Rank 52 · trade-flow imbalance veto clean replication

生成时间：2026-03-18 10:11 UTC ｜固定 BTC/ETH/SOL 120d 15m cache；flow 只看 signal 前最后 5 分钟 Binance Futures aggTrades 摘要；执行统一 next-bar open + no-overlap + hold 8 bars。

这轮只回答一个问题

当 `EMA = waiting_not_due` 时，Rank 52 只拿 1 次最小预算：setup 前最后几分钟的主动买卖量失衡，能不能在不过度砍样本的前提下，减少当前 desk archetype 的假动作？

archetype A / ema_pullback_long：EMA 顺势 + 两根回抽后重新放量上破前高。
archetype B / breakdown_reclaim_short：弱趋势下跌破 20-bar low，并保持在 breakdown 之下。
变体：base、same_direction_flow_gate、strong_flow_gate、opposite_flow_veto。

冻结规则

flow 只取 signal 发生前最后 5 分钟的 aggTrades，按主动买/卖量汇总成 flow_align=(buy-sell)/(buy+sell)。
same_direction_flow_gate：long 要 flow_align > 0，short 要 flow_align < 0。
strong_flow_gate：在同向基础上，还要绝对 flow 强度不低于该资产该 archetype 最近 20 次 signal 的 rolling median。
opposite_flow_veto：只 veto 明显反向 flow；中性 flow 不强制砍掉。
repo 名字虽然叫 order-book imbalance，但这里最诚实可复刻的是 aggTrades trade-flow proxy，不是完整 L2 深度失衡。

hard verdict

park / evidence pool

`breakdown_reclaim_short + opposite_flow_veto @ 6bps`：mean_total_return≈-2.73%、positive_asset_ratio≈0.00%、mean_trades≈17.0、mean_trade_count_retention≈81.90%、mean_false_break_or_hold_4bars_rate≈85.65%。

这次最小 clean replication 更像在证明：trade-flow veto 有时能少亏或降假动作，但当前改善仍主要靠砍样本，跨资产也没有形成足够干净的正 pocket，不该继续冒充默认可升格候选。

overall summary

setup	variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_false_break_or_hold_4bars_rate	mean_follow_through_2bars	mean_follow_through_4bars
breakdown_reclaim_short	base	6	-3.38%	0.00%	20.3	100.00%	80.65%	-0.05%	-0.07%
breakdown_reclaim_short	base	10	-4.94%	0.00%	20.3	100.00%	80.65%	-0.05%	-0.07%
breakdown_reclaim_short	opposite_flow_veto	6	-2.73%	0.00%	17.0	81.90%	85.65%	-0.06%	-0.07%
breakdown_reclaim_short	opposite_flow_veto	10	-4.05%	0.00%	17.0	81.90%	85.65%	-0.06%	-0.07%
breakdown_reclaim_short	same_direction_flow_gate	6	-2.73%	0.00%	17.0	81.90%	85.65%	-0.06%	-0.07%
breakdown_reclaim_short	same_direction_flow_gate	10	-4.05%	0.00%	17.0	81.90%	85.65%	-0.06%	-0.07%
breakdown_reclaim_short	strong_flow_gate	6	-2.21%	0.00%	4.0	18.02%	93.33%	-0.21%	-0.21%
breakdown_reclaim_short	strong_flow_gate	10	-2.52%	0.00%	4.0	18.02%	93.33%	-0.21%	-0.21%
ema_pullback_long	base	6	-1.89%	33.33%	16.7	100.00%	74.07%	-0.04%	0.02%
ema_pullback_long	base	10	-3.19%	33.33%	16.7	100.00%	74.07%	-0.04%	0.02%
ema_pullback_long	opposite_flow_veto	6	-4.04%	33.33%	9.7	57.87%	80.47%	-0.13%	-0.05%
ema_pullback_long	opposite_flow_veto	10	-4.78%	0.00%	9.7	57.87%	80.47%	-0.13%	-0.05%
ema_pullback_long	same_direction_flow_gate	6	-4.04%	33.33%	9.7	57.87%	80.47%	-0.13%	-0.05%
ema_pullback_long	same_direction_flow_gate	10	-4.78%	0.00%	9.7	57.87%	80.47%	-0.13%	-0.05%
ema_pullback_long	strong_flow_gate	6	-0.15%	66.67%	2.0	12.04%	83.33%	0.01%	0.11%
ema_pullback_long	strong_flow_gate	10	-0.31%	66.67%	2.0	12.04%	83.33%	0.01%	0.11%

primary cost（6bps）asset-level

asset	setup	variant	trades	trade_count_retention	signal_retention	total_return	false_break_or_hold_4bars_rate
BTC-USD	breakdown_reclaim_short	base	23	100.00%	100.00%	-1.25%	78.26%
ETH-USD	breakdown_reclaim_short	base	14	100.00%	100.00%	-5.01%	92.86%
SOL-USD	breakdown_reclaim_short	base	24	100.00%	100.00%	-3.88%	70.83%
BTC-USD	breakdown_reclaim_short	opposite_flow_veto	19	82.61%	82.61%	-0.22%	84.21%
ETH-USD	breakdown_reclaim_short	opposite_flow_veto	10	71.43%	71.43%	-3.62%	100.00%
SOL-USD	breakdown_reclaim_short	opposite_flow_veto	22	91.67%	91.67%	-4.36%	72.73%
BTC-USD	breakdown_reclaim_short	same_direction_flow_gate	19	82.61%	82.61%	-0.22%	84.21%
ETH-USD	breakdown_reclaim_short	same_direction_flow_gate	10	71.43%	71.43%	-3.62%	100.00%
SOL-USD	breakdown_reclaim_short	same_direction_flow_gate	22	91.67%	91.67%	-4.36%	72.73%
BTC-USD	breakdown_reclaim_short	strong_flow_gate	6	26.09%	26.09%	-3.07%	100.00%
ETH-USD	breakdown_reclaim_short	strong_flow_gate	1	7.14%	7.14%	-0.14%	100.00%
SOL-USD	breakdown_reclaim_short	strong_flow_gate	5	20.83%	20.83%	-3.42%	80.00%
BTC-USD	ema_pullback_long	base	16	100.00%	100.00%	-3.01%	75.00%
ETH-USD	ema_pullback_long	base	18	100.00%	100.00%	-10.01%	72.22%
SOL-USD	ema_pullback_long	base	16	100.00%	100.00%	7.34%	75.00%
BTC-USD	ema_pullback_long	opposite_flow_veto	9	56.25%	56.25%	-4.45%	88.89%
ETH-USD	ema_pullback_long	opposite_flow_veto	11	61.11%	61.11%	-8.40%	63.64%
SOL-USD	ema_pullback_long	opposite_flow_veto	9	56.25%	56.25%	0.72%	88.89%
BTC-USD	ema_pullback_long	same_direction_flow_gate	9	56.25%	56.25%	-4.45%	88.89%
ETH-USD	ema_pullback_long	same_direction_flow_gate	11	61.11%	61.11%	-8.40%	63.64%
SOL-USD	ema_pullback_long	same_direction_flow_gate	9	56.25%	56.25%	0.72%	88.89%
BTC-USD	ema_pullback_long	strong_flow_gate	2	12.50%	12.50%	0.76%	50.00%
ETH-USD	ema_pullback_long	strong_flow_gate	2	11.11%	11.11%	-4.18%	100.00%
SOL-USD	ema_pullback_long	strong_flow_gate	2	12.50%	12.50%	2.97%	100.00%

time-pocket honesty