AI 中文总结
本研究揭示零售自营交易评估合约的几何结构导致分阶段激励，使通过率无法独立证明技能，且产品在实测约束下产生负期望值，卖方利润源于感知与实际门槛概率之差。
AI 中文摘要
零售自营交易公司销售一种两阶段产品：首先是一份付费评估，必须在触发追踪回撤前达到利润目标；随后是一个资金账户，必须在最短持有期和一致性规则下存活才能获得支付。我们证明，该合约的几何结构产生了随阶段而异的激励，使得通过评估成为技能的一个糟糕的独立信号。在日终追踪下，评估奖励快速、大额的交易节奏，而资金账户则惩罚这种节奏，在联合门槛中差异达九倍。评估在零技能下即可被击败：仅仓位规模就能使通过概率接近0.40，而实测队列通过率为0.168。通过概率随技能提高而上升，但真实优势与激进仓位规模使通过概率产生几乎相同的增幅，因此通过率混淆了这两者。在简化合约模型下，卖方的利润空间受限于感知门槛概率与实际门槛概率之间的差距，这是价格成分隐藏的概率类比；观察到的设计——一个可渗透的营销评估和一个严格的支付门槛——与此一致。在整个行业中，通过率的公布频率远高于支付率。相同的几何结构产生负期望值：在实测策略宇宙中，在观察到的漂移下，没有任何配置能在任何来源的账户上实现盈亏平衡。盈亏平衡点位于扣除成本后1:1.5赔率下40.5%至41.5%的胜率之间，而无漂移基准为40.0%。公司禁止的德尔塔中性构造在观察到的支付上限下近似期望值中性。每个账户级结果均对照零优势控制报告。
英文摘要
Retail proprietary-trading firms sell a two-stage product: a paid evaluation that must reach a profit target before breaching a trailing drawdown, then a funded account that must survive a minimum window and a consistency rule before a payout. We show the geometry of this contract creates incentives that differ by stage and make passing a poor standalone signal of skill. Under end-of-day trailing the evaluation rewards a fast, lumpy cadence while the funded account punishes it, by a factor of nine in the joint gate. The evaluation is defeatable at zero skill: position sizing alone yields a pass probability near 0.40, against a measured cohort rate of 0.168. Pass probability rises with skill, but a real edge and aggressive sizing move it by nearly the same amount, so a pass rate confounds the two. Under a simplified contract model the seller's margin is bounded by the gap between perceived and actual gate probabilities, the probability analogue of shrouding a price component; the observed design, a permeable marketed evaluation and a hard payout gate, is consistent with that. Across the sector, pass rates are published far more often than payout rates. The same geometry produces negative expected value: within the measured strategy universe, no configuration at observed drifts clears break-even on any account sourced. Break-even lies between a 40.5% and 41.5% win rate at 1:1.5 net of costs, against a driftless 40.0%. The delta-neutral construction firms prohibit is approximately expected-value neutral at the observed payout ceiling. Every account-level result is reported against a zero-edge control.
Comments40 pages, 2 figures, 27 tables. Code and figure-generation scripts at https://github.com/nicholasbhall/gate-design-prop-evals
