Rank 150 · EMA / PSAR 单 family honest gate
生成时间：2026-03-23 13:56 UTC ｜ 样本：BTC/ETH/SOL 120d 15m cache ｜ 执行：signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars ｜ DFA window=192
一句话结论
keep_P1 but stronger: EMA / PSAR 单 family 上，high-persistence allow 已形成诚实 gate 证据；下一步可以考虑 P2 前的一次轻量稳定性或第二 family 复核。
- baseline：mean_net_ret=-0.12%，retention=95.24%，early_fail=53.00%
- high_only：mean_net_ret=0.08%，retention=31.13%，early_fail=54.55%
- low_veto_mid_half：mean_net_ret=0.03%，retention=51.89%，early_fail=54.55%
Primary pooled summary @ 6bps/side
| variant | signal_events | trades | trade_retention | avg_size | total_net_return | mean_net_ret | win_rate | early_fail_rate | positive_asset_ratio |
|---|
| baseline | 105.00 | 100.00 | 95.24% | 1.00 | -0.1243 | -0.12% | 40.00% | 53.00% | 33.33% |
| high_only | 106.00 | 33.00 | 31.13% | 1.00 | 0.0257 | 0.08% | 45.45% | 54.55% | 33.33% |
| low_veto_mid_half | 106.00 | 55.00 | 51.89% | 0.80 | 0.0156 | 0.03% | 41.82% | 54.55% | 33.33% |
By asset
| asset | variant | trades | trade_retention | avg_size | total_net_return | mean_net_ret | win_rate | early_fail_rate |
|---|
| BTC-USD | baseline | 34.00 | 100.00% | 1.00 | -0.0079 | -0.02% | 50.00% | 52.94% |
| BTC-USD | high_only | 10.00 | 28.57% | 1.00 | -0.0087 | -0.09% | 60.00% | 70.00% |
| BTC-USD | low_veto_mid_half | 14.00 | 40.00% | 0.86 | -0.0084 | -0.06% | 57.14% | 57.14% |
| ETH-USD | baseline | 33.00 | 94.29% | 1.00 | -0.1734 | -0.53% | 33.33% | 57.58% |
| ETH-USD | high_only | 13.00 | 37.14% | 1.00 | -0.0085 | -0.07% | 46.15% | 38.46% |
| ETH-USD | low_veto_mid_half | 20.00 | 57.14% | 0.82 | -0.0434 | -0.22% | 30.00% | 55.00% |
| SOL-USD | baseline | 33.00 | 91.67% | 1.00 | 0.0570 | 0.17% | 36.36% | 48.48% |
| SOL-USD | high_only | 10.00 | 27.78% | 1.00 | 0.0429 | 0.43% | 30.00% | 60.00% |
| SOL-USD | low_veto_mid_half | 21.00 | 58.33% | 0.74 | 0.0673 | 0.32% | 42.86% | 52.38% |
Gate bucket mix @ 6bps/side
| variant | bucket | trades | share | mean_net_ret | avg_size |
|---|
| baseline | high | 33.00 | 33.00% | 0.08% | 1.00 |
| baseline | low | 45.00 | 45.00% | -0.29% | 1.00 |
| baseline | mid | 22.00 | 22.00% | -0.09% | 1.00 |
| high_only | high | 33.00 | 100.00% | 0.08% | 1.00 |
| low_veto_mid_half | high | 33.00 | 60.00% | 0.08% | 1.00 |
| low_veto_mid_half | mid | 22.00 | 40.00% | -0.05% | 0.50 |
Signal exposure before gating
| asset | signals | high_share | mid_share | low_share |
|---|
| BTC-USD | 38.00 | 31.58% | 13.16% | 55.26% |
| ETH-USD | 36.00 | 36.11% | 19.44% | 38.89% |
| SOL-USD | 36.00 | 27.78% | 30.56% | 33.33% |
Time stability check @ 6bps/side
这轮新增的最小 decisive 检查：把 baseline 与 high_only 按月拆开。结果很直接：
- 2025-11 ~ 2026-02：
high_only 月均仍多为负，只是比 baseline 少亏。
- 2026-03：
high_only 才明显转强，单月 mean net ≈ 1.50%。
- 所以当前更像 drawdown shrink / left-tail clean-up，还不是跨月都稳定赚钱的 allow gate。
| variant | month | trades | mean_net_ret | total_net_return | win_rate | early_fail_rate |
|---|
| baseline | 2025-11 | 9 | -0.27% | -2.46% | 44.44% | 44.44% |
| baseline | 2025-12 | 26 | -0.55% | -14.25% | 26.92% | 65.38% |
| baseline | 2026-01 | 26 | -0.17% | -4.35% | 34.62% | 42.31% |
| baseline | 2026-02 | 20 | 0.02% | 0.45% | 45.00% | 65.00% |
| baseline | 2026-03 | 19 | 0.43% | 8.18% | 57.89% | 42.11% |
| high_only | 2025-11 | 3 | -0.52% | -1.57% | 33.33% | 33.33% |
| high_only | 2025-12 | 11 | -0.11% | -1.21% | 36.36% | 63.64% |
| high_only | 2026-01 | 8 | -0.01% | -0.12% | 37.50% | 62.50% |
| high_only | 2026-02 | 7 | -0.08% | -0.53% | 57.14% | 57.14% |
| high_only | 2026-03 | 4 | 1.50% | 6.00% | 75.00% | 25.00% |
对比 uplift（high_only - baseline）：
| month | baseline | high_only | uplift_vs_baseline |
|---|
| 2025-11 | -0.002734146908669089 | -0.005223441339190533 | -0.25% |
| 2025-12 | -0.005481422323746323 | -0.0011010190245885636 | 0.44% |
| 2026-01 | -0.0016730885705419961 | -0.00014664367073280015 | 0.15% |
| 2026-02 | 0.0002263034818975697 | -0.0007574674016203711 | -0.10% |
| 2026-03 | 0.004305057519223753 | 0.01498956335163635 | 1.07% |
Artifacts：pooled_summary.csv、asset_summary.csv、bucket_mix_primary_cost.csv、monthly_stability_primary_cost.csv、monthly_uplift_vs_baseline_primary_cost.csv、family_honest_gate_meta.json。