结论：keep_P1 / event-clock gate has honest signal
同窗放行与超窗二次确认的组合，确实比裸 baseline 更像诚实 follow-up/timeout gate，但跨资产与保留率还不够硬，先留在 P1，不直接升 P2。
固定 BTC/ETH/SOL 120d 15m 本地 cache，统一 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars + 6bps/side；比较 baseline / same_window_only(event_age≤12) / window_plus_timeout(event_age≤12 或 12~24 内需二次确认) 三臂。
| variant | trades | mean_net_return | mean_total_return | positive_asset_ratio | false_follow_through_4bars | trade_count_retention | cross_window_trade_share | mean_event_age |
|---|---|---|---|---|---|---|---|---|
| baseline | 198.00 | -0.10% | -6.47% | 33.33% | 53.03% | 100.00% | 42.42% | 24.06 |
| same_window_only | 106.00 | -0.07% | -2.44% | 66.67% | 45.28% | 53.54% | 0.00% | 1.02 |
| window_plus_timeout | 114.00 | -0.09% | -3.41% | 66.67% | 45.61% | 57.58% | 7.02% | 2.37 |
| variant | setup | trades | mean_net_return | total_return | false_follow_through_4bars | left_tail_p5 | retention_vs_setup_baseline | cross_window_trade_share |
|---|---|---|---|---|---|---|---|---|
| baseline | breakout_short | 61.00 | -0.15% | -9.41% | 52.46% | -1.65% | 100.00% | 42.62% |
| baseline | ema_psar_long | 104.00 | -0.13% | -13.07% | 53.85% | -1.90% | 100.00% | 39.42% |
| baseline | fib_retest_long | 33.00 | 0.09% | 3.08% | 51.52% | -1.08% | 100.00% | 51.52% |
| same_window_only | breakout_short | 32.00 | 0.04% | 1.15% | 40.62% | -1.68% | 53.27% | 0.00% |
| same_window_only | ema_psar_long | 59.00 | -0.23% | -13.71% | 52.54% | -2.88% | 57.12% | 0.00% |
| same_window_only | fib_retest_long | 15.00 | 0.35% | 5.23% | 26.67% | -1.08% | 46.67% | 0.00% |
| window_plus_timeout | breakout_short | 36.00 | -0.05% | -1.70% | 41.67% | -1.78% | 59.17% | 11.11% |
| window_plus_timeout | ema_psar_long | 62.00 | -0.24% | -14.97% | 53.23% | -2.63% | 59.86% | 4.84% |
| window_plus_timeout | fib_retest_long | 16.00 | 0.40% | 6.43% | 25.00% | -1.06% | 51.14% | 6.25% |
| variant | asset | trades | mean_net_return | total_return | false_follow_through_4bars | cross_window_trade_share |
|---|---|---|---|---|---|---|
| baseline | BTC-USD | 68.00 | -0.02% | -1.30% | 51.47% | 47.06% |
| baseline | ETH-USD | 60.00 | -0.33% | -19.81% | 61.67% | 36.67% |
| baseline | SOL-USD | 70.00 | 0.02% | 1.71% | 47.14% | 42.86% |
| same_window_only | BTC-USD | 35.00 | 0.11% | 3.98% | 40.00% | 0.00% |
| same_window_only | ETH-USD | 35.00 | -0.62% | -21.61% | 57.14% | 0.00% |
| same_window_only | SOL-USD | 36.00 | 0.29% | 10.29% | 38.89% | 0.00% |
| window_plus_timeout | BTC-USD | 39.00 | 0.07% | 2.69% | 41.03% | 10.26% |
| window_plus_timeout | ETH-USD | 35.00 | -0.62% | -21.61% | 57.14% | 0.00% |
| window_plus_timeout | SOL-USD | 40.00 | 0.22% | 8.68% | 40.00% | 10.00% |
| variant | cross_window_trade | trades | mean_net_return | total_return | false_follow_through_4bars |
|---|---|---|---|---|---|
| baseline | False | 114.00 | -0.07% | -7.76% | 44.74% |
| baseline | True | 84.00 | -0.14% | -11.65% | 64.29% |
| same_window_only | False | 106.00 | -0.07% | -7.33% | 45.28% |
| window_plus_timeout | False | 106.00 | -0.07% | -7.33% | 45.28% |
| window_plus_timeout | True | 8.00 | -0.36% | -2.91% | 50.00% |
| 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% |
| same_window_only | bucket_1 | 23.00 | 0.15% | 3.55% | 39.13% |
| same_window_only | bucket_2 | 43.00 | -0.25% | -10.70% | 44.19% |
| same_window_only | bucket_3 | 40.00 | -0.00% | -0.18% | 50.00% |
| window_plus_timeout | bucket_1 | 27.00 | 0.11% | 2.94% | 40.74% |
| window_plus_timeout | bucket_2 | 44.00 | -0.30% | -13.19% | 45.45% |
| window_plus_timeout | bucket_3 | 43.00 | 0.00% | 0.01% | 48.84% |
Artifacts: overall_summary.csv / setup_summary.csv / asset_summary.csv / event_age_summary.csv / time_bucket_summary.csv / trade_log.csv / summary.json