Rank 123 / RSI enter→exit→re-enter state-machine admission · 最小 clean replication

本轮 hard verdict

park / evidence pool

这轮 clean replication 没把 RSI state-machine 变成更硬的 desk 级 long-side admission：若有改善也主要更像缩样本后的外观变化，而不是稳定 post-cost uplift。

• 只挂两条 long-side base setup：fib_retest_long + ema_psar_long
• 样本：BTC/ETH/SOL 120d 15m
• 执行：signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars
• 训练段冻结参数：lookback=8 / recent RSI min<=45 / signal RSI>=52
• 比较两臂：baseline vs relaxed_rsi_state_gate

desk 级测试段摘要

variant	cost_bps_per_side	mean_total_return	mean_avg_trade_return	mean_retention	mean_false_follow_4bars	mean_entries	positive_setup_ratio
baseline	6.0	1.61%	0.06%	100.00%	78.06%	10.17	50.00%
relaxed_gate	6.0	0.97%	0.61%	56.46%	72.86%	4.17	50.00%

按 setup 的测试段摘要（6 bps/side）

setup	variant	mean_total_return	mean_avg_trade_return	mean_retention	mean_false_follow_4bars	mean_entries	positive_asset_ratio
ema_psar_long	baseline	3.95%	0.26%	100.00%	76.11%	15.33	33.33%
fib_retest_long	baseline	-0.72%	-0.14%	100.00%	80.00%	5.00	0.00%
ema_psar_long	relaxed_gate	2.32%	1.29%	26.25%	69.05%	4.00	33.33%
fib_retest_long	relaxed_gate	-0.38%	-0.08%	86.67%	76.67%	4.33	33.33%

分资产摘要（6 bps/side）

setup	asset	variant	signals_total	entries	retention	mean_total_return	avg_trade_return	false_follow_4bars
ema_psar_long	BTC-USD	baseline	16	16	100.00%	-2.31%	-0.14%	75.00%
ema_psar_long	ETH-USD	baseline	15	15	100.00%	-1.11%	-0.06%	73.33%
ema_psar_long	SOL-USD	baseline	15	15	100.00%	15.27%	0.98%	80.00%
fib_retest_long	BTC-USD	baseline	5	5	100.00%	-0.16%	-0.03%	100.00%
fib_retest_long	ETH-USD	baseline	5	5	100.00%	-0.72%	-0.14%	80.00%
fib_retest_long	SOL-USD	baseline	5	5	100.00%	-1.29%	-0.26%	60.00%
ema_psar_long	BTC-USD	relaxed_gate	16	3	18.75%	-0.57%	-0.18%	100.00%
ema_psar_long	ETH-USD	relaxed_gate	15	7	46.67%	-1.10%	-0.16%	57.14%
ema_psar_long	SOL-USD	relaxed_gate	15	2	13.33%	8.63%	4.22%	50.00%
fib_retest_long	BTC-USD	relaxed_gate	5	4	80.00%	0.42%	0.11%	100.00%
fib_retest_long	ETH-USD	relaxed_gate	5	5	100.00%	-0.72%	-0.14%	80.00%
fib_retest_long	SOL-USD	relaxed_gate	5	4	80.00%	-0.85%	-0.21%	50.00%

训练段冻结网格

floor	recovery	baseline_mean_total_return	gate_mean_total_return	uplift_total_return	gate_mean_retention	gate_false_follow	baseline_false_follow	positive_setup_ratio	gate_mean_entries
40	48	-3.69%	-1.01%	2.68%	22.51%	86.11%	82.78%	0.00%	2.33
40	50	-3.69%	-1.01%	2.68%	22.51%	86.11%	82.78%	0.00%	2.33
40	52	-3.69%	-1.01%	2.68%	22.51%	86.11%	82.78%	0.00%	2.33
45	52	-3.69%	-1.12%	2.56%	47.60%	85.00%	82.78%	50.00%	5.00
45	48	-3.69%	-1.30%	2.38%	51.21%	86.94%	82.78%	50.00%	5.33
45	50	-3.69%	-1.30%	2.38%	51.21%	86.94%	82.78%	50.00%	5.33

gate coverage（train/test）

split	setup	asset	signals	gate_pass_rate	avg_signal_rsi	avg_recent_rsi_min
test	ema_psar_long	BTC-USD	16.00	18.75%	61.60	48.33
test	ema_psar_long	ETH-USD	15.00	46.67%	62.84	48.02
test	ema_psar_long	SOL-USD	15.00	13.33%	61.59	49.63
test	fib_retest_long	BTC-USD	5.00	80.00%	57.74	41.31
test	fib_retest_long	ETH-USD	5.00	100.00%	62.24	42.08
test	fib_retest_long	SOL-USD	5.00	80.00%	60.57	41.28
train	ema_psar_long	BTC-USD	22.00	27.27%	63.42	50.18
train	ema_psar_long	ETH-USD	21.00	28.57%	62.19	46.98
train	ema_psar_long	SOL-USD	21.00	23.81%	61.47	47.19
train	fib_retest_long	BTC-USD	6.00	83.33%	61.08	39.17
train	fib_retest_long	ETH-USD	7.00	71.43%	57.82	44.08
train	fib_retest_long	SOL-USD	6.00	50.00%	55.94	41.98

诚实边界

• 它只测 long-side sparse admission；不 shared 到 breakout_short，也不独立开仓。
• RSI 状态只允许用 signal 当根及之前 的已完成 15m bar 构造。
• 门槛只在训练段冻结，再去测试段验证；禁止按全样本最好看的版本回填。
• 若 uplift 主要来自 retention 掉太狠，而不是成本后收益 / false-follow 更诚实，就应 park。