生成时间：2026-03-21 06:36 UTC｜样本冻结：BTC / ETH / SOL 15m 最近 30 天本地 cache + Binance funding / 5m OI 聚合到 15m。
把 funding × OI crowding breadth 收窄成 shared overlay 之后，它能不能在不过度砍样本的前提下，给最小 baseline 带来更诚实的 post-cost expectancy / failure-rate / retention 改善？
ema_trend_long、reclaim_long、breakdown_short。size × 0.6 @ p80、veto @ p90、extra confirm @ p80。next-bar open + no-overlap + hold 8 bars。park
最好的最小接法 veto_p90 仍不够诚实：post-cost expectancy 改善 0.04%，跨资产正收益占比 33.33%，trade retention 70.05%。更像单 pocket / 砍交易数换来的好看数字，不值得继续占 desk 主资源。
| rank | candidate | best_variant_6bps | recommended_action | why_now | main_weakness | usefulness | time_stability | cross_asset_stability | cost_trade_stability | deployability | hard_fail_flags |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 138.00 | funding × OI cross-symbol crowding breadth overlay | veto_p90 | park | best minimal overlay=veto_p90 @ 6bps；expectancy_delta=0.04%，trade_retention=70.05%，positive_asset_ratio=33.33%。 | 未做时间稳定性/更长样本；当前只是一轮 30d clean replication。 | 2.00 | 1.00 | 0.00 | 2.00 | 2.00 | single_pocket_dependency |
| asset | symbol | bars_15m | oi_rows_5m | funding_rows | sample_start_utc | sample_end_utc |
|---|---|---|---|---|---|---|
| BTC-USD | BTCUSDT | 2881.00 | 8063.00 | 96.00 | 2026-02-14T12:00:00Z | 2026-03-16T12:00:00Z |
| ETH-USD | ETHUSDT | 2881.00 | 8063.00 | 96.00 | 2026-02-14T12:00:00Z | 2026-03-16T12:00:00Z |
| SOL-USD | SOLUSDT | 2881.00 | 8064.00 | 96.00 | 2026-02-14T12:00:00Z | 2026-03-16T12:00:00Z |
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_exposure_retention | mean_avg_net_ret | mean_failure_rate_4bars | mean_max_drawdown |
|---|---|---|---|---|---|---|---|---|---|---|
| breakdown_short | baseline | 6 | 1.01% | 66.67% | 23.7 | 100.00% | 100.00% | 0.06% | 55.44% | -4.51% |
| breakdown_short | extra_confirm_p80 | 6 | 1.54% | 100.00% | 19.7 | 83.13% | 83.13% | 0.09% | 56.11% | -2.83% |
| breakdown_short | size_discount_p80 | 6 | 0.10% | 33.33% | 23.7 | 100.00% | 85.64% | 0.02% | 55.44% | -3.76% |
| breakdown_short | veto_p90 | 6 | 1.24% | 100.00% | 18.0 | 75.20% | 75.20% | 0.08% | 53.79% | -2.83% |
| ema_trend_long | baseline | 6 | -5.00% | 33.33% | 112.3 | 100.00% | 100.00% | -0.04% | 50.72% | -13.42% |
| ema_trend_long | extra_confirm_p80 | 6 | -5.68% | 0.00% | 87.0 | 77.47% | 77.47% | -0.06% | 48.34% | -13.51% |
| ema_trend_long | size_discount_p80 | 6 | -4.58% | 33.33% | 112.3 | 100.00% | 79.82% | -0.04% | 50.72% | -11.72% |
| ema_trend_long | veto_p90 | 6 | -0.33% | 33.33% | 78.7 | 70.05% | 70.05% | -0.00% | 47.44% | -8.75% |
| reclaim_long | baseline | 6 | -5.27% | 33.33% | 64.3 | 100.00% | 100.00% | -0.08% | 55.90% | -10.40% |
| reclaim_long | extra_confirm_p80 | 6 | -2.52% | 33.33% | 47.7 | 74.07% | 74.07% | -0.04% | 55.99% | -7.10% |
| reclaim_long | size_discount_p80 | 6 | -4.04% | 33.33% | 64.3 | 100.00% | 80.72% | -0.06% | 55.90% | -8.77% |
| reclaim_long | veto_p90 | 6 | -3.73% | 33.33% | 49.0 | 76.24% | 76.24% | -0.07% | 56.64% | -9.34% |
| asset | setup | variant | cost_bps_per_side | signal_events | trades | trade_count_retention | exposure_retention | total_return | avg_net_ret | win_rate | failure_rate_4bars | max_drawdown | crowded_trade_share |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | ema_trend_long | baseline | 6 | 111 | 111 | 100.00% | 100.00% | -12.64% | -0.12% | 37.84% | 49.55% | -15.59% | 54.05% |
| BTC-USD | ema_trend_long | size_discount_p80 | 6 | 111 | 111 | 100.00% | 78.38% | -11.78% | -0.11% | 37.84% | 49.55% | -13.96% | 54.05% |
| BTC-USD | ema_trend_long | veto_p90 | 6 | 125 | 79 | 71.17% | 71.17% | -10.40% | -0.14% | 39.24% | 49.37% | -12.76% | 32.91% |
| BTC-USD | ema_trend_long | extra_confirm_p80 | 6 | 122 | 89 | 80.18% | 80.18% | -14.16% | -0.17% | 35.96% | 44.94% | -15.81% | 39.33% |
| BTC-USD | reclaim_long | baseline | 6 | 66 | 66 | 100.00% | 100.00% | -8.46% | -0.13% | 33.33% | 59.09% | -9.26% | 48.48% |
| BTC-USD | reclaim_long | size_discount_p80 | 6 | 66 | 66 | 100.00% | 80.61% | -5.92% | -0.09% | 33.33% | 59.09% | -7.42% | 48.48% |
| BTC-USD | reclaim_long | veto_p90 | 6 | 73 | 47 | 71.21% | 71.21% | -3.80% | -0.08% | 31.91% | 61.70% | -6.59% | 27.66% |
| BTC-USD | reclaim_long | extra_confirm_p80 | 6 | 72 | 50 | 75.76% | 75.76% | -3.30% | -0.06% | 32.00% | 54.00% | -7.35% | 30.00% |
| BTC-USD | breakdown_short | baseline | 6 | 25 | 25 | 100.00% | 100.00% | -2.70% | -0.10% | 44.00% | 56.00% | -7.42% | 36.00% |
| BTC-USD | breakdown_short | size_discount_p80 | 6 | 25 | 25 | 100.00% | 85.60% | -1.54% | -0.06% | 44.00% | 56.00% | -5.16% | 36.00% |
| BTC-USD | breakdown_short | veto_p90 | 6 | 25 | 18 | 72.00% | 72.00% | 1.37% | 0.08% | 44.44% | 50.00% | -2.37% | 11.11% |
| BTC-USD | breakdown_short | extra_confirm_p80 | 6 | 25 | 20 | 80.00% | 80.00% | 1.04% | 0.05% | 50.00% | 55.00% | -2.37% | 20.00% |
| ETH-USD | ema_trend_long | baseline | 6 | 112 | 112 | 100.00% | 100.00% | -7.44% | -0.06% | 46.43% | 49.11% | -10.22% | 43.75% |
| ETH-USD | ema_trend_long | size_discount_p80 | 6 | 112 | 112 | 100.00% | 82.50% | -5.23% | -0.04% | 46.43% | 49.11% | -8.38% | 43.75% |
| ETH-USD | ema_trend_long | veto_p90 | 6 | 121 | 80 | 71.43% | 71.43% | -2.00% | -0.02% | 46.25% | 47.50% | -5.96% | 20.00% |
| ETH-USD | ema_trend_long | extra_confirm_p80 | 6 | 122 | 87 | 77.68% | 77.68% | -1.85% | -0.02% | 43.68% | 47.13% | -11.48% | 25.29% |
| ETH-USD | reclaim_long | baseline | 6 | 64 | 64 | 100.00% | 100.00% | -8.11% | -0.12% | 28.12% | 57.81% | -10.86% | 45.31% |
| ETH-USD | reclaim_long | size_discount_p80 | 6 | 64 | 64 | 100.00% | 81.88% | -7.89% | -0.12% | 28.12% | 57.81% | -9.63% | 45.31% |
| ETH-USD | reclaim_long | veto_p90 | 6 | 71 | 49 | 76.56% | 76.56% | -7.91% | -0.16% | 26.53% | 59.18% | -10.44% | 28.57% |
| ETH-USD | reclaim_long | extra_confirm_p80 | 6 | 69 | 47 | 73.44% | 73.44% | -5.77% | -0.12% | 27.66% | 57.45% | -7.45% | 25.53% |
| ETH-USD | breakdown_short | baseline | 6 | 19 | 19 | 100.00% | 100.00% | 3.81% | 0.20% | 57.89% | 47.37% | -2.25% | 42.11% |
| ETH-USD | breakdown_short | size_discount_p80 | 6 | 19 | 19 | 100.00% | 83.16% | 2.68% | 0.14% | 57.89% | 47.37% | -2.25% | 42.11% |
| ETH-USD | breakdown_short | veto_p90 | 6 | 21 | 13 | 68.42% | 68.42% | 1.66% | 0.13% | 53.85% | 46.15% | -2.25% | 15.38% |
| ETH-USD | breakdown_short | extra_confirm_p80 | 6 | 21 | 16 | 84.21% | 84.21% | 2.76% | 0.18% | 62.50% | 43.75% | -2.25% | 31.25% |
| SOL-USD | ema_trend_long | baseline | 6 | 114 | 114 | 100.00% | 100.00% | 5.08% | 0.05% | 41.23% | 53.51% | -14.47% | 53.51% |
| SOL-USD | ema_trend_long | size_discount_p80 | 6 | 114 | 114 | 100.00% | 78.60% | 3.27% | 0.03% | 41.23% | 53.51% | -12.83% | 53.51% |
| SOL-USD | ema_trend_long | veto_p90 | 6 | 124 | 77 | 67.54% | 67.54% | 11.42% | 0.15% | 41.56% | 45.45% | -7.54% | 29.87% |
| SOL-USD | ema_trend_long | extra_confirm_p80 | 6 | 123 | 85 | 74.56% | 74.56% | -1.03% | -0.00% | 37.65% | 52.94% | -13.23% | 36.47% |
| SOL-USD | reclaim_long | baseline | 6 | 63 | 63 | 100.00% | 100.00% | 0.76% | 0.02% | 39.68% | 50.79% | -11.08% | 50.79% |
| SOL-USD | reclaim_long | size_discount_p80 | 6 | 63 | 63 | 100.00% | 79.68% | 1.69% | 0.03% | 39.68% | 50.79% | -9.27% | 50.79% |
| SOL-USD | reclaim_long | veto_p90 | 6 | 70 | 51 | 80.95% | 80.95% | 0.51% | 0.02% | 37.25% | 49.02% | -10.98% | 37.25% |
| SOL-USD | reclaim_long | extra_confirm_p80 | 6 | 75 | 46 | 73.02% | 73.02% | 1.50% | 0.04% | 39.13% | 56.52% | -6.49% | 28.26% |
| SOL-USD | breakdown_short | baseline | 6 | 27 | 27 | 100.00% | 100.00% | 1.91% | 0.08% | 44.44% | 62.96% | -3.87% | 29.63% |
| SOL-USD | breakdown_short | size_discount_p80 | 6 | 27 | 27 | 100.00% | 88.15% | -0.84% | -0.02% | 44.44% | 62.96% | -3.87% | 29.63% |
| SOL-USD | breakdown_short | veto_p90 | 6 | 29 | 23 | 85.19% | 85.19% | 0.70% | 0.04% | 39.13% | 65.22% | -3.87% | 17.39% |
| SOL-USD | breakdown_short | extra_confirm_p80 | 6 | 28 | 23 | 85.19% | 85.19% | 0.82% | 0.05% | 43.48% | 69.57% | -3.87% | 17.39% |
| timestamp | long_crowd_breadth | short_crowd_breadth | long_p80 | long_p90 | short_p80 | short_p90 | observed_assets |
|---|---|---|---|---|---|---|---|
| 2026-03-16 06:15:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 06:30:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 06:45:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 07:00:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 07:15:00+00:00 | 0.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 07:30:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 07:45:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 08:00:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 08:15:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 08:30:00+00:00 | 0.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 08:45:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 09:00:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 09:15:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 09:30:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 09:45:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 10:00:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 10:15:00+00:00 | 66.67% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 10:30:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 10:45:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 11:00:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 11:15:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 11:30:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 11:45:00+00:00 | 100.00% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |
| 2026-03-16 12:00:00+00:00 | 33.33% | 0.00% | 33.33% | 66.67% | 66.67% | 66.67% | 3 |