Rank 40 · EMA pullback / three-EMA trend continuation

这轮只回答什么

• 固定复用 BTC/ETH/SOL 120d 15m cache，不追新 bar。
• 只比较三组 EMA 邻近参数：20/100/200、33/165/365、40/200/440。
• 执行口径固定：signal bar close -> next-bar open -> no-overlap。
• 风险管理保留 source 原意：pullback swing stop + 2.06R target，并保留 0.8%~2.0% 风险带。
• 先只回答 post-cost return / positive_asset_ratio / trade_count / time-pocket honesty。

clean-room 规则

• long：EMA fast 与 EMA trend 同向偏多，价格先回抽跌回 EMA fast 下方，再在回抽极值仍未深穿 EMA limit 的前提下重新站回 EMA fast；下一根 bar 开盘做多。
• short：上面逻辑镜像。
• trade off：回抽深穿 EMA limit、趋势过滤失效、风险带不在 0.8%~2.0%、或已有仓位未结束。
• exit：优先看 swing stop 与 2.06R target；若 24 根 15m bar 内都没触发，则按时间退出。

hard verdict

park / evidence pool

主变体 ema33_165_365 在 6bps/side 下：跨资产 mean_total_return≈-13.32%、positive_asset_ratio≈0.00%、mean_trades≈59.0、mean_no_trade_ratio≈83.79%。

最小 clean replication 没把这条 pullback 模板推成可继续给预算的候选：成本后主证据仍偏弱，且 time-pocket honesty 也没有一起站住。

跨资产总表

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_signals_seen	mean_no_trade_ratio	mean_win_rate	mean_stop_share	mean_target_share	mean_time_exit_share
ema20_100_200	6.00	-0.19%	33.33%	61.7	480.3	87.07%	40.89%	47.11%	26.46%	26.43%
ema20_100_200	10.00	-4.97%	0.00%	61.7	480.3	87.07%	40.46%	47.11%	26.46%	26.43%
ema20_100_200	15.00	-10.60%	0.00%	61.7	480.3	87.07%	37.62%	47.11%	26.46%	26.43%
ema20_100_200	20.00	-15.86%	0.00%	61.7	480.3	87.07%	36.73%	47.11%	26.46%	26.43%
ema33_165_365	6.00	-13.32%	0.00%	59.0	365.3	83.79%	36.46%	50.19%	17.10%	32.71%
ema33_165_365	10.00	-17.37%	0.00%	59.0	365.3	83.79%	35.53%	50.19%	17.10%	32.71%
ema33_165_365	15.00	-22.17%	0.00%	59.0	365.3	83.79%	30.80%	50.19%	17.10%	32.71%
ema33_165_365	20.00	-26.67%	0.00%	59.0	365.3	83.79%	29.44%	50.19%	17.10%	32.71%
ema40_200_440	6.00	-8.51%	33.33%	57.3	325.0	82.31%	41.14%	46.38%	17.61%	36.01%
ema40_200_440	10.00	-12.66%	33.33%	57.3	325.0	82.31%	39.69%	46.38%	17.61%	36.01%
ema40_200_440	15.00	-17.56%	0.00%	57.3	325.0	82.31%	35.86%	46.38%	17.61%	36.01%
ema40_200_440	20.00	-22.17%	0.00%	57.3	325.0	82.31%	32.03%	46.38%	17.61%	36.01%

分资产摘要

asset	variant	cost_bps_per_side	signals_seen	trades	total_return	win_rate	no_trade_ratio	stop_share	target_share	time_exit_share	long_share	short_share
BTC-USD	ema20_100_200	6.00	496	35	1.54%	42.86%	92.94%	40.00%	28.57%	31.43%	31.43%	68.57%
ETH-USD	ema20_100_200	6.00	471	71	-1.82%	38.03%	84.93%	50.70%	26.76%	22.54%	46.48%	53.52%
SOL-USD	ema20_100_200	6.00	474	79	-0.29%	41.77%	83.33%	50.63%	24.05%	25.32%	40.51%	59.49%
BTC-USD	ema20_100_200	10.00	496	35	-1.26%	42.86%	92.94%	40.00%	28.57%	31.43%	31.43%	68.57%
ETH-USD	ema20_100_200	10.00	471	71	-7.25%	38.03%	84.93%	50.70%	26.76%	22.54%	46.48%	53.52%
SOL-USD	ema20_100_200	10.00	474	79	-6.40%	40.51%	83.33%	50.63%	24.05%	25.32%	40.51%	59.49%
BTC-USD	ema20_100_200	15.00	496	35	-4.66%	37.14%	92.94%	40.00%	28.57%	31.43%	31.43%	68.57%
ETH-USD	ema20_100_200	15.00	471	71	-13.61%	35.21%	84.93%	50.70%	26.76%	22.54%	46.48%	53.52%
SOL-USD	ema20_100_200	15.00	474	79	-13.52%	40.51%	83.33%	50.63%	24.05%	25.32%	40.51%	59.49%
BTC-USD	ema20_100_200	20.00	496	35	-7.95%	37.14%	92.94%	40.00%	28.57%	31.43%	31.43%	68.57%
ETH-USD	ema20_100_200	20.00	471	71	-19.54%	33.80%	84.93%	50.70%	26.76%	22.54%	46.48%	53.52%
SOL-USD	ema20_100_200	20.00	474	79	-20.10%	39.24%	83.33%	50.63%	24.05%	25.32%	40.51%	59.49%
BTC-USD	ema33_165_365	6.00	374	39	-19.83%	35.90%	89.57%	46.15%	2.56%	51.28%	33.33%	66.67%
ETH-USD	ema33_165_365	6.00	354	66	-17.65%	31.82%	81.36%	53.03%	18.18%	28.79%	42.42%	57.58%
SOL-USD	ema33_165_365	6.00	368	72	-2.47%	41.67%	80.43%	51.39%	30.56%	18.06%	37.50%	62.50%
BTC-USD	ema33_165_365	10.00	374	39	-22.30%	35.90%	89.57%	46.15%	2.56%	51.28%	33.33%	66.67%
ETH-USD	ema33_165_365	10.00	354	66	-21.89%	31.82%	81.36%	53.03%	18.18%	28.79%	42.42%	57.58%
SOL-USD	ema33_165_365	10.00	368	72	-7.93%	38.89%	80.43%	51.39%	30.56%	18.06%	37.50%	62.50%
BTC-USD	ema33_165_365	15.00	374	39	-25.27%	23.08%	89.57%	46.15%	2.56%	51.28%	33.33%	66.67%
ETH-USD	ema33_165_365	15.00	354	66	-26.89%	31.82%	81.36%	53.03%	18.18%	28.79%	42.42%	57.58%
SOL-USD	ema33_165_365	15.00	368	72	-14.34%	37.50%	80.43%	51.39%	30.56%	18.06%	37.50%	62.50%
BTC-USD	ema33_165_365	20.00	374	39	-28.14%	20.51%	89.57%	46.15%	2.56%	51.28%	33.33%	66.67%
ETH-USD	ema33_165_365	20.00	354	66	-31.56%	30.30%	81.36%	53.03%	18.18%	28.79%	42.42%	57.58%
SOL-USD	ema33_165_365	20.00	368	72	-20.30%	37.50%	80.43%	51.39%	30.56%	18.06%	37.50%	62.50%
BTC-USD	ema40_200_440	6.00	329	35	-15.03%	42.86%	89.36%	42.86%	2.86%	54.29%	37.14%	62.86%
ETH-USD	ema40_200_440	6.00	336	70	-16.65%	34.29%	79.17%	50.00%	17.14%	32.86%	38.57%	61.43%
SOL-USD	ema40_200_440	6.00	310	67	6.14%	46.27%	78.39%	46.27%	32.84%	20.90%	38.81%	61.19%
BTC-USD	ema40_200_440	10.00	329	35	-17.38%	40.00%	89.36%	42.86%	2.86%	54.29%	37.14%	62.86%
ETH-USD	ema40_200_440	10.00	336	70	-21.19%	34.29%	79.17%	50.00%	17.14%	32.86%	38.57%	61.43%
SOL-USD	ema40_200_440	10.00	310	67	0.60%	44.78%	78.39%	46.27%	32.84%	20.90%	38.81%	61.19%
BTC-USD	ema40_200_440	15.00	329	35	-20.23%	31.43%	89.36%	42.86%	2.86%	54.29%	37.14%	62.86%
ETH-USD	ema40_200_440	15.00	336	70	-26.53%	32.86%	79.17%	50.00%	17.14%	32.86%	38.57%	61.43%
SOL-USD	ema40_200_440	15.00	310	67	-5.93%	43.28%	78.39%	46.27%	32.84%	20.90%	38.81%	61.19%
BTC-USD	ema40_200_440	20.00	329	35	-22.97%	25.71%	89.36%	42.86%	2.86%	54.29%	37.14%	62.86%
ETH-USD	ema40_200_440	20.00	336	70	-31.50%	28.57%	79.17%	50.00%	17.14%	32.86%	38.57%	61.43%
SOL-USD	ema40_200_440	20.00	310	67	-12.04%	41.79%	78.39%	46.27%	32.84%	20.90%	38.81%	61.19%

time-pocket honesty（主变体 6bps）

time_bucket	mean_total_return	positive_asset_ratio	mean_trades	mean_win_rate
bucket_1	-11.47%	0.00%	19.7	22.09%
bucket_2	6.64%	66.67%	19.7	56.72%
bucket_3	-8.00%	33.33%	19.7	31.58%