生成时间：2026-03-20 09:38 UTC
最小 clean replication 口径：固定 BTC/ETH/SOL 120d 15m 本地 cache；只挂 fib_retest_long 这 1 条 archetype；训练段冻结 lookback 与 slot_spike，测试段统一 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。
当前 hard verdict：park / evidence pool
测试段 6bps 下，same-clock RVOL 相对 naive gate 的 total-return 改善约 0.09%、retention 24.54%、false-follow 改善约 -2.22%；更像样本重排，不足以继续占 fast lane。
121.5baseline_naive_rvol vs same_clock_rvol| variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_retention | mean_false_follow_4bars | mean_gate_conflict_rate | mean_entries | mean_expectancy |
|---|---|---|---|---|---|---|---|---|
| same_clock_rvol | 6.0 | -0.10% | 33.33% | 24.54% | 72.22% | 33.33% | 2.00 | -0.19% |
| baseline_naive_rvol | 6.0 | -0.19% | 33.33% | 40.28% | 70.00% | 46.67% | 3.33 | -0.04% |
| asset | variant | cost_bps_per_side | signals_total | entries | retention | mean_total_return | post_cost_expectancy | false_follow_4bars_rate | gate_conflict_rate | win_rate | mean_naive_rvol | mean_slot_rvol |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | baseline_naive_rvol | 6.0 | 9 | 3 | 33.33% | 1.03% | 0.34% | 100.00% | 100.00% | 66.67% | 1.19 | 0.85 |
| BTC-USD | same_clock_rvol | 6.0 | 9 | 1 | 11.11% | -0.59% | -0.59% | 100.00% | 100.00% | 0.00% | 1.19 | 0.85 |
| ETH-USD | baseline_naive_rvol | 6.0 | 8 | 2 | 25.00% | -0.47% | -0.23% | 50.00% | 0.00% | 50.00% | 3.28 | 1.11 |
| ETH-USD | same_clock_rvol | 6.0 | 8 | 2 | 25.00% | -0.47% | -0.23% | 50.00% | 0.00% | 50.00% | 3.28 | 1.11 |
| SOL-USD | baseline_naive_rvol | 6.0 | 8 | 5 | 62.50% | -1.12% | -0.22% | 60.00% | 40.00% | 20.00% | 2.10 | 1.77 |
| SOL-USD | same_clock_rvol | 6.0 | 8 | 3 | 37.50% | 0.76% | 0.26% | 66.67% | 0.00% | 33.33% | 2.10 | 1.77 |
| lookback | spike_thr | baseline_mean_total_return | slot_mean_total_return | uplift_total_return | slot_positive_asset_ratio | slot_mean_retention | slot_false_follow | base_false_follow | slot_mean_expectancy | slot_mean_gate_conflict_rate |
|---|---|---|---|---|---|---|---|---|---|---|
| 12 | 1.50 | 0.03% | 0.12% | 0.09% | 33.33% | 5.81% | 50.00% | 91.67% | 0.17% | 0.00% |
| 12 | 1.20 | -0.27% | -0.20% | 0.07% | 33.33% | 17.17% | 72.22% | 85.71% | -0.22% | 0.00% |
| 20 | 1.20 | -0.06% | -0.60% | -0.54% | 0.00% | 14.14% | 88.89% | 88.89% | -0.50% | 0.00% |
| 12 | 1.00 | 0.16% | -0.47% | -0.63% | 33.33% | 19.95% | 75.00% | 87.96% | -0.27% | 0.00% |
| 20 | 1.00 | -0.06% | -0.69% | -0.64% | 0.00% | 22.47% | 93.33% | 85.71% | -0.41% | 0.00% |
| 30 | 1.00 | 0.08% | -0.69% | -0.77% | 0.00% | 22.47% | 93.33% | 85.71% | -0.41% | 0.00% |
| 30 | 1.20 | 0.14% | -0.64% | -0.78% | 0.00% | 8.59% | 100.00% | 87.78% | -0.64% | 0.00% |
| 30 | 1.50 | 0.61% | -0.44% | -1.06% | 0.00% | 5.81% | 100.00% | 91.67% | -0.67% | 50.00% |
| 20 | 1.50 | 1.16% | -0.44% | -1.61% | 0.00% | 5.81% | 100.00% | 80.56% | -0.67% | 50.00% |
| asset | signals_total | naive_only_count | slot_only_count | both_pass_count | both_fail_count | signal_share | naive_only_share | slot_only_share | both_pass_share | both_fail_share |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | 9 | 3 | 1 | 0 | 5 | 100.00% | 33.33% | 11.11% | 0.00% | 55.56% |
| ETH-USD | 8 | 0 | 0 | 2 | 6 | 100.00% | 0.00% | 0.00% | 25.00% | 75.00% |
| SOL-USD | 8 | 2 | 0 | 3 | 3 | 100.00% | 25.00% | 0.00% | 37.50% | 37.50% |
slot_rvol 只允许用 signal 当根及之前、同 symbol、同 HH:MM 的历史已完成 bar 构造；没有足够历史就不判通过。next-bar open + no-overlap，禁止同 bar 既判 gate 又按同 bar 成交。