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算法去中心化交易所交易中过滤规则的结果分类精度审计:来自2400次拒绝事件的证据

Outcome-Classified Precision Auditing of Filter Rules in Algorithmic DEX Trading: Evidence from 2,400 Rejection Events

Arati Uday Kamat

arXiv 2607.02830首次发表:更新:

AI 中文总结

对Solana DEX交易的过滤规则进行精度审计,通过对2402次拒绝事件的99510个后续样本分类,得出保守的保存与错过比率为3.7:1,还测试了更宽层级解释前提,指出其未通过匹配比较测试。

AI 中文摘要

本文报告了针对Solana DEX交易(2026年4月10日至2026年4月23日,协调世界时)拒绝后远期市场观察的13天窗口对生产过滤堆栈的精度审计。审计产生了跨越八个活跃过滤规则的2402个独特拒绝事件的99510个后续样本。我们根据五级结果规则对每个事件进行分类并报告每个过滤器的分布。主要结果是仅窗口化测量回撤保存的保守保存与错过比率为3.7:1;每个具有足够样本量的活跃过滤器单独为净正数。将60分钟内的单样本事件视为保存的更广泛解释产生14.8:1。然后,我们根据单独发布的基准(RED-2400)的存入生命周期数据测试该更广泛层级的解释前提。匹配比较表明,早期死亡分类的铸币达到消失状态的比例为48.9%。非早期死亡被拒绝的铸币达到消失状态的比例为57.6%。早期死亡分类并未识别出相对于其他被拒绝代币具有更高地毯式拉盘风险的代币。因此,更广泛的14.8:1比率基于匹配测试未验证的层级。保守的3.7:1是生命周期数据支持的报告。方法学贡献是分离两个证据基础,并证明更广泛的层级在匹配比较测试中不成立。

英文摘要

This paper reports a precision audit of a production filter stack against a 13-day window of post-rejection forward-market observations on Solana DEX trading (2026-04-10 to 2026-04-23, UTC). The audit yielded 99,510 follow-up samples across 2,402 unique rejection events spanning eight active filter rules. We classify each event under a five-tier outcome rule and report per-filter distributions. The descriptive result is a save-to-miss ratio of 3.7 : 1 (418 windowed measured-drawdown saves against 112 misses). This ratio is a descriptive count, not by itself evidence of filter skill: a fair-game price path also reaches a 50 percent drawdown before a 100 percent rise more often than the reverse, and a rebuilt analysis supersedes it. Correction (October 2026): I withdraw the early-death tier, the wider 14.8 : 1 ratio that rested on it, and the matched lifecycle comparison (48.9 versus 57.6 percent of mints reaching the gone state). In 1,235 of the 1,236 single-sample "early-death" events the same token was rejected again about 10 minutes later and the tracker restarted its record, so these events are tracker artefacts, not token deaths, and gone is a tracker state, not confirmation of a rug pull. I also withdraw the claim that every adequately sampled filter is individually net-positive (filter_7 has 3 saves and 3 misses). Per-filter estimates may be affected because follow-up records are keyed by token rather than by rejection decision. Details are in the correction notice on page 1.

Commentsv2: correction notice added; see first page. 10 pages, 2 figures. Also available at SSRN 6638259. Companion dataset: Zenodo concept DOI 10.5281/zenodo.19987695 (CC-BY-4.0)

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