年8月19日

系统: 平台／方法论研究——不绑定单一系统。
Git 提交: c101f55

假设

Scaling consistency by the worst month, and capping the total by drawdown, restores discrimination without hand-tuning per system.

受控更改

Consistency × max(0.5, 1 − |worst month|/100); total capped at 40/55/70 for DD ≥ 60/45/30%.

数据集与条件

All 14 systems, header + monthly series.

更改前 / 更改后

更改前

Score range before the corrections: 60–86, JAYRO at 60 on a 70.8% DD

更改后

Score range after: 40–84, JAYRO capped to 40

验证

样本外、步进、蒙特卡洛与前向结果仅在数据存在时显示。本条目不存在这些数据。

决定

采纳

RINA (2nd-highest profit factor, 56% DD) lands at 55 and JAYRO at 40 — the ordering now reflects what the score claims to measure. Caps are disclosed on every page they bind.

AI 参与

模型: Claude (Anthropic)
AI 做了什么: Drafted the worst-month factor and the cap ladder; the thresholds (40/55/70 at 60/45/30% DD) were reviewed and approved by a human.
人工审核: 已经人工审核并批准

AI 辅助的条目仅在人工审核后发布；未经审核的 AI 生成条目会被构建流程扣留。AI 不预测市场，也没有任何条目作此宣称。

备注

Model documented in docs/TYO_SCORE_MODEL.md; superseded by V2 in docs/TYO_SCORE_V2_MODEL.md.

回测的改进不代表未来的改进。实验越多，碰巧成功的概率越高——本日志的存在部分正是为了让多重检验风险保持可见。