结论：park
discount gate 主要靠砍样本，且连 long 侧 aggregate 都没明显更好；当前不值得保留为 active 候选。
最小复现实验：固定 BTC/ETH/SOL 120d 15m cache，统一 signal 当根及之前数据 + 上一根完整 4h bar + next-bar open + no-overlap + hold 8 bars + 6bps/side，比较 baseline / long_only_discount_gate / symmetric_discount_premium_gate 三臂。
| variant | trades | mean_net_return | mean_total_return | positive_asset_ratio | false_follow_through_4bars | left_tail_p5 | trade_count_retention | long_trades_share | long_mean_net_return | short_mean_net_return |
|---|---|---|---|---|---|---|---|---|---|---|
| baseline | 198.00 | -0.10% | -6.47% | 33.33% | 53.03% | -1.78% | 100.00% | 69.19% | -0.07% | -0.15% |
| long_only_discount_gate | 61.00 | -0.15% | -3.14% | 0.00% | 52.46% | -1.65% | 30.81% | 0.00% | - | -0.15% |
| symmetric_discount_premium_gate | 1.00 | 0.55% | 0.55% | 100.00% | 0.00% | 0.55% | 0.51% | 0.00% | - | 0.55% |
| 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% |
| long_only_discount_gate | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% | 100.00% |
| symmetric_discount_premium_gate | breakout_short | 1.00 | 0.55% | 0.55% | 0.00% | 0.55% | 100.00% | 7.14% |
| variant | side | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 |
|---|---|---|---|---|---|---|
| baseline | long | 137.00 | -0.07% | -9.99% | 53.28% | -1.81% |
| baseline | short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% |
| long_only_discount_gate | short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% |
| symmetric_discount_premium_gate | short | 1.00 | 0.55% | 0.55% | 0.00% | 0.55% |
| variant | asset | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 |
|---|---|---|---|---|---|---|
| baseline | BTC-USD | 68.00 | -0.02% | -1.30% | 51.47% | -1.49% |
| baseline | ETH-USD | 60.00 | -0.33% | -19.81% | 61.67% | -1.99% |
| baseline | SOL-USD | 70.00 | 0.02% | 1.71% | 47.14% | -1.69% |
| long_only_discount_gate | BTC-USD | 23.00 | -0.08% | -1.76% | 52.17% | -1.12% |
| long_only_discount_gate | ETH-USD | 14.00 | -0.35% | -4.84% | 64.29% | -1.62% |
| long_only_discount_gate | SOL-USD | 24.00 | -0.12% | -2.81% | 45.83% | -1.71% |
| symmetric_discount_premium_gate | ETH-USD | 1.00 | 0.55% | 0.55% | 0.00% | 0.55% |
| 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% |
| long_only_discount_gate | bucket_1 | 25.00 | 0.11% | 2.65% | 48.00% |
| long_only_discount_gate | bucket_2 | 15.00 | -0.28% | -4.24% | 60.00% |
| long_only_discount_gate | bucket_3 | 21.00 | -0.37% | -7.83% | 52.38% |
| symmetric_discount_premium_gate | bucket_1 | 1.00 | 0.55% | 0.55% | 0.00% |
| cost_bps_per_side | variant | trades | mean_net_return | total_return |
|---|---|---|---|---|
| 6.00 | baseline | 198.00 | -0.10% | -19.40% |
| 6.00 | long_only_discount_gate | 61.00 | -0.15% | -9.41% |
| 6.00 | symmetric_discount_premium_gate | 1.00 | 0.55% | 0.55% |
| 10.00 | baseline | 198.00 | -0.18% | -35.23% |
| 10.00 | long_only_discount_gate | 61.00 | -0.23% | -14.28% |
| 10.00 | symmetric_discount_premium_gate | 1.00 | 0.47% | 0.47% |
| 15.00 | baseline | 198.00 | -0.28% | -55.01% |
| 15.00 | long_only_discount_gate | 61.00 | -0.33% | -20.38% |
| 15.00 | symmetric_discount_premium_gate | 1.00 | 0.37% | 0.37% |
Artifacts: overall_summary.csv / setup_summary.csv / side_summary.csv / asset_summary.csv / time_bucket_summary.csv / cost_summary.csv / trade_log.csv / summary.json