Rank 35 · VWAP pullback clean replication

这轮只回答什么

固定复用 BTC/ETH/SOL 120d 15m cache，不追新 bar。
只比较 baseline_higher_tf_bias / bias_plus_rsi_pullback / bias_plus_vwap_reclaim / combo_long_only。
higher-tf trend proxy 提前冻结为 1h close>EMA20>EMA50 且 4h close>EMA20。
VWAP anchor 只比较两档：utc_day 与 funding_8h；先回答 anchor sensitivity，不事后挑更好看的 anchor。
执行口径保持最小：next-bar open 进场，固定持有 8 根 15m bar。

clean-room 规则

baseline_higher_tf_bias：higher-tf trend proxy 从 false→true 时才允许开一笔 long。
bias_plus_rsi_pullback：bias 保持为真，且 RSI14 先跌进 pullback 区（最近 8 根出现 ≤ 35），随后重新站回 40 上方。
bias_plus_vwap_reclaim：bias 保持为真，且价格在 pullback 后重新站回冻结 VWAP anchor。
combo_long_only：RSI reclaim 与 VWAP reclaim 同时成立，默认只做 long-only。

hard verdict

park / evidence pool

主变体 combo_long_only 在 6bps/side 下最强的 `funding_8h` 约为 mean_total_return≈1.97%、positive_asset_ratio≈66.67%；最弱的 `utc_day` 约为 mean_total_return≈1.72%、positive_asset_ratio≈66.67%。

主变体 `combo_long_only` 对 VWAP anchor 很敏感：最强的 `funding_8h` 只有 mean_total_return≈1.97%、positive_asset_ratio≈66.67%，而 `utc_day` 已掉到 mean_total_return≈1.72%、positive_asset_ratio≈66.67%；这说明当前 edge 还不够诚实，先压回 park 更稳。

跨 anchor / 变体总表

anchor	variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_no_trade_ratio	mean_win_rate
utc_day	baseline_higher_tf_bias	6	53.93%	100.00%	89.3	97.35%	69.46%
utc_day	baseline_higher_tf_bias	10	43.26%	100.00%	89.3	97.35%	64.73%
utc_day	baseline_higher_tf_bias	15	30.95%	100.00%	89.3	97.35%	58.56%
utc_day	baseline_higher_tf_bias	20	19.70%	100.00%	89.3	97.35%	50.95%
utc_day	bias_plus_rsi_pullback	6	2.71%	100.00%	12.0	99.64%	48.04%
utc_day	bias_plus_rsi_pullback	10	1.73%	66.67%	12.0	99.64%	48.04%
utc_day	bias_plus_rsi_pullback	15	0.51%	66.67%	12.0	99.64%	41.79%
utc_day	bias_plus_rsi_pullback	20	-0.69%	33.33%	12.0	99.64%	33.65%
utc_day	bias_plus_vwap_reclaim	6	8.69%	66.67%	146.3	95.65%	43.26%
utc_day	bias_plus_vwap_reclaim	10	-3.33%	66.67%	146.3	95.65%	38.02%
utc_day	bias_plus_vwap_reclaim	15	-16.51%	0.00%	146.3	95.65%	32.56%
utc_day	bias_plus_vwap_reclaim	20	-27.90%	0.00%	146.3	95.65%	27.57%
utc_day	combo_long_only	6	1.72%	66.67%	3.7	99.89%	50.00%
utc_day	combo_long_only	10	1.42%	66.67%	3.7	99.89%	50.00%
utc_day	combo_long_only	15	1.04%	66.67%	3.7	99.89%	50.00%
utc_day	combo_long_only	20	0.67%	66.67%	3.7	99.89%	44.44%
funding_8h	baseline_higher_tf_bias	6	53.93%	100.00%	89.3	97.35%	69.46%
funding_8h	baseline_higher_tf_bias	10	43.26%	100.00%	89.3	97.35%	64.73%
funding_8h	baseline_higher_tf_bias	15	30.95%	100.00%	89.3	97.35%	58.56%
funding_8h	baseline_higher_tf_bias	20	19.70%	100.00%	89.3	97.35%	50.95%
funding_8h	bias_plus_rsi_pullback	6	2.71%	100.00%	12.0	99.64%	48.04%
funding_8h	bias_plus_rsi_pullback	10	1.73%	66.67%	12.0	99.64%	48.04%
funding_8h	bias_plus_rsi_pullback	15	0.51%	66.67%	12.0	99.64%	41.79%
funding_8h	bias_plus_rsi_pullback	20	-0.69%	33.33%	12.0	99.64%	33.65%
funding_8h	bias_plus_vwap_reclaim	6	-0.51%	66.67%	202.7	93.99%	42.45%
funding_8h	bias_plus_vwap_reclaim	10	-15.35%	0.00%	202.7	93.99%	37.65%
funding_8h	bias_plus_vwap_reclaim	15	-30.83%	0.00%	202.7	93.99%	32.49%
funding_8h	bias_plus_vwap_reclaim	20	-43.47%	0.00%	202.7	93.99%	27.09%
funding_8h	combo_long_only	6	1.97%	66.67%	4.0	99.88%	50.00%
funding_8h	combo_long_only	10	1.64%	66.67%	4.0	99.88%	50.00%
funding_8h	combo_long_only	15	1.23%	66.67%	4.0	99.88%	50.00%
funding_8h	combo_long_only	20	0.82%	66.67%	4.0	99.88%	44.44%

主变体分资产摘要（combo_long_only）

anchor	asset	trades	total_return	avg_net_ret	win_rate	no_trade_ratio
utc_day	BTC-USD	6	6.21%	1.02%	66.67%	99.82%
funding_8h	BTC-USD	6	4.49%	0.75%	50.00%	99.82%
utc_day	ETH-USD	2	1.61%	0.81%	50.00%	99.94%
funding_8h	ETH-USD	3	1.93%	0.64%	66.67%	99.91%
utc_day	SOL-USD	3	-2.65%	-0.88%	33.33%	99.91%
funding_8h	SOL-USD	3	-0.52%	-0.17%	33.33%	99.91%

time-pocket honesty（主变体 6bps）

anchor	time_bucket	mean_total_return	trades	win_rate
utc_day	bucket_1	0.89%	4	75.00%
utc_day	bucket_2	-1.18%	3	0.00%
utc_day	bucket_3	5.37%	4	75.00%
funding_8h	bucket_1	1.85%	4	75.00%
funding_8h	bucket_2	-2.79%	4	0.00%
funding_8h	bucket_3	7.01%	4	75.00%

Rank 35 · VWAP pullback + trend-template qualifier