结论：keep_P1_mixed
pre-flip reclaim 带来一点 long-side 过滤味道，但跨 setup / 跨资产 / short 镜像都不够硬；当前只够留在 P1 evidence pool，不足以升 P2。
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 / preflip_reclaim_long_only / preflip_reclaim_symmetric 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% |
| preflip_reclaim_long_only | 86.00 | -0.05% | -1.36% | 66.67% | 52.33% | -1.70% | 43.43% | 29.07% | 0.21% | -0.15% |
| preflip_reclaim_symmetric | 30.00 | 0.25% | 2.52% | 66.67% | 50.00% | -1.73% | 15.15% | 83.33% | 0.21% | 0.45% |
| variant | setup | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 | retention_vs_setup_baseline |
|---|---|---|---|---|---|---|---|
| baseline | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% |
| baseline | ema_psar_long | 104.00 | -0.13% | -13.07% | 53.85% | -1.90% | 100.00% |
| baseline | fib_retest_long | 33.00 | 0.09% | 3.08% | 51.52% | -1.08% | 100.00% |
| preflip_reclaim_long_only | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% |
| preflip_reclaim_long_only | ema_psar_long | 18.00 | 0.13% | 2.29% | 55.56% | -1.93% | 18.49% |
| preflip_reclaim_long_only | fib_retest_long | 7.00 | 0.43% | 3.02% | 42.86% | -1.25% | 32.47% |
| preflip_reclaim_symmetric | breakout_short | 5.00 | 0.45% | 2.24% | 40.00% | -1.55% | 10.98% |
| preflip_reclaim_symmetric | ema_psar_long | 18.00 | 0.13% | 2.29% | 55.56% | -1.93% | 18.49% |
| preflip_reclaim_symmetric | fib_retest_long | 7.00 | 0.43% | 3.02% | 42.86% | -1.25% | 32.47% |
| 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% |
| preflip_reclaim_long_only | long | 25.00 | 0.21% | 5.32% | 52.00% | -1.70% |
| preflip_reclaim_long_only | short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% |
| preflip_reclaim_symmetric | long | 25.00 | 0.21% | 5.32% | 52.00% | -1.70% |
| preflip_reclaim_symmetric | short | 5.00 | 0.45% | 2.24% | 40.00% | -1.55% |
| 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% |
| preflip_reclaim_long_only | BTC-USD | 30.00 | 0.02% | 0.60% | 50.00% | -1.08% |
| preflip_reclaim_long_only | ETH-USD | 20.00 | -0.48% | -9.58% | 65.00% | -1.99% |
| preflip_reclaim_long_only | SOL-USD | 36.00 | 0.14% | 4.89% | 47.22% | -1.67% |
| preflip_reclaim_symmetric | BTC-USD | 9.00 | 0.51% | 4.57% | 33.33% | -0.67% |
| preflip_reclaim_symmetric | ETH-USD | 6.00 | -0.79% | -4.74% | 66.67% | -2.45% |
| preflip_reclaim_symmetric | SOL-USD | 15.00 | 0.51% | 7.72% | 53.33% | -1.39% |
| 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% |
| preflip_reclaim_long_only | bucket_1 | 29.00 | 0.05% | 1.57% | 48.28% |
| preflip_reclaim_long_only | bucket_2 | 31.00 | 0.13% | 4.02% | 51.61% |
| preflip_reclaim_long_only | bucket_3 | 26.00 | -0.37% | -9.68% | 57.69% |
| preflip_reclaim_symmetric | bucket_1 | 4.00 | -0.27% | -1.08% | 50.00% |
| preflip_reclaim_symmetric | bucket_2 | 19.00 | 0.49% | 9.30% | 42.11% |
| preflip_reclaim_symmetric | bucket_3 | 7.00 | -0.10% | -0.67% | 71.43% |
| cost_bps_per_side | variant | trades | mean_net_return | total_return |
|---|---|---|---|---|
| 6.00 | baseline | 198.00 | -0.10% | -19.40% |
| 6.00 | preflip_reclaim_long_only | 86.00 | -0.05% | -4.09% |
| 6.00 | preflip_reclaim_symmetric | 30.00 | 0.25% | 7.56% |
| 10.00 | baseline | 198.00 | -0.18% | -35.23% |
| 10.00 | preflip_reclaim_long_only | 86.00 | -0.13% | -10.97% |
| 10.00 | preflip_reclaim_symmetric | 30.00 | 0.17% | 5.15% |
| 15.00 | baseline | 198.00 | -0.28% | -55.01% |
| 15.00 | preflip_reclaim_long_only | 86.00 | -0.23% | -19.57% |
| 15.00 | preflip_reclaim_symmetric | 30.00 | 0.07% | 2.14% |
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