生成时间：2026-03-18 07:17 UTC｜固定 BTC/ETH/SOL 120d 15m cache，执行统一 next-bar open + no-overlap + hold 8 bars。
当 EMA = waiting_not_due 时，Rank 49 只拿 1 次最小预算：funding / premium crowding 这种拥挤度过滤层，能不能在不过度砍样本的前提下，让 ema_short 或 breakdown_short 的 15m short setup 更诚实？
只做 clean replication，不做 admission wording 扩写
EMA9 < EMA15 且斜率为负、价格在快线下方时，取第一次 short continuation。20 根低点后，价格仍留在 breakdown 下方的最小 continuation。funding_z > 0.5 且 premium_z > 0.5 时放行 short。funding_z < -0.5 或 premium_z < 0，则禁止继续追 short。hard verdict：Rank 49 / funding-basis crowded-long unwind gate 在当前最小 clean replication 下仍更像 `park / evidence pool`；它最多只是在少数 pocket 帮 short setup 少亏，但还没诚实到能当默认 overlay 升格。
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_avg_net_ret | mean_false_break_4bars_rate | mean_follow_through_4bars | mean_follow_through_8bars | mean_follow_through_16bars |
|---|---|---|---|---|---|---|---|---|---|---|---|
| breakdown_short | already_crowded_short_veto | 6.00 | -1.59% | 0.00% | 28.33 | 24.56% | -0.06% | 60.21% | -0.00 | 0.00 | 0.00 |
| breakdown_short | already_crowded_short_veto | 10.00 | -3.79% | 0.00% | 28.33 | 24.56% | -0.14% | 60.21% | -0.00 | 0.00 | 0.00 |
| breakdown_short | already_crowded_short_veto | 15.00 | -6.45% | 0.00% | 28.33 | 24.56% | -0.24% | 60.21% | -0.00 | 0.00 | 0.00 |
| breakdown_short | already_crowded_short_veto | 20.00 | -9.01% | 0.00% | 28.33 | 24.56% | -0.34% | 60.21% | -0.00 | 0.00 | 0.00 |
| breakdown_short | crowded_long_only | 6.00 | -0.52% | 33.33% | 6.67 | 5.91% | -0.05% | 71.85% | -0.00 | 0.00 | 0.00 |
| breakdown_short | crowded_long_only | 10.00 | -1.05% | 33.33% | 6.67 | 5.91% | -0.13% | 71.85% | -0.00 | 0.00 | 0.00 |
| breakdown_short | crowded_long_only | 15.00 | -1.71% | 33.33% | 6.67 | 5.91% | -0.23% | 71.85% | -0.00 | 0.00 | 0.00 |
| breakdown_short | crowded_long_only | 20.00 | -2.36% | 0.00% | 6.67 | 5.91% | -0.33% | 71.85% | -0.00 | 0.00 | 0.00 |
| breakdown_short | no_gate | 6.00 | 5.29% | 33.33% | 111.67 | 100.00% | 0.05% | 52.94% | 0.00 | 0.00 | 0.00 |
| breakdown_short | no_gate | 10.00 | -3.77% | 33.33% | 111.67 | 100.00% | -0.03% | 52.94% | 0.00 | 0.00 | 0.00 |
| breakdown_short | no_gate | 15.00 | -14.00% | 0.00% | 111.67 | 100.00% | -0.13% | 52.94% | 0.00 | 0.00 | 0.00 |
| breakdown_short | no_gate | 20.00 | -23.14% | 0.00% | 111.67 | 100.00% | -0.23% | 52.94% | 0.00 | 0.00 | 0.00 |
| ema_short | already_crowded_short_veto | 6.00 | -15.23% | 0.00% | 123.33 | 26.72% | -0.12% | 53.65% | -0.00 | -0.00 | 0.00 |
| ema_short | already_crowded_short_veto | 10.00 | -22.83% | 0.00% | 123.33 | 26.72% | -0.20% | 53.65% | -0.00 | -0.00 | 0.00 |
| ema_short | already_crowded_short_veto | 15.00 | -31.26% | 0.00% | 123.33 | 26.72% | -0.30% | 53.65% | -0.00 | -0.00 | 0.00 |
| ema_short | already_crowded_short_veto | 20.00 | -38.64% | 0.00% | 123.33 | 26.72% | -0.40% | 53.65% | -0.00 | -0.00 | 0.00 |
| ema_short | crowded_long_only | 6.00 | -6.47% | 0.00% | 28.33 | 6.16% | -0.24% | 49.32% | 0.00 | -0.00 | -0.00 |
| ema_short | crowded_long_only | 10.00 | -8.57% | 0.00% | 28.33 | 6.16% | -0.32% | 49.32% | 0.00 | -0.00 | -0.00 |
| ema_short | crowded_long_only | 15.00 | -11.13% | 0.00% | 28.33 | 6.16% | -0.42% | 49.32% | 0.00 | -0.00 | -0.00 |
| ema_short | crowded_long_only | 20.00 | -13.62% | 0.00% | 28.33 | 6.16% | -0.52% | 49.32% | 0.00 | -0.00 | -0.00 |
| ema_short | no_gate | 6.00 | -40.50% | 0.00% | 460.00 | 100.00% | -0.11% | 54.15% | 0.00 | 0.00 | 0.00 |
| ema_short | no_gate | 10.00 | -58.84% | 0.00% | 460.00 | 100.00% | -0.19% | 54.15% | 0.00 | 0.00 | 0.00 |
| ema_short | no_gate | 15.00 | -74.04% | 0.00% | 460.00 | 100.00% | -0.29% | 54.15% | 0.00 | 0.00 | 0.00 |
| ema_short | no_gate | 20.00 | -83.63% | 0.00% | 460.00 | 100.00% | -0.39% | 54.15% | 0.00 | 0.00 | 0.00 |
| asset | setup | variant | cost_bps_per_side | signal_events | trades | trade_count_retention | total_return | avg_net_ret | win_rate | false_break_4bars_rate | follow_through_4bars | follow_through_8bars | follow_through_16bars | crowded_long_share | already_crowded_short_share |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakdown_short | already_crowded_short_veto | 6.00 | 19.00 | 19.00 | 16.10% | -2.96% | -0.16% | 26.32% | 57.89% | -0.00 | -0.00 | -0.00 | 0.32 | 0.00 |
| ETH-USD | breakdown_short | already_crowded_short_veto | 6.00 | 15.00 | 15.00 | 15.79% | -0.15% | -0.01% | 53.33% | 60.00% | 0.00 | 0.00 | -0.00 | 0.33 | 0.00 |
| SOL-USD | breakdown_short | already_crowded_short_veto | 6.00 | 51.00 | 51.00 | 41.80% | -1.68% | -0.02% | 31.37% | 62.75% | -0.00 | 0.00 | 0.00 | 0.18 | 0.00 |
| BTC-USD | breakdown_short | crowded_long_only | 6.00 | 6.00 | 6.00 | 5.08% | -1.88% | -0.31% | 33.33% | 66.67% | -0.00 | -0.00 | -0.01 | 1.00 | 0.00 |
| ETH-USD | breakdown_short | crowded_long_only | 6.00 | 5.00 | 5.00 | 5.26% | 1.12% | 0.23% | 80.00% | 60.00% | -0.00 | 0.00 | 0.01 | 1.00 | 0.00 |
| SOL-USD | breakdown_short | crowded_long_only | 6.00 | 9.00 | 9.00 | 7.38% | -0.81% | -0.07% | 11.11% | 88.89% | -0.01 | 0.00 | 0.00 | 1.00 | 0.00 |
| BTC-USD | breakdown_short | no_gate | 6.00 | 118.00 | 118.00 | 100.00% | -1.12% | -0.00% | 41.53% | 49.15% | 0.00 | 0.00 | 0.00 | 0.03 | 0.87 |
| ETH-USD | breakdown_short | no_gate | 6.00 | 95.00 | 95.00 | 100.00% | -2.78% | -0.02% | 42.11% | 54.74% | 0.00 | 0.00 | 0.00 | 0.05 | 0.85 |
| SOL-USD | breakdown_short | no_gate | 6.00 | 122.00 | 122.00 | 100.00% | 19.78% | 0.16% | 41.80% | 54.92% | 0.00 | 0.00 | 0.01 | 0.07 | 0.63 |
| BTC-USD | ema_short | already_crowded_short_veto | 6.00 | 93.00 | 93.00 | 20.39% | -9.43% | -0.10% | 37.63% | 55.91% | -0.00 | 0.00 | 0.00 | 0.32 | 0.00 |
| ETH-USD | ema_short | already_crowded_short_veto | 6.00 | 85.00 | 85.00 | 18.56% | -8.39% | -0.10% | 37.65% | 52.94% | -0.00 | 0.00 | 0.00 | 0.31 | 0.00 |
| SOL-USD | ema_short | already_crowded_short_veto | 6.00 | 192.00 | 192.00 | 41.20% | -27.88% | -0.17% | 39.58% | 52.08% | -0.00 | -0.00 | 0.00 | 0.13 | 0.00 |
| BTC-USD | ema_short | crowded_long_only | 6.00 | 31.00 | 31.00 | 6.80% | -5.54% | -0.18% | 35.48% | 54.84% | -0.00 | -0.00 | -0.00 | 1.00 | 0.00 |
| ETH-USD | ema_short | crowded_long_only | 6.00 | 26.00 | 26.00 | 5.68% | -9.81% | -0.39% | 26.92% | 53.85% | 0.00 | -0.00 | -0.00 | 1.00 | 0.00 |
| SOL-USD | ema_short | crowded_long_only | 6.00 | 28.00 | 28.00 | 6.01% | -4.05% | -0.14% | 39.29% | 39.29% | 0.00 | -0.00 | -0.00 | 1.00 | 0.00 |
| BTC-USD | ema_short | no_gate | 6.00 | 456.00 | 456.00 | 100.00% | -41.23% | -0.11% | 36.84% | 55.04% | -0.00 | 0.00 | 0.00 | 0.05 | 0.82 |
| ETH-USD | ema_short | no_gate | 6.00 | 458.00 | 458.00 | 100.00% | -46.43% | -0.13% | 36.90% | 55.90% | -0.00 | -0.00 | 0.00 | 0.05 | 0.84 |
| SOL-USD | ema_short | no_gate | 6.00 | 466.00 | 466.00 | 100.00% | -33.83% | -0.08% | 41.42% | 51.50% | 0.00 | 0.00 | 0.00 | 0.05 | 0.61 |
| setup | variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|---|
| breakdown_short | already_crowded_short_veto | bucket_1 | -12.12% | 0.00% | 104.00 |
| breakdown_short | already_crowded_short_veto | bucket_2 | 1.51% | 66.67% | 30.67 |
| breakdown_short | already_crowded_short_veto | bucket_3 | -16.96% | 0.00% | 48.00 |
| breakdown_short | crowded_long_only | bucket_2 | 6.97% | 100.00% | 6.67 |
| breakdown_short | crowded_long_only | bucket_3 | -11.20% | 0.00% | 20.00 |
| breakdown_short | no_gate | bucket_1 | -3.10% | 33.33% | 190.67 |
| breakdown_short | no_gate | bucket_2 | -21.58% | 0.00% | 137.33 |
| breakdown_short | no_gate | bucket_3 | -8.82% | 33.33% | 118.67 |
| ema_short | already_crowded_short_veto | bucket_1 | -59.90% | 0.00% | 324.00 |
| ema_short | already_crowded_short_veto | bucket_2 | -38.51% | 0.00% | 162.67 |
| ema_short | already_crowded_short_veto | bucket_3 | -38.47% | 0.00% | 222.67 |
| ema_short | crowded_long_only | bucket_2 | -16.10% | 0.00% | 37.33 |
| ema_short | crowded_long_only | bucket_3 | -21.18% | 0.00% | 76.00 |
| ema_short | no_gate | bucket_1 | -83.93% | 0.00% | 680.00 |
| ema_short | no_gate | bucket_2 | -74.81% | 0.00% | 636.00 |
| ema_short | no_gate | bucket_3 | -69.57% | 0.00% | 524.00 |