结论：park
long-side context 只在局部 setup 上减亏，跨资产仍不成立；而 smallbody 版本基本只剩缩样本，不值得继续占默认主资源位。
最小复现实验：固定 BTC/ETH/SOL 120d 15m cache，统一 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars + 6bps/side，比较 baseline / ladder_hard_gate / ladder_plus_smallbody_context 三臂。
| variant | trades | mean_net_return | mean_total_return | positive_asset_ratio | false_follow_through_4bars | left_tail_p5 | trade_count_retention | mean_position_size |
|---|---|---|---|---|---|---|---|---|
| baseline | 198.00 | -0.10% | -6.47% | 33.33% | 53.03% | -1.78% | 100.00% | 100.00% |
| ladder_hard_gate | 93.00 | -0.13% | -4.11% | 0.00% | 53.76% | -1.60% | 46.97% | 100.00% |
| ladder_plus_smallbody_context | 61.00 | -0.15% | -3.14% | 0.00% | 52.46% | -1.65% | 30.81% | 100.00% |
| variant | setup | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 | mean_position_size | retention_vs_setup_baseline |
|---|---|---|---|---|---|---|---|---|
| baseline | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% | 100.00% |
| baseline | ema_psar_long | 104.00 | -0.13% | -13.07% | 53.85% | -1.90% | 100.00% | 100.00% |
| baseline | fib_retest_long | 33.00 | 0.09% | 3.08% | 51.52% | -1.08% | 100.00% | 100.00% |
| ladder_hard_gate | breakout_short | 54.00 | -0.21% | -11.38% | 53.70% | -1.68% | 100.00% | 89.02% |
| ladder_hard_gate | ema_psar_long | 30.00 | -0.01% | -0.22% | 53.33% | -1.41% | 100.00% | 28.99% |
| ladder_hard_gate | fib_retest_long | 9.00 | -0.08% | -0.74% | 55.56% | -1.10% | 100.00% | 33.33% |
| ladder_plus_smallbody_context | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% | 100.00% |
| variant | asset | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 | mean_position_size |
|---|---|---|---|---|---|---|---|
| baseline | BTC-USD | 68.00 | -0.02% | -1.30% | 51.47% | -1.49% | 100.00% |
| baseline | ETH-USD | 60.00 | -0.33% | -19.81% | 61.67% | -1.99% | 100.00% |
| baseline | SOL-USD | 70.00 | 0.02% | 1.71% | 47.14% | -1.69% | 100.00% |
| ladder_hard_gate | BTC-USD | 29.00 | -0.13% | -3.71% | 62.07% | -1.36% | 100.00% |
| ladder_hard_gate | ETH-USD | 29.00 | -0.28% | -8.06% | 55.17% | -1.74% | 100.00% |
| ladder_hard_gate | SOL-USD | 35.00 | -0.02% | -0.57% | 45.71% | -1.67% | 100.00% |
| ladder_plus_smallbody_context | BTC-USD | 23.00 | -0.08% | -1.76% | 52.17% | -1.12% | 100.00% |
| ladder_plus_smallbody_context | ETH-USD | 14.00 | -0.35% | -4.84% | 64.29% | -1.62% | 100.00% |
| ladder_plus_smallbody_context | SOL-USD | 24.00 | -0.12% | -2.81% | 45.83% | -1.71% | 100.00% |
| variant | utc_bucket | trades | mean_net_return | total_return | false_follow_through_4bars |
|---|---|---|---|---|---|
| baseline | bucket_1 | 66.00 | -0.05% | -3.40% | 51.52% |
| baseline | bucket_2 | 78.00 | -0.13% | -10.27% | 56.41% |
| baseline | bucket_3 | 54.00 | -0.11% | -5.73% | 50.00% |
| ladder_hard_gate | bucket_1 | 37.00 | -0.04% | -1.32% | 54.05% |
| ladder_hard_gate | bucket_2 | 27.00 | -0.08% | -2.23% | 51.85% |
| ladder_hard_gate | bucket_3 | 29.00 | -0.30% | -8.79% | 55.17% |
| ladder_plus_smallbody_context | bucket_1 | 25.00 | 0.11% | 2.65% | 48.00% |
| ladder_plus_smallbody_context | bucket_2 | 15.00 | -0.28% | -4.24% | 60.00% |
| ladder_plus_smallbody_context | bucket_3 | 21.00 | -0.37% | -7.83% | 52.38% |
| cost_bps_per_side | variant | trades | mean_net_return | total_return |
|---|---|---|---|---|
| 6.00 | baseline | 198.00 | -0.10% | -19.40% |
| 6.00 | ladder_hard_gate | 93.00 | -0.13% | -12.34% |
| 6.00 | ladder_plus_smallbody_context | 61.00 | -0.15% | -9.41% |
| 10.00 | baseline | 198.00 | -0.18% | -35.23% |
| 10.00 | ladder_hard_gate | 93.00 | -0.21% | -19.77% |
| 10.00 | ladder_plus_smallbody_context | 61.00 | -0.23% | -14.28% |
| 15.00 | baseline | 198.00 | -0.28% | -55.01% |
| 15.00 | ladder_hard_gate | 93.00 | -0.31% | -29.06% |
| 15.00 | ladder_plus_smallbody_context | 61.00 | -0.33% | -20.38% |
Artifacts: overall_summary.csv / setup_summary.csv / asset_summary.csv / time_bucket_summary.csv / cost_summary.csv / trade_log.csv / summary.json