Rank 32b · 参数稳定性检查

这轮只回答什么

• 固定信号骨架不变：EMA cross + aligned slope floor。
• 只改一个参数轴：slope_floor = 0.0002 ~ 0.0006。
• 不追新 bar，不扩 universe，不改持有期；仍固定 BTC/ETH/SOL 120d 15m cache 与 next-bar open / hold 8 bars / non-overlap。

hard verdict

P2 paper candidate

参数邻域没有塌，6~20bps 成本后整体仍保留正 pocket；虽然 no-trade ratio 仍高，但绝对 trade count 已经足够支撑进入 paper candidate pool。

• 最松门槛 0.0002：6bps 下跨资产 48.92%，平均 125.0 笔，空仓比 98.92%。
• 当前门槛 0.0004：6bps 下跨资产 50.76%，平均 75.7 笔，20bps 下仍约 21.11%。
• 最严门槛 0.0006：6bps 下跨资产 54.04%，平均 47.7 笔，说明 edge 不是单一 hot pixel。

为什么这次会改 verdict

• 如果参数一放松就亏、或一收紧就只剩极少数孤例，那它最多还是 P1。
• 实际结果是：邻域内 6bps 全部保留 positive_asset_ratio=3/3，而 0.0004 这一档在 20bps 也仍为正，说明 pocket 不是只靠单点 slope floor 偶然翻正。
• 更关键的是：虽然 no_trade_ratio 仍高，但绝对交易数带已经来到 47.7 ~ 125.0 笔/资产量级，不再是“几乎没法验证”的稀疏样本。

参数稳定性总表

slope_floor	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_no_trade_ratio	mean_false_reclaim_ratio	mean_win_rate
0.0002	6.00	48.92%	100.00%	125.0	98.92%	8.70%	54.95%
0.0002	10.00	34.51%	100.00%	125.0	98.92%	8.70%	51.05%
0.0002	15.00	18.45%	66.67%	125.0	98.92%	8.70%	47.31%
0.0002	20.00	4.32%	33.33%	125.0	98.92%	8.70%	43.94%
0.0003	6.00	51.53%	100.00%	96.0	99.17%	7.85%	56.35%
0.0003	10.00	39.96%	100.00%	96.0	99.17%	7.85%	52.96%
0.0003	15.00	26.77%	66.67%	96.0	99.17%	7.85%	50.33%
0.0003	20.00	14.84%	66.67%	96.0	99.17%	7.85%	46.62%
0.0004	6.00	50.76%	100.00%	75.7	99.34%	7.87%	59.62%
0.0004	10.00	41.59%	100.00%	75.7	99.34%	7.87%	55.73%
0.0004	15.00	30.94%	100.00%	75.7	99.34%	7.87%	54.31%
0.0004	20.00	21.11%	100.00%	75.7	99.34%	7.87%	51.34%
0.0005	6.00	51.07%	100.00%	59.3	99.49%	4.55%	61.88%
0.0005	10.00	43.89%	100.00%	59.3	99.49%	4.55%	58.76%
0.0005	15.00	35.40%	100.00%	59.3	99.49%	4.55%	57.44%
0.0005	20.00	27.44%	100.00%	59.3	99.49%	4.55%	56.46%
0.0006	6.00	54.04%	100.00%	47.7	99.59%	2.82%	66.09%
0.0006	10.00	48.10%	100.00%	47.7	99.59%	2.82%	63.84%
0.0006	15.00	41.00%	100.00%	47.7	99.59%	2.82%	62.17%
0.0006	20.00	34.26%	100.00%	47.7	99.59%	2.82%	62.17%

6bps 分资产摘要

slope_floor	asset	trades	total_return	no_trade_ratio	false_reclaim_ratio	win_rate
0.0002	BTC-USD	106	19.83%	99.08%	11.32%	51.89%
0.0002	ETH-USD	132	34.21%	98.86%	4.55%	55.30%
0.0002	SOL-USD	137	92.72%	98.81%	10.22%	57.66%
0.0003	BTC-USD	72	13.54%	99.38%	12.50%	51.39%
0.0003	ETH-USD	106	43.45%	99.08%	3.77%	60.38%
0.0003	SOL-USD	110	97.59%	99.05%	7.27%	57.27%
0.0004	BTC-USD	54	19.54%	99.53%	11.11%	57.41%
0.0004	ETH-USD	83	33.41%	99.28%	3.61%	61.45%
0.0004	SOL-USD	90	99.31%	99.22%	8.89%	60.00%
0.0005	BTC-USD	40	28.64%	99.65%	5.00%	62.50%
0.0005	ETH-USD	68	27.83%	99.41%	2.94%	60.29%
0.0005	SOL-USD	70	96.74%	99.39%	5.71%	62.86%
0.0006	BTC-USD	32	31.05%	99.72%	3.12%	68.75%
0.0006	ETH-USD	53	34.25%	99.54%	1.89%	62.26%
0.0006	SOL-USD	58	96.81%	99.50%	3.45%	67.24%