生成时间：2026-03-24 07:21 UTC｜冻结口径：BTC / ETH、15m 本地 bar cache + Binance funding / 5m OI 聚合到 15m；A/B = funding+OI vs funding+OI+cluster-proxy；出场 = continuation vs reversal；成本 = 6 / 12 / 20 bps round-trip。
park
当前最优格仍不够诚实：funding_oi 在 continuation/15m/12bps 仅 -12.02bps，reversal 同格 -11.98bps。
诚实说明：这里的 cluster 还不是 source repo 里的真实 liquidation heatmap / whale cluster，而是更便宜的 public-proxy——BTC/ETH 同向 45m shock 的两资产共振。它足够做最小 first verdict，但还不够拿来宣称 source 完整复现。
| asset | symbol | bars_15m | oi_rows_5m | funding_rows | sample_start_utc | sample_end_utc |
|---|---|---|---|---|---|---|
| BTC-USD | BTCUSDT | 4321.00 | 8063.00 | 96.00 | 2026-01-30T12:00:00Z | 2026-03-16T12:00:00Z |
| ETH-USD | ETHUSDT | 4321.00 | 8063.00 | 96.00 | 2026-01-30T12:00:00Z | 2026-03-16T12:00:00Z |
| rank | candidate | best_variant | best_exit | best_hold | best_cost_bps_rt | best_mean_net_bps | reversal_same_cell_bps | recommended_action | usefulness | time_stability | cross_asset_stability | cost_trade_stability | deployability | main_weakness |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 153 | liquidation consensus cascade continuation alpha | funding_oi | continuation | 15m | 12 | -12.02 | -11.98 | park | 0.00 | 1.00 | 2.00 | 2.00 | 2.00 | cluster 目前只是本地 public-proxy 共振替身，不是真实 liquidation heatmap；因此 first verdict 只够决定 keep_P1 / park。 |
| variant | exit_mode | hold | cost_bps_rt | event_count | mean_net_bps | win_rate | mean_mfe_bps | mean_mae_bps |
|---|---|---|---|---|---|---|---|---|
| funding_oi | continuation | 15m | 6 | 171 | -6.02 | 36.84% | 24.82 | -25.33 |
| funding_oi | continuation | 15m | 12 | 171 | -12.02 | 30.41% | 24.82 | -25.33 |
| funding_oi | continuation | 15m | 20 | 171 | -20.02 | 20.47% | 24.82 | -25.33 |
| funding_oi | continuation | 30m | 6 | 171 | -8.65 | 39.18% | 32.84 | -36.63 |
| funding_oi | continuation | 30m | 12 | 171 | -14.65 | 36.26% | 32.84 | -36.63 |
| funding_oi | continuation | 30m | 20 | 171 | -22.65 | 28.07% | 32.84 | -36.63 |
| funding_oi | reversal | 15m | 6 | 171 | -5.98 | 46.20% | 25.33 | -24.82 |
| funding_oi | reversal | 15m | 12 | 171 | -11.98 | 34.50% | 25.33 | -24.82 |
| funding_oi | reversal | 15m | 20 | 171 | -19.98 | 23.39% | 25.33 | -24.82 |
| funding_oi | reversal | 30m | 6 | 171 | -3.35 | 45.61% | 36.63 | -32.84 |
| funding_oi | reversal | 30m | 12 | 171 | -9.35 | 39.18% | 36.63 | -32.84 |
| funding_oi | reversal | 30m | 20 | 171 | -17.35 | 31.58% | 36.63 | -32.84 |
| funding_oi_cluster | continuation | 15m | 6 | 20 | -6.83 | 20.00% | 41.70 | -31.07 |
| funding_oi_cluster | continuation | 15m | 12 | 20 | -12.83 | 20.00% | 41.70 | -31.07 |
| funding_oi_cluster | continuation | 15m | 20 | 20 | -20.83 | 5.00% | 41.70 | -31.07 |
| funding_oi_cluster | continuation | 30m | 6 | 20 | 3.64 | 40.00% | 55.30 | -44.41 |
| funding_oi_cluster | continuation | 30m | 12 | 20 | -2.36 | 35.00% | 55.30 | -44.41 |
| funding_oi_cluster | continuation | 30m | 20 | 20 | -10.36 | 35.00% | 55.30 | -44.41 |
| funding_oi_cluster | reversal | 15m | 6 | 20 | -5.17 | 60.00% | 31.07 | -41.70 |
| funding_oi_cluster | reversal | 15m | 12 | 20 | -11.17 | 40.00% | 31.07 | -41.70 |
| funding_oi_cluster | reversal | 15m | 20 | 20 | -19.17 | 35.00% | 31.07 | -41.70 |
| funding_oi_cluster | reversal | 30m | 6 | 20 | -15.64 | 45.00% | 44.41 | -55.30 |
| funding_oi_cluster | reversal | 30m | 12 | 20 | -21.64 | 30.00% | 44.41 | -55.30 |
| funding_oi_cluster | reversal | 30m | 20 | 20 | -29.64 | 30.00% | 44.41 | -55.30 |
| asset | variant | exit_mode | hold | cost_bps_rt | event_count | mean_net_bps | win_rate | mean_mfe_bps | mean_mae_bps |
|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | funding_oi | continuation | 15m | 6 | 91 | -4.72 | 36.26% | 20.07 | -20.77 |
| ETH-USD | funding_oi | continuation | 15m | 6 | 80 | -7.50 | 37.50% | 30.22 | -30.51 |
| BTC-USD | funding_oi | continuation | 15m | 12 | 91 | -10.72 | 28.57% | 20.07 | -20.77 |
| ETH-USD | funding_oi | continuation | 15m | 12 | 80 | -13.50 | 32.50% | 30.22 | -30.51 |
| BTC-USD | funding_oi | continuation | 15m | 20 | 91 | -18.72 | 18.68% | 20.07 | -20.77 |
| ETH-USD | funding_oi | continuation | 15m | 20 | 80 | -21.50 | 22.50% | 30.22 | -30.51 |
| BTC-USD | funding_oi | continuation | 30m | 6 | 91 | -3.63 | 45.05% | 28.60 | -28.76 |
| ETH-USD | funding_oi | continuation | 30m | 6 | 80 | -14.36 | 32.50% | 37.66 | -45.58 |
| BTC-USD | funding_oi | continuation | 30m | 12 | 91 | -9.63 | 41.76% | 28.60 | -28.76 |
| ETH-USD | funding_oi | continuation | 30m | 12 | 80 | -20.36 | 30.00% | 37.66 | -45.58 |
| BTC-USD | funding_oi | continuation | 30m | 20 | 91 | -17.63 | 31.87% | 28.60 | -28.76 |
| ETH-USD | funding_oi | continuation | 30m | 20 | 80 | -28.36 | 23.75% | 37.66 | -45.58 |
| BTC-USD | funding_oi | reversal | 15m | 6 | 91 | -7.28 | 40.66% | 20.77 | -20.07 |
| ETH-USD | funding_oi | reversal | 15m | 6 | 80 | -4.50 | 52.50% | 30.51 | -30.22 |
| BTC-USD | funding_oi | reversal | 15m | 12 | 91 | -13.28 | 27.47% | 20.77 | -20.07 |
| ETH-USD | funding_oi | reversal | 15m | 12 | 80 | -10.50 | 42.50% | 30.51 | -30.22 |
| BTC-USD | funding_oi | reversal | 15m | 20 | 91 | -21.28 | 18.68% | 20.77 | -20.07 |
| ETH-USD | funding_oi | reversal | 15m | 20 | 80 | -18.50 | 28.75% | 30.51 | -30.22 |
| BTC-USD | funding_oi | reversal | 30m | 6 | 91 | -8.37 | 42.86% | 28.76 | -28.60 |
| ETH-USD | funding_oi | reversal | 30m | 6 | 80 | 2.36 | 48.75% | 45.58 | -37.66 |
| BTC-USD | funding_oi | reversal | 30m | 12 | 91 | -14.37 | 35.16% | 28.76 | -28.60 |
| ETH-USD | funding_oi | reversal | 30m | 12 | 80 | -3.64 | 43.75% | 45.58 | -37.66 |
| BTC-USD | funding_oi | reversal | 30m | 20 | 91 | -22.37 | 27.47% | 28.76 | -28.60 |
| ETH-USD | funding_oi | reversal | 30m | 20 | 80 | -11.64 | 36.25% | 45.58 | -37.66 |
| BTC-USD | funding_oi_cluster | continuation | 15m | 6 | 10 | -17.75 | 30.00% | 28.53 | -30.68 |
| ETH-USD | funding_oi_cluster | continuation | 15m | 6 | 10 | 4.10 | 10.00% | 54.86 | -31.46 |
| BTC-USD | funding_oi_cluster | continuation | 15m | 12 | 10 | -23.75 | 30.00% | 28.53 | -30.68 |
| ETH-USD | funding_oi_cluster | continuation | 15m | 12 | 10 | -1.90 | 10.00% | 54.86 | -31.46 |
| BTC-USD | funding_oi_cluster | continuation | 15m | 20 | 10 | -31.75 | 0.00% | 28.53 | -30.68 |
| ETH-USD | funding_oi_cluster | continuation | 15m | 20 | 10 | -9.90 | 10.00% | 54.86 | -31.46 |
| BTC-USD | funding_oi_cluster | continuation | 30m | 6 | 10 | -6.96 | 40.00% | 39.72 | -43.16 |
| ETH-USD | funding_oi_cluster | continuation | 30m | 6 | 10 | 14.24 | 40.00% | 70.87 | -45.66 |
| BTC-USD | funding_oi_cluster | continuation | 30m | 12 | 10 | -12.96 | 40.00% | 39.72 | -43.16 |
| ETH-USD | funding_oi_cluster | continuation | 30m | 12 | 10 | 8.24 | 30.00% | 70.87 | -45.66 |
| BTC-USD | funding_oi_cluster | continuation | 30m | 20 | 10 | -20.96 | 40.00% | 39.72 | -43.16 |
| ETH-USD | funding_oi_cluster | continuation | 30m | 20 | 10 | 0.24 | 30.00% | 70.87 | -45.66 |
| BTC-USD | funding_oi_cluster | reversal | 15m | 6 | 10 | 5.75 | 50.00% | 30.68 | -28.53 |
| ETH-USD | funding_oi_cluster | reversal | 15m | 6 | 10 | -16.10 | 70.00% | 31.46 | -54.86 |
| BTC-USD | funding_oi_cluster | reversal | 15m | 12 | 10 | -0.25 | 40.00% | 30.68 | -28.53 |
| ETH-USD | funding_oi_cluster | reversal | 15m | 12 | 10 | -22.10 | 40.00% | 31.46 | -54.86 |
| BTC-USD | funding_oi_cluster | reversal | 15m | 20 | 10 | -8.25 | 40.00% | 30.68 | -28.53 |
| ETH-USD | funding_oi_cluster | reversal | 15m | 20 | 10 | -30.10 | 30.00% | 31.46 | -54.86 |
| BTC-USD | funding_oi_cluster | reversal | 30m | 6 | 10 | -5.04 | 40.00% | 43.16 | -39.72 |
| ETH-USD | funding_oi_cluster | reversal | 30m | 6 | 10 | -26.24 | 50.00% | 45.66 | -70.87 |
| BTC-USD | funding_oi_cluster | reversal | 30m | 12 | 10 | -11.04 | 40.00% | 43.16 | -39.72 |
| ETH-USD | funding_oi_cluster | reversal | 30m | 12 | 10 | -32.24 | 20.00% | 45.66 | -70.87 |
| BTC-USD | funding_oi_cluster | reversal | 30m | 20 | 10 | -19.04 | 40.00% | 43.16 | -39.72 |
| ETH-USD | funding_oi_cluster | reversal | 30m | 20 | 10 | -40.24 | 20.00% | 45.66 | -70.87 |