冻结阈值：训练段 max5m_1h 的 top30%，阈值 = 0.002258
执行口径：BTC/ETH/SOL 120d 5m+15m + signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars
base archetype：ema_reclaim_long + fib_retest_long
当前 hard verdict：park / evidence pool
这轮 clean replication 没把 MAX(5m) 变成更诚实的 desk 分层；改善主要像缩样本或 setup 间不一致，先 park。
这轮只回答一件事：在 EMA reclaim / Fib retest 之后，小时内最猛那根 5 分钟上冲，究竟更像 continuation-confirmation tier，还是只是把样本砍薄的幻觉。为避免偷看，我们先在训练段冻结 high-tier 阈值，再去测试段比较 baseline / max_high_only / exclude_max_high。
| variant | baseline_trades | variant_trades | trade_count_retention | baseline_return | variant_return | return_delta | baseline_failure | variant_failure | failure_delta |
|---|---|---|---|---|---|---|---|---|---|
| max_high_only | 87.00 | 42.00 | 48.28% | -0.09% | -0.11% | -0.02% | 47.13% | 50.00% | 2.87% |
| exclude_max_high | 87.00 | 46.00 | 52.87% | -0.09% | -0.12% | -0.02% | 47.13% | 45.65% | -1.47% |
| setup | variant | baseline_trades | variant_trades | trade_count_retention | baseline_return | variant_return | return_delta | baseline_failure | variant_failure | failure_delta |
|---|---|---|---|---|---|---|---|---|---|---|
| ema_reclaim_long | max_high_only | 22.00 | 9.00 | 40.91% | -0.16% | -0.38% | -0.23% | 59.09% | 66.67% | 7.58% |
| fib_retest_long | max_high_only | 6.00 | 1.00 | 16.67% | -0.18% | -0.58% | -0.40% | 33.33% | 0.00% | -33.33% |
| ema_reclaim_long | exclude_max_high | 22.00 | 13.00 | 59.09% | -0.16% | -0.00% | 0.16% | 59.09% | 53.85% | -5.24% |
| fib_retest_long | exclude_max_high | 6.00 | 5.00 | 83.33% | -0.18% | -0.09% | 0.08% | 33.33% | 40.00% | 6.67% |
| ema_reclaim_long | max_high_only | 29.00 | 18.00 | 62.07% | 0.02% | -0.15% | -0.17% | 44.83% | 55.56% | 10.73% |
| fib_retest_long | max_high_only | 4.00 | 2.00 | 50.00% | -0.16% | -0.16% | -0.00% | 25.00% | 50.00% | 25.00% |
| ema_reclaim_long | exclude_max_high | 29.00 | 12.00 | 41.38% | 0.02% | 0.12% | 0.10% | 44.83% | 33.33% | -11.49% |
| fib_retest_long | exclude_max_high | 4.00 | 2.00 | 50.00% | -0.16% | -0.16% | 0.00% | 25.00% | 0.00% | -25.00% |
| ema_reclaim_long | max_high_only | 24.00 | 12.00 | 50.00% | -0.05% | 0.20% | 0.25% | 41.67% | 33.33% | -8.33% |
| fib_retest_long | max_high_only | 2.00 | 0.00 | 0.00% | -1.23% | - | - | 100.00% | - | - |
| ema_reclaim_long | exclude_max_high | 24.00 | 12.00 | 50.00% | -0.05% | -0.29% | -0.25% | 41.67% | 50.00% | 8.33% |
| fib_retest_long | exclude_max_high | 2.00 | 2.00 | 100.00% | -1.23% | -1.23% | 0.00% | 100.00% | 100.00% | 0.00% |
| asset | variant | baseline_trades | variant_trades | trade_count_retention | baseline_return | variant_return | return_delta | baseline_failure | variant_failure | failure_delta |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | max_high_only | 28.00 | 10.00 | 35.71% | -0.16% | -0.40% | -0.24% | 53.57% | 60.00% | 6.43% |
| BTC-USD | exclude_max_high | 28.00 | 18.00 | 64.29% | -0.16% | -0.03% | 0.13% | 53.57% | 50.00% | -3.57% |
| ETH-USD | max_high_only | 33.00 | 20.00 | 60.61% | 0.00% | -0.15% | -0.15% | 42.42% | 55.00% | 12.58% |
| ETH-USD | exclude_max_high | 33.00 | 14.00 | 42.42% | 0.00% | 0.08% | 0.08% | 42.42% | 28.57% | -13.85% |
| SOL-USD | max_high_only | 26.00 | 12.00 | 46.15% | -0.14% | 0.20% | 0.34% | 46.15% | 33.33% | -12.82% |
| SOL-USD | exclude_max_high | 26.00 | 14.00 | 53.85% | -0.14% | -0.43% | -0.29% | 46.15% | 57.14% | 10.99% |
| variant | cost_bps_per_side | baseline_trades | variant_trades | trade_count_retention | baseline_return | variant_return | return_delta | baseline_failure | variant_failure | failure_delta |
|---|---|---|---|---|---|---|---|---|---|---|
| max_high_only | 6.00 | 87.00 | 42.00 | 48.28% | -0.09% | -0.11% | -0.02% | 47.13% | 50.00% | 2.87% |
| max_high_only | 10.00 | 87.00 | 42.00 | 48.28% | -0.17% | -0.19% | -0.02% | 47.13% | 50.00% | 2.87% |
| max_high_only | 15.00 | 87.00 | 42.00 | 48.28% | -0.27% | -0.29% | -0.02% | 47.13% | 50.00% | 2.87% |
| exclude_max_high | 6.00 | 87.00 | 46.00 | 52.87% | -0.09% | -0.12% | -0.02% | 47.13% | 45.65% | -1.47% |
| exclude_max_high | 10.00 | 87.00 | 46.00 | 52.87% | -0.17% | -0.20% | -0.02% | 47.13% | 45.65% | -1.47% |
| exclude_max_high | 15.00 | 87.00 | 46.00 | 52.87% | -0.27% | -0.30% | -0.02% | 47.13% | 45.65% | -1.47% |
| scope | metric | high_tier_quantile | threshold |
|---|---|---|---|
| global | max5m_1h | 0.70 | 0.002258 |
reports/artifacts/scout_rank128_max5m_impulse_confirmation_tier_15m/overall_summary.csvreports/artifacts/scout_rank128_max5m_impulse_confirmation_tier_15m/setup_summary.csvreports/artifacts/scout_rank128_max5m_impulse_confirmation_tier_15m/asset_summary.csvreports/artifacts/scout_rank128_max5m_impulse_confirmation_tier_15m/cost_summary.csvreports/artifacts/scout_rank128_max5m_impulse_confirmation_tier_15m/summary.json