工程领域笔记。 2026 年 7 月 27 日，一个确定性阶梯接管了一个持有 103.44 USDT 的 MEXC 期货钱包，并开始用真实资金交易 SOL_USDT 永续合约。二十三天后，交易所仪表盘报告账户权益为 113.33 USDT，30 天盈亏为 +15.43 USDT。这两个数字都不属于该机器人。本说明即为对账结果。
机器实际做什么
该策略是一个仅做多的阶梯，其中完全没有模型。它以 3 倍杠杆开立第一梯级 $5 保证金 — 约 $15 名义价值，或 0.2 SOL。当价格高于 整个阶梯平均入场价的 0.8% 时止盈。如果价格反而下跌 低于阶梯运行低点的 0.5%，则增加另一梯级。这就是全部决策面。
In 23 days it logged 28,365 个决策：27,455 次持有（96.8%），863 次加仓尝试，26 次开仓和 21 次止盈。这条路径上没有任何语言模型。这是本代码库中的架构规则，而非偏好 — 唯一允许触达交易所的函数是单个下单调用，并且一个测试在语法树层面断言了这一点。
交易所的数字不是我们的数字
MEXC 自身的盈亏分析页面，筛选至 SOLUSDT 永续合约，显示 30 天内 +15.4291 USDT ，账户权益为 113.2702 USDT。两者都是真实的，但都不是机器人的结果。拉取账户的已平仓历史与转账记录可解释全部差距：
| 事件 | USDT | 归属方 |
|---|---|---|
| 阶梯接管时的钱包 — 7 月 27 日 09:44 UTC | 103.44 | 起点 |
| 操作者将资金转出至现货 — 8 月 2 日 18:52 | −95.41 | 操作员 |
| 操作员将资金转回 — 8月5日, 09:30 | +100.00 | 操作员 |
| 阶梯已实现盈亏，21个仓位，已含手续费和资金费 | +5.26 | 机器人 |
| 仍开着的那个梯级上的未实现盈亏 | +0.06 | 机器人 |
| 今日钱包 — 8月19日 | 113.33 | 剩余 $0.02 |
交易所头条的其余部分是机器人出现之前的历史：7月21日（+$6.75）和7月26日（+$3.44）的手动交易位于同一个30天窗口内。将视图拉长到90天，同一账户仅显示 +10.52，因为6月7日的手动交易亏损了$4.91。这些都与阶梯无关，无论哪个方向。
这就是为什么账本保留自己的归因曲线，而不是读取账户余额。账户余额回答“有多少钱”。它无法回答“机器做了什么”。
100%的胜率是设计产物
21笔交易，21笔盈利。这个统计数字毫无价值，原因在于规则：阶梯 仅 closes at +0.8%. A rung that moves the wrong way is never sold — it is averaged. So a losing trade cannot appear in the record until the strategy is forced to capitulate, and in 23 days it never was.
平均值更安静地说明了同样的事情。21笔交易的平均不利偏移： −3.01%的已缴保证金；最差 −9.94%。这就是账本的单位——3倍仓位对保证金的波动速度是价格的3倍，所以−9.94%的保证金对应SOL的−3.31%波动。8月1日满仓时，阶梯持有21份合约——2.1 SOL，在$103钱包上约$153的名义价值——其中 $51.08，即账户的49.4%，作为保证金 以及$4.60的未实现亏损。归因权益曲线从104.51跌至99.57， 4.73%的峰谷回撤。将其与整个实验赚取的5.14%对比：账户承担的风险几乎与赚取的相当。
阶梯资金耗尽的那一天
8月2日18:52 UTC，操作员从期货钱包中转出95.41 USDT——而阶梯正处于满仓状态。从8月3日01:27到8月5日01:04，策略请求新增一个梯级，交易所回应 余额不足。它这样做了 811次.
没有借入任何资金，没有强制通过任何订单，没有扩大限价来补偿，失败被写入门控日志而不是被吞掉。这就是我们想要的行为。这也是阶梯结构性弱点的清晰展示：它最需要加仓的时刻，正是它最可能无法加仓的时刻，而无法向下摊平的阶梯只是被套牢的多头。资金可用性是此策略的一部分，而不是旁边的操作细节。
代价是什么
所有94笔成交都是 taker ，费率0.08%。手续费共计 $1.30，对比$6.61的总利润——策略赚取的19.7%都给了交易所。资金费又花了$0.05。在0.8%的止盈目标下，两次taker成交在剩下任何东西之前就吃掉了五分之一的波动；这是设计上最大的结构性拖累。
我们的内部预测还包含一条模拟返佣线+$0.65。我们不将其计入：此账户未收到任何返佣，账本中确认返佣的列是空的，模拟收入不是收入。
对照唯一重要的基准
第一个梯级开仓时SOL为76.41，今天约为77.3—— +1.2%。钱包上涨了+5.14%。因此，阶梯在23天内跑赢持有币约四个百分点，而平均只动用了账户的17%。
现在到了决定这值多少的部分。我们测量了SOL在我们23天窗口内的最大回撤，并将其与自2021年2月以来每一个其他23天窗口进行比较——共1,977个：
A ladder earns from oscillation and suffers in a sustained trend. We tested it in the calmest 1% of SOL's history — which is precisely the regime it is built for. That does not make the +5.14% fake; it makes it unrepresentative, and it means the rate cannot be carried forward as if the market always looks like this.
So what would $5,000 become?
This is the question that gets asked about every working system, and it deserves an arithmetic answer plus the reasons that answer is not a forecast. We wrote the calculator into the repository so the number always arrives with its caveats attached:
python -m ai_os.trading.mexc_projection --capital 5000 --years 1 2 3It reads the live ledger, compounds the measured daily rate of 0.2175%, resamples the 21 observed trades for a confidence band, and then applies an empirical liquidation tail taken from five years of SOL daily candles. At 3x an isolated position is wiped by a 33% adverse move; that has happened in 9 of 66 non-overlapping 30-day blocks (13.6%) since 2021. At 2x the threshold is 50%, which occurred in 4 of 66 blocks (6.1%).
| 期限 | 朴素 | Resampled p5–p95 | With tail, typical | With tail, extended | Paths below start |
|---|---|---|---|---|---|
| 3x leverage — liquidation at −33% | |||||
| 1 year | $11,051 | $8,343 – $15,010 | $7,610 | $2,831 | 50.3% |
| 2 years | $24,427 | $13,923 – $45,060 | $13,958 | $3,168 | 65.3% |
| 3 years | $53,990 | $23,233 – $135,272 | $21,244 | $1,794 | 73.7% |
| 2x leverage — liquidation at −50% | |||||
| 1 year | $8,521 | $7,035 – $10,409 | $7,071 | $4,313 | 53.2% |
| 2 years | $14,523 | $9,898 – $21,669 | $12,051 | $7,351 | 43.2% |
| 3 years | $24,750 | $13,926 – $45,110 | $17,043 | $6,341 | 37.1% |
Lower leverage is not a smaller version of the same bet. At 2x the rung buys two thirds of the notional, so the naive number is far smaller — and the liquidation threshold moves from a 33% drop to a 50% one, which is roughly half as frequent. Over three years the cautious setting ends ahead of the aggressive one in the tail-adjusted columns, which is the entire argument against the aggressive one.
What our own gate says
The ledger's verdict function does not read any of the above as encouraging. It returns insufficient_sample: 21 trades < 100, and until that threshold is met no result from this experiment is allowed to be quoted as an edge — including by us, in this article. The initiative is registered as a trial with a stated kill criterion: if the verdict has not turned after 100 closed trades, the family is culled and the write-up becomes an autopsy rather than a case study.
What would actually change our mind is narrow and boring: at least 100 closed trades, at least one sustained downtrend survived without capitulation, a random-entry benchmark of the same trade density that the ladder beats, and a fee structure where 19.7% of gross profit does not leave the building. Until then, the honest summary of 23 days of real money is that a simple deterministic ladder made $5.31, did not blow up, and told us more about our own accounting than about the market.
All figures are quoted from the live ledger and cross-checked against the venue's own closed-position and transfer records on 19 August 2026. This is a published engineering result, not a forecast, not a signal, not an offer, and not financial advice. Leveraged perpetual futures can lose more than the margin posted.