Rank 55 · order-imbalance crash-risk overlay（minimal clean replication）

这轮只回答一个问题

当 EMA = waiting_not_due 时，Rank 55 只拿 1 次最小预算：把 order-imbalance 派生的 crash-risk proxy 当成共享 risk overlay，能不能同时改善当前 desk 三条 archetype（EMA/PSAR long、Fib retest long、breakout short）的成本后表现 / 回撤 / 假 hold？

• base setup：ema_psar_long、fib_retest_long、breakout_short。
• overlay 变体：base、binary_crash_gate、size_haircut。
• crash-risk proxy：只用 setup 前最后 5 分钟 aggTrades 的 sell pressure / flow shock，再叠 15m 短窗 downside move 与 realized vol，构造一个降级版 crash_score。

冻结规则

• binary_crash_gate：对 long setup，只在 crash_high = False 时放行；对 short setup，只在 crash_high = True 时放行。
• size_haircut：long 在 crash_high 时缩到 0.5x，short 在 crash_high 时放大到 1.2x、否则降到 0.7x。
• repo / 论文原意更接近日级 crash nowcast；这里最诚实可复刻的是 micro-flow proxy overlay，不是完整 L2 order-book crash model。

hard verdict

P1 weak candidate / evidence pool

ema_psar_long: base≈1.63% / gate≈3.15% / size≈2.40%；fib_retest_long: base≈0.03% / gate≈0.00% / size≈0.02%；breakout_short: base≈-2.49% / gate≈-1.88% / size≈-2.68%

最小 clean replication 至少说明 crash-risk overlay 不是纯噪音：三条 base setup 里有不止一条在不过度砍样本的前提下改善了成本后回报或回撤，但当前证据还不够直接升到 P2。

setup compare（6bps）

setup	base_return	gate_return	size_return	base_max_dd	gate_max_dd	size_max_dd	gate_trade_retention	best_variant	improved_vs_base
ema_psar_long	1.63%	3.15%	2.40%	-2.65%	-0.87%	-1.61%	79.17%	binary_crash_gate	True
fib_retest_long	0.03%	0.00%	0.02%	-1.63%	-1.65%	-1.72%	79.17%	base	False
breakout_short	-2.49%	-1.88%	-2.68%	-3.00%	-2.27%	-3.15%	70.83%	binary_crash_gate	True

overall summary

setup	variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_max_drawdown	mean_false_hold_4bars_rate
breakout_short	base	6	-2.49%	0.00%	8.0	100.00%	-3.00%	54.17%
breakout_short	binary_crash_gate	6	-1.88%	0.00%	5.7	70.83%	-2.27%	59.72%
breakout_short	size_haircut	6	-2.68%	0.00%	8.0	100.00%	-3.15%	54.17%
ema_psar_long	base	6	1.63%	33.33%	8.0	100.00%	-2.65%	54.17%
ema_psar_long	binary_crash_gate	6	3.15%	33.33%	6.3	79.17%	-0.87%	51.43%
ema_psar_long	size_haircut	6	2.40%	33.33%	8.0	100.00%	-1.61%	54.17%
fib_retest_long	base	6	0.03%	66.67%	8.0	100.00%	-1.63%	58.33%
fib_retest_long	binary_crash_gate	6	0.00%	66.67%	6.3	79.17%	-1.65%	60.00%
fib_retest_long	size_haircut	6	0.02%	66.67%	8.0	100.00%	-1.72%	58.33%

primary cost（6bps）asset-level

asset	setup	variant	trades	trade_count_retention	signal_retention	total_return	max_drawdown	false_hold_4bars_rate
BTC-USD	breakout_short	base	8	100.00%	100.00%	-0.05%	-2.56%	62.50%
ETH-USD	breakout_short	base	8	100.00%	100.00%	-2.29%	-2.89%	25.00%
SOL-USD	breakout_short	base	8	100.00%	100.00%	-5.14%	-3.55%	75.00%
BTC-USD	breakout_short	binary_crash_gate	8	100.00%	100.00%	-0.05%	-2.56%	62.50%
ETH-USD	breakout_short	binary_crash_gate	3	37.50%	37.50%	-1.69%	-1.34%	33.33%
SOL-USD	breakout_short	binary_crash_gate	6	75.00%	75.00%	-3.90%	-2.92%	83.33%
BTC-USD	breakout_short	size_haircut	8	100.00%	100.00%	-0.07%	-3.07%	62.50%
ETH-USD	breakout_short	size_haircut	8	100.00%	100.00%	-2.44%	-2.77%	25.00%
SOL-USD	breakout_short	size_haircut	8	100.00%	100.00%	-5.54%	-3.62%	75.00%
BTC-USD	ema_psar_long	base	8	100.00%	100.00%	-3.35%	-2.92%	75.00%
ETH-USD	ema_psar_long	base	8	100.00%	100.00%	-6.64%	-3.40%	37.50%
SOL-USD	ema_psar_long	base	8	100.00%	100.00%	14.89%	-1.63%	50.00%
BTC-USD	ema_psar_long	binary_crash_gate	7	87.50%	87.50%	-1.31%	-0.87%	71.43%
ETH-USD	ema_psar_long	binary_crash_gate	5	62.50%	62.50%	-5.37%	-1.18%	40.00%
SOL-USD	ema_psar_long	binary_crash_gate	7	87.50%	87.50%	16.14%	-0.56%	42.86%
BTC-USD	ema_psar_long	size_haircut	8	100.00%	100.00%	-2.33%	-1.90%	75.00%
ETH-USD	ema_psar_long	size_haircut	8	100.00%	100.00%	-5.99%	-1.85%	37.50%
SOL-USD	ema_psar_long	size_haircut	8	100.00%	100.00%	15.51%	-1.09%	50.00%
BTC-USD	fib_retest_long	base	8	100.00%	100.00%	1.54%	-1.22%	75.00%
ETH-USD	fib_retest_long	base	8	100.00%	100.00%	0.16%	-1.43%	75.00%
SOL-USD	fib_retest_long	base	8	100.00%	100.00%	-1.61%	-2.24%	25.00%
BTC-USD	fib_retest_long	binary_crash_gate	7	87.50%	87.50%	1.80%	-1.00%	71.43%
ETH-USD	fib_retest_long	binary_crash_gate	5	62.50%	62.50%	0.82%	-0.72%	80.00%
SOL-USD	fib_retest_long	binary_crash_gate	7	87.50%	87.50%	-2.61%	-3.23%	28.57%
BTC-USD	fib_retest_long	size_haircut	8	100.00%	100.00%	1.67%	-1.09%	75.00%
ETH-USD	fib_retest_long	size_haircut	8	100.00%	100.00%	0.49%	-1.34%	75.00%
SOL-USD	fib_retest_long	size_haircut	8	100.00%	100.00%	-2.11%	-2.73%	25.00%

time-pocket honesty

setup	variant	bucket	mean_total_return	positive_asset_ratio	mean_trades
breakout_short	base	bucket_1	0.63%	50.00%	2.5
breakout_short	base	bucket_2	-2.00%	0.00%	4.7
breakout_short	base	bucket_3	-0.93%	0.00%	1.7
breakout_short	binary_crash_gate	bucket_1	0.41%	50.00%	1.5
breakout_short	binary_crash_gate	bucket_2	-1.95%	0.00%	4.3
breakout_short	binary_crash_gate	bucket_3	-0.58%	0.00%	1.0
breakout_short	size_haircut	bucket_1	0.64%	50.00%	2.5
breakout_short	size_haircut	bucket_2	-2.37%	0.00%	4.7
breakout_short	size_haircut	bucket_3	-0.75%	0.00%	1.7
ema_psar_long	base	bucket_2	0.34%	33.33%	2.3
ema_psar_long	base	bucket_3	1.11%	33.33%	5.7
ema_psar_long	binary_crash_gate	bucket_2	0.81%	33.33%	1.7
ema_psar_long	binary_crash_gate	bucket_3	2.14%	66.67%	4.7
ema_psar_long	size_haircut	bucket_2	0.58%	33.33%	2.3
ema_psar_long	size_haircut	bucket_3	1.62%	33.33%	5.7
fib_retest_long	base	bucket_1	-0.37%	33.33%	6.7
fib_retest_long	base	bucket_2	0.28%	50.00%	1.0
fib_retest_long	base	bucket_3	0.32%	100.00%	1.0
fib_retest_long	binary_crash_gate	bucket_1	-0.40%	66.67%	5.0
fib_retest_long	binary_crash_gate	bucket_2	0.28%	50.00%	1.0
fib_retest_long	binary_crash_gate	bucket_3	0.32%	100.00%	1.0
fib_retest_long	size_haircut	bucket_1	-0.38%	33.33%	6.7
fib_retest_long	size_haircut	bucket_2	0.28%	50.00%	1.0
fib_retest_long	size_haircut	bucket_3	0.32%	100.00%	1.0