Rank 119 · confirmed swing + HTF alignment long-side context · minimal clean replication

生成时间：2026-03-20 11:49 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；15m/1h 结构都按 confirmed swing 实现，再用 merge_asof(backward) 把已收盘 1h 结构并回 15m；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，long-side context 相对 baseline 的 total-return 改善约 -0.00%、retention 0.00%、false-follow 改善约 -；更像样本重排，不足以继续占 fast lane。

冻结下来的唯一方案

• swing lookback: 5
• 15m structure max age: 8
• 1h structure max age: 4
• 比较两臂: baseline vs long_context_only

测试段总表

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_retention	mean_false_follow_4bars	mean_context_conflict_rate	mean_entries	mean_expectancy
baseline	6.0	0.00%	33.33%	100.00%	75.00%	100.00%	8.33	0.01%
long_context_only	6.0	0.00%	0.00%	0.00%	-	-	0.00	-

测试段分资产

asset	variant	cost_bps_per_side	signals_total	entries	retention	mean_total_return	post_cost_expectancy	false_follow_4bars_rate	context_conflict_rate	win_rate
BTC-USD	baseline	6.0	9	9	100.00%	-1.10%	-0.12%	100.00%	100.00%	22.22%
BTC-USD	long_context_only	6.0	9	0	0.00%	0.00%	-	-	-	-
ETH-USD	baseline	6.0	8	8	100.00%	-0.38%	-0.05%	75.00%	100.00%	50.00%
ETH-USD	long_context_only	6.0	8	0	0.00%	0.00%	-	-	-	-
SOL-USD	baseline	6.0	8	8	100.00%	1.49%	0.19%	50.00%	100.00%	37.50%
SOL-USD	long_context_only	6.0	8	0	0.00%	0.00%	-	-	-	-

训练段冻结网格（6bps）

max_age_15m	max_age_1h	baseline_mean_total_return	context_mean_total_return	uplift_total_return	context_positive_asset_ratio	context_mean_retention	context_false_follow	base_false_follow	context_mean_expectancy
8	4	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
8	8	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
8	12	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
16	4	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
16	8	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
16	12	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
24	4	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
24	8	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-
24	12	-1.48%	0.00%	1.48%	0.00%	0.00%	-	88.38%	-

测试段 context 分歧摘要

asset	signals_total	context_pass_count	baseline_only_count	both_entry_count	context_veto_count	signal_share	context_pass_share	baseline_only_share	both_entry_share	context_veto_share
BTC-USD	9	0	9	0	9	100.00%	0.00%	100.00%	0.00%	100.00%
ETH-USD	8	0	8	0	8	100.00%	0.00%	100.00%	0.00%	100.00%
SOL-USD	8	0	8	0	8	100.00%	0.00%	100.00%	0.00%	100.00%

诚实边界

• confirmed swing 必须等确认后才可用，不能把还未确认的局部高低点倒灌给当前信号。
• 1h 结构只能来自已收盘 1h bar，并用 merge_asof(backward) 并回 15m。
• 这条线只测 Fib / EMA 的 long-side context；不允许外推成 breakout-short 的 shared short gate，更不是独立 alpha。
• 若 uplift 主要来自砍样本、而不是更好的 post-cost expectancy / false-follow 压降，就应直接 park。