生成时间：2026-03-18 09:21 UTC ｜ 类型：最小 clean replication ｜ 角色：Scout Seat 的 repo-based 15m crypto fast verdict
BTC/ETH/SOL 120d 15m cache，不追最新 bar。touch_only、touch_plus_reclaim、touch_reclaim_plus_breadth。UTC session VWAP reset -> signal bar close -> next-bar open -> no-overlap -> hold 8 bars。post_cost_return、false_retest_rate、trade_count_retention、positive_asset_ratio。session VWAP * (1 + 0.2%) 就放行，不要求 reclaim，不要求 breadth。4 根里超过一半 close 在 VWAP 上方。park / evidence pool
主变体 touch_reclaim_plus_breadth 在 6bps/side 下：跨资产 mean_total_return≈-43.79%、positive_asset_ratio≈0.00%、mean_trades≈423.3、mean_trade_count_retention≈39.10%、mean_false_retest_4bars_rate≈39.20%。
最小 clean replication 没把它推到候选池：breadth 版要么成本后仍负，要么主要靠砍样本，或者跨资产/假 retest 指标仍不诚实。
| variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_false_retest_4bars_rate | mean_win_rate |
|---|---|---|---|---|---|---|---|
| touch_only | 6 | -79.13% | 0.00% | 1081.7 | 100.00% | 75.57% | 41.09% |
| touch_only | 10 | -91.23% | 0.00% | 1081.7 | 100.00% | 75.57% | 35.37% |
| touch_only | 15 | -97.04% | 0.00% | 1081.7 | 100.00% | 75.57% | 29.37% |
| touch_only | 20 | -99.00% | 0.00% | 1081.7 | 100.00% | 75.57% | 24.60% |
| touch_plus_reclaim | 6 | -49.69% | 0.00% | 580.0 | 53.59% | 47.70% | 37.76% |
| touch_plus_reclaim | 10 | -68.32% | 0.00% | 580.0 | 53.59% | 47.70% | 32.65% |
| touch_plus_reclaim | 15 | -82.22% | 0.00% | 580.0 | 53.59% | 47.70% | 26.61% |
| touch_plus_reclaim | 20 | -90.01% | 0.00% | 580.0 | 53.59% | 47.70% | 22.35% |
| touch_reclaim_plus_breadth | 6 | -43.79% | 0.00% | 423.3 | 39.10% | 39.20% | 38.42% |
| touch_reclaim_plus_breadth | 10 | -59.93% | 0.00% | 423.3 | 39.10% | 39.20% | 33.32% |
| touch_reclaim_plus_breadth | 15 | -73.73% | 0.00% | 423.3 | 39.10% | 39.20% | 27.97% |
| touch_reclaim_plus_breadth | 20 | -82.77% | 0.00% | 423.3 | 39.10% | 39.20% | 23.25% |
| asset | variant | trades | trade_count_retention | total_return | false_retest_4bars_rate | win_rate |
|---|---|---|---|---|---|---|
| BTC-USD | touch_only | 1100 | 100.00% | -74.27% | 72.64% | 39.91% |
| ETH-USD | touch_only | 1084 | 100.00% | -81.36% | 75.18% | 41.70% |
| SOL-USD | touch_only | 1061 | 100.00% | -81.74% | 78.89% | 41.66% |
| BTC-USD | touch_plus_reclaim | 614 | 55.82% | -52.71% | 47.39% | 34.53% |
| ETH-USD | touch_plus_reclaim | 582 | 53.69% | -52.27% | 45.88% | 38.49% |
| SOL-USD | touch_plus_reclaim | 544 | 51.27% | -44.09% | 49.82% | 40.26% |
| BTC-USD | touch_reclaim_plus_breadth | 461 | 41.91% | -48.37% | 37.96% | 36.23% |
| ETH-USD | touch_reclaim_plus_breadth | 431 | 39.76% | -36.81% | 37.59% | 40.14% |
| SOL-USD | touch_reclaim_plus_breadth | 378 | 35.63% | -46.18% | 42.06% | 38.89% |
| variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|
| touch_only | bucket_1 | -97.78% | 0.00% | 1432.0 |
| touch_only | bucket_2 | -98.05% | 0.00% | 1404.0 |
| touch_only | bucket_3 | -98.70% | 0.00% | 1490.7 |
| touch_plus_reclaim | bucket_1 | -82.74% | 0.00% | 761.3 |
| touch_plus_reclaim | bucket_2 | -84.02% | 0.00% | 788.0 |
| touch_plus_reclaim | bucket_3 | -87.68% | 0.00% | 770.7 |
| touch_reclaim_plus_breadth | bucket_1 | -76.60% | 0.00% | 586.7 |
| touch_reclaim_plus_breadth | bucket_2 | -79.39% | 0.00% | 588.0 |
| touch_reclaim_plus_breadth | bucket_3 | -78.34% | 0.00% | 518.7 |