生成时间：2026-03-20 11:20 UTC · 只测 1 条 archetype：breakout_short
本轮 hard verdict：park
改善主要来自砍样本或 blackout 过度过滤，没有形成足够诚实的 desk uplift。
固定口径：signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。比较三臂：baseline / sign_gate_only / sign_gate_plus_blackout。
这轮不是在找新 alpha，而是在问：breakout-short follow-up 能不能靠 intraday sign-asymmetry + no-jump / no-FOMC 变得更诚实。
改善主要来自砍样本或 blackout 过度过滤，没有形成足够诚实的 desk uplift。
| variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_retention | mean_avg_net_ret | mean_win_rate | mean_false_follow_4bars | mean_jump_blackout_share | mean_fomc_blackout_share |
|---|---|---|---|---|---|---|---|---|---|---|
| baseline | 6.00 | -3.48% | 0.00% | 9.00 | 100.00% | -0.37% | 24.14% | 88.08% | 45.45% | 0.00% |
| sign_gate_only | 6.00 | -2.02% | 0.00% | 3.00 | 31.01% | -0.98% | 8.33% | 91.67% | 58.33% | 0.00% |
| sign_gate_plus_blackout | 6.00 | -1.48% | 0.00% | 1.67 | 15.76% | -0.83% | 0.00% | 100.00% | 0.00% | 0.00% |
| asset | variant | cost_bps_per_side | signal_count | trade_count | trade_retention | mean_total_return | mean_avg_net_ret | win_rate | false_follow_4bars | jump_blackout_share | fomc_blackout_share | neutral_sign_share |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | baseline | 6.00 | 10.00 | 10.00 | 100.00% | -1.49% | -0.15% | 30.00% | 90.00% | 50.00% | 0.00% | 0.00% |
| ETH-USD | baseline | 6.00 | 6.00 | 6.00 | 100.00% | -2.11% | -0.35% | 33.33% | 83.33% | 50.00% | 0.00% | 0.00% |
| SOL-USD | baseline | 6.00 | 11.00 | 11.00 | 100.00% | -6.84% | -0.62% | 9.09% | 90.91% | 36.36% | 0.00% | 0.00% |
| BTC-USD | sign_gate_only | 6.00 | 10.00 | 4.00 | 40.00% | -0.56% | -0.14% | 25.00% | 75.00% | 50.00% | 0.00% | 0.00% |
| ETH-USD | sign_gate_only | 6.00 | 6.00 | 1.00 | 16.67% | -1.92% | -1.92% | 0.00% | 100.00% | 100.00% | 0.00% | 0.00% |
| SOL-USD | sign_gate_only | 6.00 | 11.00 | 4.00 | 36.36% | -3.57% | -0.89% | 0.00% | 100.00% | 25.00% | 0.00% | 0.00% |
| BTC-USD | sign_gate_plus_blackout | 6.00 | 10.00 | 2.00 | 20.00% | -1.09% | -0.54% | 0.00% | 100.00% | 0.00% | 0.00% | 0.00% |
| ETH-USD | sign_gate_plus_blackout | 6.00 | 6.00 | 0.00 | 0.00% | 0.00% | - | - | - | - | - | - |
| SOL-USD | sign_gate_plus_blackout | 6.00 | 11.00 | 3.00 | 27.27% | -3.35% | -1.12% | 0.00% | 100.00% | 0.00% | 0.00% | 0.00% |
| asset | train_signals | test_signals | train_non_neutral_share | test_non_neutral_share | train_no_jump_share | test_no_jump_share |
|---|---|---|---|---|---|---|
| BTC-USD | 13.00 | 10.00 | 46.15% | 100.00% | 53.85% | 50.00% |
| ETH-USD | 8.00 | 6.00 | 50.00% | 100.00% | 37.50% | 50.00% |
| SOL-USD | 15.00 | 11.00 | 40.00% | 100.00% | 73.33% | 63.64% |