Rank 53 · close-confirmed CHoCH clean replication

生成时间：2026-03-18 11:02 UTC ｜类型：最小 clean replication ｜角色：Scout Seat 的 repo-based 15m crypto fast verdict

这轮只回答什么

固定复用 BTC/ETH/SOL 120d 15m cache，不追新 bar。
只比较两条 archetype：ema_pullback_long、breakdown_reclaim_short。
结构 gate 只看 1h confirmed pivot close，并统一冻结为 15m next-bar open -> no-overlap -> hold 8 bars。
先回答四个便宜问题：post_cost_return、false_hold_4bars_rate、trade_count_retention、time-pocket honesty。

clean-room 规则

base：不看 1h CHoCH，只执行 15m base setup。
htf_close_trend_gate：只有当最新已确认 1h close-CHoCH 状态与 15m 方向一致时才允许入场。
no_choch_no_flip：若最新 1h close-CHoCH 已明确站到反方向，则拒绝 15m 入场；否则允许继续按原方向。
liquidity_sweep_veto：在上一臂基础上，再 veto 最近 6 小时内出现的 wick-only 假突破/假跌破（上破不收上、下破不收下）。
false hold：触发后 4 根内，若收盘反向跌破/涨破 signal bar 的失效位，则记为 early fail。

hard verdict

park / evidence pool

主读法 breakdown_reclaim_short + liquidity_sweep_veto 在 6bps/side 下：跨资产 mean_total_return≈-2.88%、positive_asset_ratio≈0.00%、mean_trades≈8.0、mean_trade_count_retention≈39.97%、mean_false_hold_4bars_rate≈36.38%。

这条 CHoCH/压缩 gate 更像筛样本的结构 veto：成本后 pocket 仍不够统一，或 retention/false-hold 说明改善主要来自砍样本。

跨资产总表

setup	variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_false_hold_4bars_rate	mean_win_rate
ema_pullback_long	base	6.00	-1.89%	33.33%	16.7	100.00%	19.91%	40.51%
ema_pullback_long	htf_close_trend_gate	6.00	0.11%	33.33%	12.0	71.76%	15.58%	48.92%
ema_pullback_long	no_choch_no_flip	6.00	0.11%	33.33%	12.0	71.76%	15.58%	48.92%
ema_pullback_long	liquidity_sweep_veto	6.00	0.43%	33.33%	6.3	37.73%	18.06%	58.33%
breakdown_reclaim_short	base	6.00	-3.55%	0.00%	20.3	97.44%	34.14%	30.24%
breakdown_reclaim_short	htf_close_trend_gate	6.00	-2.68%	0.00%	14.3	68.96%	34.14%	28.43%
breakdown_reclaim_short	no_choch_no_flip	6.00	-2.68%	0.00%	14.3	68.96%	34.14%	28.43%
breakdown_reclaim_short	liquidity_sweep_veto	6.00	-2.88%	0.00%	8.0	39.97%	36.38%	19.91%

分资产摘要

asset	setup	variant	cost_bps_per_side	trades	total_return	trade_count_retention	false_hold_4bars_rate	win_rate
BTC-USD	ema_pullback_long	base	6.00	16	-3.01%	100.00%	18.75%	50.00%
BTC-USD	ema_pullback_long	htf_close_trend_gate	6.00	11	-2.96%	68.75%	9.09%	54.55%
BTC-USD	ema_pullback_long	no_choch_no_flip	6.00	11	-2.96%	68.75%	9.09%	54.55%
BTC-USD	ema_pullback_long	liquidity_sweep_veto	6.00	6	-3.09%	37.50%	16.67%	50.00%
BTC-USD	breakdown_reclaim_short	base	6.00	23	-1.42%	100.00%	43.48%	34.78%
BTC-USD	breakdown_reclaim_short	htf_close_trend_gate	6.00	17	-1.12%	73.91%	41.18%	35.29%
BTC-USD	breakdown_reclaim_short	no_choch_no_flip	6.00	17	-1.12%	73.91%	41.18%	35.29%
BTC-USD	breakdown_reclaim_short	liquidity_sweep_veto	6.00	9	-1.56%	39.13%	55.56%	22.22%
ETH-USD	ema_pullback_long	base	6.00	18	-10.01%	100.00%	22.22%	27.78%
ETH-USD	ema_pullback_long	htf_close_trend_gate	6.00	14	-9.17%	77.78%	28.57%	28.57%
ETH-USD	ema_pullback_long	no_choch_no_flip	6.00	14	-9.17%	77.78%	28.57%	28.57%
ETH-USD	ema_pullback_long	liquidity_sweep_veto	6.00	8	-6.51%	44.44%	37.50%	25.00%
ETH-USD	breakdown_reclaim_short	base	6.00	14	-5.05%	100.00%	21.43%	14.29%
ETH-USD	breakdown_reclaim_short	htf_close_trend_gate	6.00	10	-5.20%	71.43%	30.00%	0.00%
ETH-USD	breakdown_reclaim_short	no_choch_no_flip	6.00	10	-5.20%	71.43%	30.00%	0.00%
ETH-USD	breakdown_reclaim_short	liquidity_sweep_veto	6.00	7	-4.46%	50.00%	28.57%	0.00%
SOL-USD	ema_pullback_long	base	6.00	16	7.34%	100.00%	18.75%	43.75%
SOL-USD	ema_pullback_long	htf_close_trend_gate	6.00	11	12.46%	68.75%	9.09%	63.64%
SOL-USD	ema_pullback_long	no_choch_no_flip	6.00	11	12.46%	68.75%	9.09%	63.64%
SOL-USD	ema_pullback_long	liquidity_sweep_veto	6.00	5	10.90%	31.25%	0.00%	100.00%
SOL-USD	breakdown_reclaim_short	base	6.00	24	-4.18%	92.31%	37.50%	41.67%
SOL-USD	breakdown_reclaim_short	htf_close_trend_gate	6.00	16	-1.71%	61.54%	31.25%	50.00%
SOL-USD	breakdown_reclaim_short	no_choch_no_flip	6.00	16	-1.71%	61.54%	31.25%	50.00%
SOL-USD	breakdown_reclaim_short	liquidity_sweep_veto	6.00	8	-2.62%	30.77%	25.00%	37.50%

time-pocket honesty

setup	variant	cost_bps_per_side	bucket	mean_total_return	positive_asset_ratio	mean_trades
ema_pullback_long	base	6.00	bucket_1	-0.53%	66.67%	5.7
ema_pullback_long	base	6.00	bucket_2	-3.98%	0.00%	5.7
ema_pullback_long	base	6.00	bucket_3	2.73%	33.33%	5.3
ema_pullback_long	htf_close_trend_gate	6.00	bucket_1	-1.53%	33.33%	4.0
ema_pullback_long	htf_close_trend_gate	6.00	bucket_2	-1.67%	33.33%	4.0
ema_pullback_long	htf_close_trend_gate	6.00	bucket_3	3.25%	33.33%	4.0
ema_pullback_long	no_choch_no_flip	6.00	bucket_1	-1.53%	33.33%	4.0
ema_pullback_long	no_choch_no_flip	6.00	bucket_2	-1.67%	33.33%	4.0
ema_pullback_long	no_choch_no_flip	6.00	bucket_3	3.25%	33.33%	4.0
ema_pullback_long	liquidity_sweep_veto	6.00	bucket_1	-0.65%	33.33%	2.3
ema_pullback_long	liquidity_sweep_veto	6.00	bucket_2	-1.31%	66.67%	2.0
ema_pullback_long	liquidity_sweep_veto	6.00	bucket_3	2.33%	33.33%	2.0
breakdown_reclaim_short	base	6.00	bucket_1	1.61%	66.67%	7.0
breakdown_reclaim_short	base	6.00	bucket_2	-1.83%	0.00%	6.7
breakdown_reclaim_short	base	6.00	bucket_3	-3.24%	0.00%	6.7
breakdown_reclaim_short	htf_close_trend_gate	6.00	bucket_1	0.89%	66.67%	5.0
breakdown_reclaim_short	htf_close_trend_gate	6.00	bucket_2	-1.10%	33.33%	4.7
breakdown_reclaim_short	htf_close_trend_gate	6.00	bucket_3	-2.43%	0.00%	4.7
breakdown_reclaim_short	no_choch_no_flip	6.00	bucket_1	0.89%	66.67%	5.0
breakdown_reclaim_short	no_choch_no_flip	6.00	bucket_2	-1.10%	33.33%	4.7
breakdown_reclaim_short	no_choch_no_flip	6.00	bucket_3	-2.43%	0.00%	4.7
breakdown_reclaim_short	liquidity_sweep_veto	6.00	bucket_1	-0.33%	33.33%	2.7
breakdown_reclaim_short	liquidity_sweep_veto	6.00	bucket_2	-1.77%	0.00%	2.7
breakdown_reclaim_short	liquidity_sweep_veto	6.00	bucket_3	-0.79%	33.33%	2.7

Rank 53 · close-confirmed CHoCH compression gate