BlockBeats 消息，2 月 6 日，加密 KOL、前 FTX 社群合夥人 Benson Sun 發文表示，今晨比特幣出現極端下跌行情。以 200 天回溯期計算，BTC 跌幅達到 -5.65 個標準差（σ），製造業中的 Six Sigma 標準意味著每百萬次僅允許 3.4 次缺陷，這是人類工業文明對「幾乎不可能發生」的定義。而昨天 BTC 的波動，距離這個「工業級不可能」只差 0.35 個標準差。而 -5.65σ 在常態分佈下的理論發生概率約為億分之一。
儘管金融市場存在肥尾效應，自 BTC 有交易紀錄以來（2010 年 7 月），這一等級的波動也僅出現 4 次，占全部交易日約 0.07%。即便在 2018、2022 年深熊階段，滾動 200 天內也未出現如此快速的下跌。這對量化策略構成嚴峻考驗。當前多數量化模型主要基於 2015 年後數據構建，而超過 5.65σ 的歷史樣本，除 2020 年「312」閃崩這一異常值外，其餘均發生在 2015 年以前，幾乎無可參考先例。
CoinKarma 量化策略在本輪行情中出現帳面浮虧，但由於長期維持 低槓桿（約 1.4 倍），整體仍可承受，最大回撤約 30%。極端行情雖是代價高昂的「學費」，但合約與鏈上數據將成為未來風控模型的重要養料。
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