结论：keep_P1 / honest veto signal
极端负 basis veto 至少证明了一个诚实方向：某些下破确实不该继续追空；但当前留存/跨资产仍不够硬，只够继续留在 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，只比较 baseline / basis_extreme_veto / basis_extreme_plus_oi_veto 三臂。
basis_pct_30d <= 10% 这种“极端负基差”是不是在提醒你：这单别继续追空？oi_delta_1h <= 0，能不能更诚实地把“贴地负基差 + 没有新增拥挤参与”的坏追空过滤掉？| variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_avg_net_return | mean_false_break_4bars | mean_false_break_8bars | mean_false_break_12bars | mean_avg_mae | mean_avg_mfe |
|---|---|---|---|---|---|---|---|---|---|---|---|
| baseline | 6 | -3.38% | 0.00% | 20.3 | 100.00% | -0.19% | 61.70% | 63.60% | 56.75% | -0.78% | 0.82% |
| baseline | 10 | -4.94% | 0.00% | 20.3 | 100.00% | -0.27% | 61.70% | 63.60% | 56.75% | -0.78% | 0.82% |
| basis_extreme_plus_oi_veto | 6 | -3.90% | 0.00% | 20.0 | 98.61% | -0.22% | 62.42% | 64.39% | 57.66% | -0.79% | 0.79% |
| basis_extreme_plus_oi_veto | 10 | -5.43% | 0.00% | 20.0 | 98.61% | -0.30% | 62.42% | 64.39% | 57.66% | -0.79% | 0.79% |
| basis_extreme_veto | 6 | -3.10% | 0.00% | 17.3 | 85.40% | -0.21% | 59.67% | 61.82% | 57.39% | -0.71% | 0.72% |
| basis_extreme_veto | 10 | -4.43% | 0.00% | 17.3 | 85.40% | -0.29% | 59.67% | 61.82% | 57.39% | -0.71% | 0.72% |
| asset | variant | cost_bps_per_side | signal_events | trades | trade_count_retention | total_return | avg_net_return | win_rate | false_break_4bars | false_break_8bars | false_break_12bars | avg_mae | avg_mfe | avg_basis_pct_30d | avg_oi_delta_1h |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | baseline | 6 | 23 | 23 | 100.00% | -1.25% | -0.05% | 34.78% | 56.52% | 65.22% | 43.48% | -0.54% | 0.76% | 39.90% | -163.24 |
| BTC-USD | basis_extreme_veto | 6 | 23 | 21 | 91.30% | -3.46% | -0.16% | 28.57% | 61.90% | 71.43% | 47.62% | -0.57% | 0.65% | 45.00% | -277.99 |
| BTC-USD | basis_extreme_plus_oi_veto | 6 | 23 | 23 | 100.00% | -1.25% | -0.05% | 34.78% | 56.52% | 65.22% | 43.48% | -0.54% | 0.76% | 39.90% | -163.24 |
| ETH-USD | baseline | 6 | 14 | 14 | 100.00% | -5.01% | -0.36% | 14.29% | 78.57% | 71.43% | 64.29% | -0.91% | 0.62% | 36.91% | -8054.83 |
| ETH-USD | basis_extreme_veto | 6 | 14 | 12 | 85.71% | -4.69% | -0.40% | 16.67% | 75.00% | 66.67% | 66.67% | -0.77% | 0.41% | 45.92% | -8054.83 |
| ETH-USD | basis_extreme_plus_oi_veto | 6 | 14 | 14 | 100.00% | -5.01% | -0.36% | 14.29% | 78.57% | 71.43% | 64.29% | -0.91% | 0.62% | 36.91% | -8054.83 |
| SOL-USD | baseline | 6 | 24 | 24 | 100.00% | -3.88% | -0.16% | 41.67% | 50.00% | 54.17% | 62.50% | -0.88% | 1.08% | 42.91% | 23858.22 |
| SOL-USD | basis_extreme_veto | 6 | 24 | 19 | 79.17% | -1.14% | -0.05% | 47.37% | 42.11% | 47.37% | 57.89% | -0.78% | 1.08% | 58.05% | 25912.19 |
| SOL-USD | basis_extreme_plus_oi_veto | 6 | 24 | 23 | 95.83% | -5.45% | -0.24% | 39.13% | 52.17% | 56.52% | 65.22% | -0.92% | 0.98% | 45.26% | 30276.89 |
| variant | asset | veto_reason | count |
|---|---|---|---|
| basis_extreme_plus_oi_veto | SOL-USD | basis_extreme_plus_oi_negative | 1 |
| basis_extreme_veto | BTC-USD | basis_extreme_negative | 2 |
| basis_extreme_veto | ETH-USD | basis_extreme_negative | 2 |
| basis_extreme_veto | SOL-USD | basis_extreme_negative | 5 |
| bucket | mean_total_return | positive_asset_ratio | mean_trades | false_break_8bars |
|---|---|---|---|---|
| bucket_1 | 1.74% | 66.67% | 6.7 | 50.00% |
| bucket_2 | -1.84% | 0.00% | 7.0 | 57.14% |
| bucket_3 | -3.69% | 0.00% | 6.3 | 84.21% |
| asset | symbol | bars | premium_rows | oi_rows | sample_start_utc | sample_end_utc |
|---|---|---|---|---|---|---|
| BTC-USD | BTCUSDT | 11531 | 16000 | 2688 | 2025-11-16T09:30:00Z | 2026-03-16T12:00:00Z |
| ETH-USD | ETHUSDT | 11531 | 16000 | 2688 | 2025-11-16T09:30:00Z | 2026-03-16T12:00:00Z |
| SOL-USD | SOLUSDT | 11531 | 16000 | 2688 | 2025-11-16T09:30:00Z | 2026-03-16T12:00:00Z |
Artifacts: overall_summary.csv / asset_summary.csv / veto_reason_summary.csv / time_bucket_summary.csv / trade_log.csv / summary.json