生成时间：2026-03-18 13:40 UTC ｜ 固定 BTC/ETH/SOL 120d 15m cache；复用已有 signal 前 aggTrades 缓存，把大额主动成交映射成上下方潜在 liquidation cluster；执行统一 next-bar open + no-overlap + hold 8 bars。
当 EMA = waiting_not_due 时，Rank 56 只拿 1 次最小预算：把 liquidation-map 的 cluster path score 当成 shared path/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 / 假 follow-through / 回撤？
ema_psar_long、fib_retest_long、breakout_short。base、binary_path_gate、size_tilt。aggTrades，只保留大额主动成交（max(100k USDT, top1%)），再把 Buy / Sell 映射到下方 / 上方可能的 liquidation 带，比较 entry 上下 0.3~1.5 ATR 内的顺势 fuel 与逆风 trap。binary_path_gate：只有 path_score > 0.05 才放行；否则直接 veto。size_tilt：path_score 明显顺势时放大到 1.2x，明显逆风时缩到 0.6x，其余中性区降到 0.9x。P1 weak candidate / evidence pool
ema_psar_long: base≈1.63% / gate≈0.74% / size≈1.69%；fib_retest_long: base≈0.03% / gate≈-0.22% / size≈-0.04%；breakout_short: base≈-2.49% / gate≈-2.02% / size≈-2.85%
最小 clean replication 至少说明 liquidation-map path overlay 不是纯图像幻觉：在不过度砍样本的前提下，有不止一条 base setup 出现了成本后改善或更低的 false-follow，但当前证据仍不够直接升到 P2。
| setup | base_return | gate_return | size_return | base_false_follow | gate_false_follow | size_false_follow | gate_trade_retention | size_trade_retention | best_variant | improved_vs_base |
|---|---|---|---|---|---|---|---|---|---|---|
| ema_psar_long | 1.63% | 0.74% | 1.69% | 54.17% | 61.11% | 54.17% | 41.67% | 100.00% | size_tilt | True |
| fib_retest_long | 0.03% | -0.22% | -0.04% | 58.33% | 83.33% | 58.33% | 37.50% | 100.00% | base | False |
| breakout_short | -2.49% | -2.02% | -2.85% | 54.17% | 60.00% | 54.17% | 62.50% | 100.00% | binary_path_gate | True |
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_max_drawdown | mean_false_follow_4bars_rate |
|---|---|---|---|---|---|---|---|---|
| breakout_short | base | 6 | -2.49% | 0.00% | 8.0 | 100.00% | -3.00% | 54.17% |
| breakout_short | binary_path_gate | 6 | -2.02% | 33.33% | 5.0 | 62.50% | -2.26% | 60.00% |
| breakout_short | size_tilt | 6 | -2.85% | 33.33% | 8.0 | 100.00% | -3.43% | 54.17% |
| ema_psar_long | base | 6 | 1.63% | 33.33% | 8.0 | 100.00% | -2.65% | 54.17% |
| ema_psar_long | binary_path_gate | 6 | 0.74% | 66.67% | 3.3 | 41.67% | -0.97% | 61.11% |
| ema_psar_long | size_tilt | 6 | 1.69% | 33.33% | 8.0 | 100.00% | -2.67% | 54.17% |
| fib_retest_long | base | 6 | 0.03% | 66.67% | 8.0 | 100.00% | -1.63% | 58.33% |
| fib_retest_long | binary_path_gate | 6 | -0.22% | 33.33% | 3.0 | 37.50% | -0.53% | 83.33% |
| fib_retest_long | size_tilt | 6 | -0.04% | 33.33% | 8.0 | 100.00% | -1.72% | 58.33% |
| asset | setup | variant | trades | trade_count_retention | signal_retention | total_return | max_drawdown | false_follow_4bars_rate | mean_path_score |
|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakout_short | base | 8 | 100.00% | 100.00% | -0.05% | -2.56% | 62.50% | 62.50% |
| ETH-USD | breakout_short | base | 8 | 100.00% | 100.00% | -2.29% | -2.89% | 25.00% | 62.50% |
| SOL-USD | breakout_short | base | 8 | 100.00% | 100.00% | -5.14% | -3.55% | 75.00% | 61.92% |
| BTC-USD | breakout_short | binary_path_gate | 5 | 62.50% | 62.50% | 0.33% | -1.90% | 60.00% | 100.00% |
| ETH-USD | breakout_short | binary_path_gate | 5 | 62.50% | 62.50% | -3.23% | -2.89% | 40.00% | 100.00% |
| SOL-USD | breakout_short | binary_path_gate | 5 | 62.50% | 62.50% | -3.16% | -2.00% | 80.00% | 100.00% |
| BTC-USD | breakout_short | size_tilt | 8 | 100.00% | 100.00% | 0.05% | -2.70% | 62.50% | 62.50% |
| ETH-USD | breakout_short | size_tilt | 8 | 100.00% | 100.00% | -3.03% | -3.46% | 25.00% | 62.50% |
| SOL-USD | breakout_short | size_tilt | 8 | 100.00% | 100.00% | -5.56% | -4.14% | 75.00% | 61.92% |
| BTC-USD | ema_psar_long | base | 8 | 100.00% | 100.00% | -3.35% | -2.92% | 75.00% | 75.00% |
| ETH-USD | ema_psar_long | base | 8 | 100.00% | 100.00% | -6.64% | -3.40% | 37.50% | 37.50% |
| SOL-USD | ema_psar_long | base | 8 | 100.00% | 100.00% | 14.89% | -1.63% | 50.00% | 12.50% |
| BTC-USD | ema_psar_long | binary_path_gate | 6 | 75.00% | 75.00% | -3.76% | -2.92% | 83.33% | 100.00% |
| ETH-USD | ema_psar_long | binary_path_gate | 3 | 37.50% | 37.50% | 2.49% | 0.00% | 0.00% | 100.00% |
| SOL-USD | ema_psar_long | binary_path_gate | 1 | 12.50% | 12.50% | 3.47% | 0.00% | 100.00% | 100.00% |
| BTC-USD | ema_psar_long | size_tilt | 8 | 100.00% | 100.00% | -4.14% | -3.50% | 75.00% | 75.00% |
| ETH-USD | ema_psar_long | size_tilt | 8 | 100.00% | 100.00% | -5.29% | -3.06% | 37.50% | 37.50% |
| SOL-USD | ema_psar_long | size_tilt | 8 | 100.00% | 100.00% | 14.48% | -1.46% | 50.00% | 12.50% |
| BTC-USD | fib_retest_long | base | 8 | 100.00% | 100.00% | 1.54% | -1.22% | 75.00% | 50.00% |
| ETH-USD | fib_retest_long | base | 8 | 100.00% | 100.00% | 0.16% | -1.43% | 75.00% | 50.00% |
| SOL-USD | fib_retest_long | base | 8 | 100.00% | 100.00% | -1.61% | -2.24% | 25.00% | 12.50% |
| BTC-USD | fib_retest_long | binary_path_gate | 4 | 50.00% | 50.00% | 1.17% | -0.34% | 75.00% | 100.00% |
| ETH-USD | fib_retest_long | binary_path_gate | 4 | 50.00% | 50.00% | -0.78% | -1.24% | 75.00% | 100.00% |
| SOL-USD | fib_retest_long | binary_path_gate | 1 | 12.50% | 12.50% | -1.04% | 0.00% | 100.00% | 100.00% |
| BTC-USD | fib_retest_long | size_tilt | 8 | 100.00% | 100.00% | 1.74% | -1.17% | 75.00% | 50.00% |
| ETH-USD | fib_retest_long | size_tilt | 8 | 100.00% | 100.00% | -0.09% | -1.66% | 75.00% | 50.00% |
| SOL-USD | fib_retest_long | size_tilt | 8 | 100.00% | 100.00% | -1.76% | -2.32% | 25.00% | 12.50% |
| 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 | -2.19% | 0.00% | 5.0 |
| breakout_short | base | bucket_3 | -1.11% | 0.00% | 2.0 |
| breakout_short | binary_path_gate | bucket_1 | 0.41% | 50.00% | 1.5 |
| breakout_short | binary_path_gate | bucket_2 | -1.47% | 0.00% | 3.3 |
| breakout_short | binary_path_gate | bucket_3 | -1.24% | 0.00% | 1.0 |
| breakout_short | size_tilt | bucket_1 | 0.68% | 50.00% | 2.5 |
| breakout_short | size_tilt | bucket_2 | -2.41% | 0.00% | 5.0 |
| breakout_short | size_tilt | bucket_3 | -1.37% | 0.00% | 2.0 |
| 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_path_gate | bucket_2 | 0.18% | 50.00% | 1.0 |
| ema_psar_long | binary_path_gate | bucket_3 | 0.60% | 66.67% | 2.7 |
| ema_psar_long | size_tilt | bucket_2 | 0.32% | 33.33% | 2.3 |
| ema_psar_long | size_tilt | bucket_3 | 1.18% | 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_path_gate | bucket_1 | -0.21% | 33.33% | 2.3 |
| fib_retest_long | binary_path_gate | bucket_2 | -0.03% | 0.00% | 1.0 |
| fib_retest_long | binary_path_gate | bucket_3 | 0.01% | 100.00% | 1.0 |
| fib_retest_long | size_tilt | bucket_1 | -0.40% | 33.33% | 6.7 |
| fib_retest_long | size_tilt | bucket_2 | 0.24% | 50.00% | 1.0 |
| fib_retest_long | size_tilt | bucket_3 | 0.29% | 100.00% | 1.0 |