Rank 43 · ATR retest zone + bounce reclaim clean replication

这轮只回答什么

• 固定复用 BTC/ETH/SOL 120d 15m cache，不追新 bar。
• 把 source intake 里的状态机压成 clean-room 规则：confirmed breakout -> ATR retest zone -> no deep invalidation -> bounce reclaim。
• 入场口径固定：next-bar open、no-overlap、持有 8 根 15m bar。
• Light Stability Pack 只做 4 项：时间稳定性、参数稳定性、跨标的稳定性、成本/交易数稳定性。

clean-room 规则

• confirmed breakout：只使用 SWING_LOOKBACK=5 的 causal pivot；bar close 首次越过最近确认 swing level，且 breakout candle body/range ≥ 0.5。
• HTF filter：1h EMA20 > EMA50 才允许 long，反向才允许 short。
• ATR retest zone：突破后 1~20 根内必须回到 level 附近 ±0.5 ATR。
• invalidation：若 close 反向穿越 level 超过 1 ATR，setup 直接取消。
• bounce reclaim：回踩后必须出现同向 bounce candle，且 close 重新站回/压回 breakout level，才在下一根 open 入场。
• false-break 定义：入场后前 4 根内若 close 反向穿越 level 超过 0.5 ATR，记为 false break。

hard verdict

park / evidence pool

主变体 atr_zone0.5_timeout20 在 6bps/side 下：跨资产 mean_total_return≈0.61%、positive_asset_ratio≈33.33%、mean_trades≈118.7、mean_false_break_rate≈29.79%；相对 breakout-only 的 mean_total_return≈-8.23%、false_break_rate≈37.04%。

最小 clean replication 没把它拉进候选池：要么成本后仍偏弱，要么交易数 / 时间 pocket / 假突破率没有一起站住。

跨资产总表

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_candidate_to_trade_ratio	mean_false_break_rate	mean_win_rate	mean_retest_wait_bars
confirmed_breakout_only	6.00	-8.23%	0.00%	189.0	100.00%	37.04%	39.48%	-
confirmed_breakout_only	10.00	-21.13%	0.00%	189.0	100.00%	37.04%	35.78%	-
confirmed_breakout_only	15.00	-34.74%	0.00%	189.0	100.00%	37.04%	30.85%	-
confirmed_breakout_only	20.00	-46.01%	0.00%	189.0	100.00%	37.04%	27.67%	-
atr_zone0.4_timeout16	6.00	2.29%	33.33%	111.7	58.99%	30.77%	41.70%	4.1
atr_zone0.4_timeout16	10.00	-6.50%	33.33%	111.7	58.99%	30.77%	37.63%	4.1
atr_zone0.4_timeout16	15.00	-16.43%	0.00%	111.7	58.99%	30.77%	32.78%	4.1
atr_zone0.4_timeout16	20.00	-25.31%	0.00%	111.7	58.99%	30.77%	29.16%	4.1
atr_zone0.5_timeout16	6.00	-0.01%	33.33%	117.7	62.26%	30.36%	39.84%	3.9
atr_zone0.5_timeout16	10.00	-9.05%	33.33%	117.7	62.26%	30.36%	36.24%	3.9
atr_zone0.5_timeout16	15.00	-19.20%	0.00%	117.7	62.26%	30.36%	32.52%	3.9
atr_zone0.5_timeout16	20.00	-28.23%	0.00%	117.7	62.26%	30.36%	29.09%	3.9
atr_zone0.5_timeout20	6.00	0.61%	33.33%	118.7	62.92%	29.79%	40.09%	4.1
atr_zone0.5_timeout20	10.00	-8.54%	33.33%	118.7	62.92%	29.79%	36.51%	4.1
atr_zone0.5_timeout20	15.00	-18.83%	0.00%	118.7	62.92%	29.79%	32.82%	4.1
atr_zone0.5_timeout20	20.00	-27.96%	0.00%	118.7	62.92%	29.79%	29.42%	4.1
atr_zone0.6_timeout20	6.00	0.09%	33.33%	122.7	65.25%	28.86%	39.28%	4.0
atr_zone0.6_timeout20	10.00	-9.32%	33.33%	122.7	65.25%	28.86%	35.85%	4.0
atr_zone0.6_timeout20	15.00	-19.86%	0.00%	122.7	65.25%	28.86%	32.27%	4.0
atr_zone0.6_timeout20	20.00	-29.17%	0.00%	122.7	65.25%	28.86%	28.98%	4.0

分资产摘要

asset	variant	cost_bps_per_side	candidate_events	trades	candidate_to_trade_ratio	total_return	false_break_rate	mean_retest_wait_bars	mean_pivot_age_bars
BTC-USD	confirmed_breakout_only	6.00	191	191	100.00%	-2.45%	39.27%	-	12.3
BTC-USD	confirmed_breakout_only	10.00	191	191	100.00%	-16.29%	39.27%	-	12.3
BTC-USD	confirmed_breakout_only	15.00	191	191	100.00%	-30.86%	39.27%	-	12.3
BTC-USD	confirmed_breakout_only	20.00	191	191	100.00%	-42.90%	39.27%	-	12.3
BTC-USD	atr_zone0.4_timeout16	6.00	193	106	54.92%	-0.29%	27.36%	4.0	12.1
BTC-USD	atr_zone0.4_timeout16	10.00	193	106	54.92%	-8.40%	27.36%	4.0	12.1
BTC-USD	atr_zone0.4_timeout16	15.00	193	106	54.92%	-17.62%	27.36%	4.0	12.1
BTC-USD	atr_zone0.4_timeout16	20.00	193	106	54.92%	-25.92%	27.36%	4.0	12.1
BTC-USD	atr_zone0.5_timeout16	6.00	192	114	59.38%	-5.90%	28.07%	3.8	12.5
BTC-USD	atr_zone0.5_timeout16	10.00	192	114	59.38%	-14.11%	28.07%	3.8	12.5
BTC-USD	atr_zone0.5_timeout16	15.00	192	114	59.38%	-23.38%	28.07%	3.8	12.5
BTC-USD	atr_zone0.5_timeout16	20.00	192	114	59.38%	-31.65%	28.07%	3.8	12.5
BTC-USD	atr_zone0.5_timeout20	6.00	192	115	59.90%	-5.31%	27.83%	3.9	12.5
BTC-USD	atr_zone0.5_timeout20	10.00	192	115	59.90%	-13.64%	27.83%	3.9	12.5
BTC-USD	atr_zone0.5_timeout20	15.00	192	115	59.90%	-23.03%	27.83%	3.9	12.5
BTC-USD	atr_zone0.5_timeout20	20.00	192	115	59.90%	-31.41%	27.83%	3.9	12.5
BTC-USD	atr_zone0.6_timeout20	6.00	192	119	61.98%	-6.83%	26.89%	3.7	12.4
BTC-USD	atr_zone0.6_timeout20	10.00	192	119	61.98%	-15.30%	26.89%	3.7	12.4
BTC-USD	atr_zone0.6_timeout20	15.00	192	119	61.98%	-24.81%	26.89%	3.7	12.4
BTC-USD	atr_zone0.6_timeout20	20.00	192	119	61.98%	-33.26%	26.89%	3.7	12.4
ETH-USD	confirmed_breakout_only	6.00	185	185	100.00%	-18.59%	37.30%	-	13.3
ETH-USD	confirmed_breakout_only	10.00	185	185	100.00%	-29.80%	37.30%	-	13.3
ETH-USD	confirmed_breakout_only	15.00	185	185	100.00%	-41.67%	37.30%	-	13.3
ETH-USD	confirmed_breakout_only	20.00	185	185	100.00%	-51.54%	37.30%	-	13.3
ETH-USD	atr_zone0.4_timeout16	6.00	182	108	59.34%	-8.13%	35.19%	4.1	12.9
ETH-USD	atr_zone0.4_timeout16	10.00	182	108	59.34%	-15.74%	35.19%	4.1	12.9
ETH-USD	atr_zone0.4_timeout16	15.00	182	108	59.34%	-24.38%	35.19%	4.1	12.9
ETH-USD	atr_zone0.4_timeout16	20.00	182	108	59.34%	-32.13%	35.19%	4.1	12.9
ETH-USD	atr_zone0.5_timeout16	6.00	182	114	62.64%	-11.43%	34.21%	3.9	12.9
ETH-USD	atr_zone0.5_timeout16	10.00	182	114	62.64%	-19.16%	34.21%	3.9	12.9
ETH-USD	atr_zone0.5_timeout16	15.00	182	114	62.64%	-27.88%	34.21%	3.9	12.9
ETH-USD	atr_zone0.5_timeout16	20.00	182	114	62.64%	-35.66%	34.21%	3.9	12.9
ETH-USD	atr_zone0.5_timeout20	6.00	181	116	64.09%	-10.15%	32.76%	4.2	12.9
ETH-USD	atr_zone0.5_timeout20	10.00	181	116	64.09%	-18.12%	32.76%	4.2	12.9
ETH-USD	atr_zone0.5_timeout20	15.00	181	116	64.09%	-27.10%	32.76%	4.2	12.9
ETH-USD	atr_zone0.5_timeout20	20.00	181	116	64.09%	-35.10%	32.76%	4.2	12.9
ETH-USD	atr_zone0.6_timeout20	6.00	181	118	65.19%	-10.33%	32.20%	4.1	12.8
ETH-USD	atr_zone0.6_timeout20	10.00	181	118	65.19%	-18.42%	32.20%	4.1	12.8
ETH-USD	atr_zone0.6_timeout20	15.00	181	118	65.19%	-27.51%	32.20%	4.1	12.8
ETH-USD	atr_zone0.6_timeout20	20.00	181	118	65.19%	-35.59%	32.20%	4.1	12.8
SOL-USD	confirmed_breakout_only	6.00	191	191	100.00%	-3.64%	34.55%	-	13.0
SOL-USD	confirmed_breakout_only	10.00	191	191	100.00%	-17.31%	34.55%	-	13.0
SOL-USD	confirmed_breakout_only	15.00	191	191	100.00%	-31.70%	34.55%	-	13.0
SOL-USD	confirmed_breakout_only	20.00	191	191	100.00%	-43.59%	34.55%	-	13.0
SOL-USD	atr_zone0.4_timeout16	6.00	193	121	62.69%	15.29%	29.75%	4.1	13.1
SOL-USD	atr_zone0.4_timeout16	10.00	193	121	62.69%	4.64%	29.75%	4.1	13.1
SOL-USD	atr_zone0.4_timeout16	15.00	193	121	62.69%	-7.30%	29.75%	4.1	13.1
SOL-USD	atr_zone0.4_timeout16	20.00	193	121	62.69%	-17.88%	29.75%	4.1	13.1
SOL-USD	atr_zone0.5_timeout16	6.00	193	125	64.77%	17.30%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout16	10.00	193	125	64.77%	6.13%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout16	15.00	193	125	64.77%	-6.35%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout16	20.00	193	125	64.77%	-17.37%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout20	6.00	193	125	64.77%	17.30%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout20	10.00	193	125	64.77%	6.13%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout20	15.00	193	125	64.77%	-6.35%	28.80%	4.1	12.9
SOL-USD	atr_zone0.5_timeout20	20.00	193	125	64.77%	-17.37%	28.80%	4.1	12.9
SOL-USD	atr_zone0.6_timeout20	6.00	191	131	68.59%	17.45%	27.48%	4.1	13.1
SOL-USD	atr_zone0.6_timeout20	10.00	191	131	68.59%	5.75%	27.48%	4.1	13.1
SOL-USD	atr_zone0.6_timeout20	15.00	191	131	68.59%	-7.25%	27.48%	4.1	13.1
SOL-USD	atr_zone0.6_timeout20	20.00	191	131	68.59%	-18.65%	27.48%	4.1	13.1

时间稳定性（主变体 6bps）

time_bucket	mean_total_return	positive_asset_ratio	mean_trades	mean_false_break_rate
bucket_1	2.12%	66.67%	39.7	27.73%
bucket_2	-4.31%	33.33%	39.3	34.75%
bucket_3	2.74%	66.67%	39.7	26.89%

参数稳定性

variant	mean_total_return	positive_asset_ratio	mean_trades	mean_false_break_rate
atr_zone0.4_timeout16	2.29%	33.33%	111.7	30.77%
atr_zone0.5_timeout20	0.61%	33.33%	118.7	29.79%
atr_zone0.6_timeout20	0.09%	33.33%	122.7	28.86%
atr_zone0.5_timeout16	-0.01%	33.33%	117.7	30.36%

成本 / 交易数稳定性（主变体）

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_false_break_rate
atr_zone0.5_timeout20	6.00	0.61%	33.33%	118.7	29.79%
atr_zone0.5_timeout20	10.00	-8.54%	33.33%	118.7	29.79%
atr_zone0.5_timeout20	15.00	-18.83%	0.00%	118.7	29.79%
atr_zone0.5_timeout20	20.00	-27.96%	0.00%	118.7	29.79%

artifact

• overall_summary.csv
• asset_summary.csv
• time_stability.csv
• parameter_stability.csv
• cost_trade_stability.csv
• trades_primary_6bps.csv