Rank 32 · EMA structure vs MA slope direction gate

这轮只回答什么

• 固定复用 BTC/ETH/SOL 120d 15m cache，不追新 bar。
• 只比较三档最小规则：ema_cross_only、ema_cross_plus_slope_floor、ema_cross_plus_slope_reclaim。
• 先回答四个便宜问题：post_cost_return、trade_count、no_trade_ratio、slope-pocket honesty。
• 执行口径固定：higher-tf 只用 1h completed bar 的 EMA20 / EMA50 与 slope；入场 = next-bar open；持有 = 8 根 15m bar；默认 non-overlap。

clean-room 规则

• ema_cross_only：trade on = higher_tf EMA fast > slow（空头反向）+ close 重新穿回 fast EMA。
• ema_cross_plus_slope_floor：在前者基础上，要求 fast/slow slope 同向，且 |fast slope| 过最小门槛 0.0004。
• ema_cross_plus_slope_reclaim：在 slope floor 基础上，再要求最近 4 根出现过一次朝 spread mid 的回抽，并在当前 bar 重新站回 fast EMA + spread mid 同侧。
• lookahead guard：所有结构、slope 与 reclaim 判断都只使用当前或更早的 completed bar，不允许回看未来 pocket 再挑斜率阈值。

hard verdict

park / evidence pool

主变体 ema_cross_plus_slope_reclaim 在 6bps/side 下：跨资产 mean_total_return≈24.79%、positive_asset_ratio≈100.00%、mean_trades≈25.0、mean_false_reclaim_ratio≈12.93%、mean_no_trade_ratio≈99.78%。

最小 clean replication 没把它拉进候选池：要么成本后仍偏弱，要么交易密度 / no-trade ratio / slope-pocket honesty 没能一起站住。

跨资产总表

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_false_reclaim_ratio	mean_no_trade_ratio	mean_win_rate	mean_slope_strength
ema_cross_only	6.00	-18.73%	33.33%	257.3	26.65%	97.77%	39.86%	0.00073
ema_cross_only	10.00	-33.77%	0.00%	257.3	26.65%	97.77%	34.80%	0.00073
ema_cross_only	15.00	-48.71%	0.00%	257.3	26.65%	97.77%	29.46%	0.00073
ema_cross_only	20.00	-60.28%	0.00%	257.3	26.65%	97.77%	25.32%	0.00073
ema_cross_plus_slope_floor	6.00	50.76%	100.00%	75.7	7.87%	99.34%	59.62%	0.00160
ema_cross_plus_slope_floor	10.00	41.59%	100.00%	75.7	7.87%	99.34%	55.73%	0.00160
ema_cross_plus_slope_floor	15.00	30.94%	100.00%	75.7	7.87%	99.34%	54.31%	0.00160
ema_cross_plus_slope_floor	20.00	21.11%	100.00%	75.7	7.87%	99.34%	51.34%	0.00160
ema_cross_plus_slope_reclaim	6.00	24.79%	100.00%	25.0	12.93%	99.78%	65.61%	0.00144
ema_cross_plus_slope_reclaim	10.00	22.21%	100.00%	25.0	12.93%	99.78%	61.41%	0.00144
ema_cross_plus_slope_reclaim	15.00	19.07%	100.00%	25.0	12.93%	99.78%	61.41%	0.00144
ema_cross_plus_slope_reclaim	20.00	16.01%	100.00%	25.0	12.93%	99.78%	57.22%	0.00144

分资产摘要

asset	variant	cost_bps_per_side	trades	total_return	false_reclaim_ratio	no_trade_ratio	win_rate	avg_slope_strength	long_share	short_share
BTC-USD	ema_cross_only	6.00	254	-34.98%	31.89%	97.80%	34.25%	0.00055	42.91%	57.09%
BTC-USD	ema_cross_only	10.00	254	-46.95%	31.89%	97.80%	29.53%	0.00055	42.91%	57.09%
BTC-USD	ema_cross_only	15.00	254	-58.86%	31.89%	97.80%	23.62%	0.00055	42.91%	57.09%
BTC-USD	ema_cross_only	20.00	254	-68.10%	31.89%	97.80%	19.29%	0.00055	42.91%	57.09%
BTC-USD	ema_cross_plus_slope_floor	6.00	54	19.54%	11.11%	99.53%	57.41%	0.00139	40.74%	59.26%
BTC-USD	ema_cross_plus_slope_floor	10.00	54	14.48%	11.11%	99.53%	53.70%	0.00139	40.74%	59.26%
BTC-USD	ema_cross_plus_slope_floor	15.00	54	8.46%	11.11%	99.53%	51.85%	0.00139	40.74%	59.26%
BTC-USD	ema_cross_plus_slope_floor	20.00	54	2.75%	11.11%	99.53%	50.00%	0.00139	40.74%	59.26%
BTC-USD	ema_cross_plus_slope_reclaim	6.00	22	9.18%	13.64%	99.81%	59.09%	0.00121	50.00%	50.00%
BTC-USD	ema_cross_plus_slope_reclaim	10.00	22	7.27%	13.64%	99.81%	54.55%	0.00121	50.00%	50.00%
BTC-USD	ema_cross_plus_slope_reclaim	15.00	22	4.93%	13.64%	99.81%	54.55%	0.00121	50.00%	50.00%
BTC-USD	ema_cross_plus_slope_reclaim	20.00	22	2.65%	13.64%	99.81%	50.00%	0.00121	50.00%	50.00%
ETH-USD	ema_cross_only	6.00	275	-26.54%	22.55%	97.61%	39.64%	0.00081	45.09%	54.91%
ETH-USD	ema_cross_only	10.00	275	-41.06%	22.55%	97.61%	34.55%	0.00081	45.09%	54.91%
ETH-USD	ema_cross_only	15.00	275	-55.24%	22.55%	97.61%	30.18%	0.00081	45.09%	54.91%
ETH-USD	ema_cross_only	20.00	275	-66.02%	22.55%	97.61%	25.82%	0.00081	45.09%	54.91%
ETH-USD	ema_cross_plus_slope_floor	6.00	83	33.41%	3.61%	99.28%	61.45%	0.00170	36.14%	63.86%
ETH-USD	ema_cross_plus_slope_floor	10.00	83	24.84%	3.61%	99.28%	59.04%	0.00170	36.14%	63.86%
ETH-USD	ema_cross_plus_slope_floor	15.00	83	14.88%	3.61%	99.28%	56.63%	0.00170	36.14%	63.86%
ETH-USD	ema_cross_plus_slope_floor	20.00	83	5.72%	3.61%	99.28%	51.81%	0.00170	36.14%	63.86%
ETH-USD	ema_cross_plus_slope_reclaim	6.00	20	7.17%	10.00%	99.83%	65.00%	0.00136	50.00%	50.00%
ETH-USD	ema_cross_plus_slope_reclaim	10.00	20	5.47%	10.00%	99.83%	60.00%	0.00136	50.00%	50.00%
ETH-USD	ema_cross_plus_slope_reclaim	15.00	20	3.38%	10.00%	99.83%	60.00%	0.00136	50.00%	50.00%
ETH-USD	ema_cross_plus_slope_reclaim	20.00	20	1.33%	10.00%	99.83%	55.00%	0.00136	50.00%	50.00%
SOL-USD	ema_cross_only	6.00	243	5.32%	25.51%	97.89%	45.68%	0.00082	46.91%	53.09%
SOL-USD	ema_cross_only	10.00	243	-13.30%	25.51%	97.89%	40.33%	0.00082	46.91%	53.09%
SOL-USD	ema_cross_only	15.00	243	-32.03%	25.51%	97.89%	34.57%	0.00082	46.91%	53.09%
SOL-USD	ema_cross_only	20.00	243	-46.71%	25.51%	97.89%	30.86%	0.00082	46.91%	53.09%
SOL-USD	ema_cross_plus_slope_floor	6.00	90	99.31%	8.89%	99.22%	60.00%	0.00172	45.56%	54.44%
SOL-USD	ema_cross_plus_slope_floor	10.00	90	85.46%	8.89%	99.22%	54.44%	0.00172	45.56%	54.44%
SOL-USD	ema_cross_plus_slope_floor	15.00	90	69.47%	8.89%	99.22%	54.44%	0.00172	45.56%	54.44%
SOL-USD	ema_cross_plus_slope_floor	20.00	90	54.86%	8.89%	99.22%	52.22%	0.00172	45.56%	54.44%
SOL-USD	ema_cross_plus_slope_reclaim	6.00	33	58.02%	15.15%	99.71%	72.73%	0.00177	51.52%	48.48%
SOL-USD	ema_cross_plus_slope_reclaim	10.00	33	53.90%	15.15%	99.71%	69.70%	0.00177	51.52%	48.48%
SOL-USD	ema_cross_plus_slope_reclaim	15.00	33	48.90%	15.15%	99.71%	69.70%	0.00177	51.52%	48.48%
SOL-USD	ema_cross_plus_slope_reclaim	20.00	33	44.06%	15.15%	99.71%	66.67%	0.00177	51.52%	48.48%

slope-pocket honesty（主变体 6bps）

slope_bucket	mean_total_return	positive_asset_ratio	mean_trades	mean_win_rate
bucket_3	18.39%	100.00%	8.3	87.50%
bucket_1	0.06%	66.67%	8.3	46.30%
bucket_2	4.78%	100.00%	8.3	68.81%

artifact

• overall_summary.csv
• asset_summary.csv
• trades_primary_6bps.csv
• slope_bucket_summary.csv
• source intake card