生成时间：2026-03-20 15:15:44 UTC
park / evidence pool
这轮 clean replication 没把结构锚 stop 证明成更诚实的 desk 级升级：改善若存在，也更像来自 stop 更宽，而不是更好的成本后期望。
fib_retest_long + ema_psar_long + breakout_shortBTC/ETH/SOL 120d 15msignal 当根及之前数据 + next-bar open + no-overlap + hold 8 barsATR-only、wick+ATR、wick+pctATR x 1.5 / wick ± 0.25 ATR / wick ± 0.2% / 反向 K lookback 6| variant | cost_bps_per_side | mean_total_return | mean_avg_trade_return | mean_stop_hit_4bars | mean_stop_hit_8bars | mean_avg_stop_distance_pct | mean_trades | positive_setup_ratio |
|---|---|---|---|---|---|---|---|---|
| atr_only | 6.0 | -6.19% | -0.04% | 33.84% | 50.01% | 0.70% | 94.33 | 33.33% |
| wick_atr | 6.0 | -7.85% | -0.04% | 20.66% | 33.22% | 1.14% | 91.56 | 33.33% |
| wick_pct | 6.0 | -7.21% | -0.04% | 17.20% | 28.95% | 1.23% | 90.67 | 33.33% |
| setup | variant | mean_total_return | mean_avg_trade_return | mean_stop_hit_4bars | mean_stop_hit_8bars | mean_avg_stop_distance_pct | mean_trades | positive_asset_ratio |
|---|---|---|---|---|---|---|---|---|
| breakout_short | atr_only | -15.57% | -0.07% | 28.63% | 47.71% | 0.73% | 235.33 | 0.00% |
| breakout_short | wick_atr | -20.32% | -0.09% | 11.69% | 25.13% | 1.33% | 228.00 | 0.00% |
| breakout_short | wick_pct | -18.68% | -0.08% | 9.44% | 20.18% | 1.41% | 226.00 | 0.00% |
| ema_psar_long | atr_only | -3.36% | -0.09% | 41.06% | 55.86% | 0.68% | 36.33 | 33.33% |
| ema_psar_long | wick_atr | -4.21% | -0.12% | 26.05% | 38.17% | 1.05% | 35.67 | 33.33% |
| ema_psar_long | wick_pct | -3.56% | -0.10% | 20.95% | 33.33% | 1.14% | 35.00 | 33.33% |
| fib_retest_long | atr_only | 0.38% | 0.04% | 31.82% | 46.46% | 0.68% | 11.33 | 66.67% |
| fib_retest_long | wick_atr | 0.98% | 0.09% | 24.24% | 36.36% | 1.04% | 11.00 | 66.67% |
| fib_retest_long | wick_pct | 0.61% | 0.06% | 21.21% | 33.33% | 1.13% | 11.00 | 66.67% |
| setup | asset | variant | trades | mean_total_return | avg_trade_return | stop_hit_4bars | stop_hit_8bars | avg_stop_distance_pct |
|---|---|---|---|---|---|---|---|---|
| breakout_short | BTC-USD | atr_only | 239 | -22.48% | -0.10% | 31.38% | 53.56% | 0.55% |
| breakout_short | BTC-USD | wick_atr | 229 | -22.80% | -0.11% | 12.66% | 26.20% | 0.98% |
| breakout_short | BTC-USD | wick_pct | 226 | -22.02% | -0.10% | 8.85% | 17.26% | 1.10% |
| breakout_short | ETH-USD | atr_only | 226 | -7.57% | -0.03% | 29.20% | 45.58% | 0.79% |
| breakout_short | ETH-USD | wick_atr | 220 | -22.15% | -0.10% | 10.91% | 24.09% | 1.44% |
| breakout_short | ETH-USD | wick_pct | 218 | -20.65% | -0.10% | 9.63% | 20.64% | 1.51% |
| breakout_short | SOL-USD | atr_only | 241 | -16.66% | -0.07% | 25.31% | 43.98% | 0.86% |
| breakout_short | SOL-USD | wick_atr | 235 | -16.02% | -0.06% | 11.49% | 25.11% | 1.58% |
| breakout_short | SOL-USD | wick_pct | 234 | -13.36% | -0.05% | 9.83% | 22.65% | 1.63% |
| ema_psar_long | BTC-USD | atr_only | 38 | -7.81% | -0.21% | 50.00% | 60.53% | 0.51% |
| ema_psar_long | BTC-USD | wick_atr | 37 | -7.47% | -0.21% | 32.43% | 45.95% | 0.76% |
| ema_psar_long | BTC-USD | wick_pct | 35 | -4.12% | -0.12% | 25.71% | 37.14% | 0.89% |
| ema_psar_long | ETH-USD | atr_only | 36 | -8.78% | -0.25% | 38.89% | 52.78% | 0.76% |
| ema_psar_long | ETH-USD | wick_atr | 35 | -10.45% | -0.31% | 17.14% | 28.57% | 1.28% |
| ema_psar_long | ETH-USD | wick_pct | 35 | -10.84% | -0.32% | 14.29% | 25.71% | 1.35% |
| ema_psar_long | SOL-USD | atr_only | 35 | 6.51% | 0.19% | 34.29% | 54.29% | 0.78% |
| ema_psar_long | SOL-USD | wick_atr | 35 | 5.29% | 0.16% | 28.57% | 40.00% | 1.12% |
| ema_psar_long | SOL-USD | wick_pct | 35 | 4.28% | 0.14% | 22.86% | 37.14% | 1.19% |
| fib_retest_long | BTC-USD | atr_only | 11 | 2.20% | 0.20% | 27.27% | 27.27% | 0.51% |
| fib_retest_long | BTC-USD | wick_atr | 11 | 2.09% | 0.19% | 18.18% | 18.18% | 0.84% |
| fib_retest_long | BTC-USD | wick_pct | 11 | 1.76% | 0.16% | 18.18% | 18.18% | 0.95% |
| fib_retest_long | ETH-USD | atr_only | 12 | -2.75% | -0.23% | 50.00% | 66.67% | 0.69% |
| fib_retest_long | ETH-USD | wick_atr | 11 | -0.09% | -0.00% | 27.27% | 36.36% | 1.17% |
| fib_retest_long | ETH-USD | wick_pct | 11 | -0.43% | -0.04% | 27.27% | 36.36% | 1.25% |
| fib_retest_long | SOL-USD | atr_only | 11 | 1.67% | 0.16% | 18.18% | 45.45% | 0.84% |
| fib_retest_long | SOL-USD | wick_atr | 11 | 0.93% | 0.09% | 27.27% | 54.55% | 1.12% |
| fib_retest_long | SOL-USD | wick_pct | 11 | 0.50% | 0.05% | 18.18% | 45.45% | 1.18% |
| setup | variant | mean_stop_distance_pct | median_stop_distance_pct | p90_stop_distance_pct | max_stop_distance_pct |
|---|---|---|---|---|---|
| breakout_short | atr_only | 0.73% | 0.65% | 1.21% | 4.37% |
| breakout_short | wick_atr | 1.33% | 1.04% | 2.44% | 13.54% |
| breakout_short | wick_pct | 1.41% | 1.13% | 2.47% | 13.04% |
| ema_psar_long | atr_only | 0.68% | 0.63% | 1.10% | 1.71% |
| ema_psar_long | wick_atr | 1.05% | 0.77% | 1.97% | 3.62% |
| ema_psar_long | wick_pct | 1.14% | 0.88% | 2.06% | 3.62% |
| fib_retest_long | atr_only | 0.68% | 0.63% | 1.09% | 1.31% |
| fib_retest_long | wick_atr | 1.04% | 0.90% | 1.89% | 2.92% |
| fib_retest_long | wick_pct | 1.13% | 0.97% | 1.90% | 2.97% |
signal 当根及之前 的已完成 bar 里找。wick+pct 只是对照组，不是默认更优解。