生成时间：2026-03-18 15:24 UTC
结论：park / evidence pool
最小 clean replication 没把它推到候选池：event AVWAP 仍主要表现为切样本执行层，成本后收益/跨资产稳定性/false follow-through 还不够诚实。
主读法 event_avwap_gate @ 6bps：mean_total_return=-1.35%；positive_asset_ratio=44.44%；mean_trades=20.78；trade_count_retention=93.68%；false_follow_4bars=61.45%。
对照 session_vwap_gate：mean_total_return=-2.51%；trade_count_retention=91.37%；false_follow_4bars=24.48%。
BTC/ETH/SOL 120d 15m 本地 cache，不追新 bar。ema_psar_long、fib_retest_long、breakout_short。base、session_vwap_gate、event_avwap_gate、event_avwap_gate+0.5ATR proximity。signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。ema15 reclaim trigger、fib0.618 reclaim trigger、rolling-low breakdown trigger；不允许事后挑最好看的锚点。| variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_false_follow_4bars_rate |
|---|---|---|---|---|---|---|
| base | 6 | -2.02% | 33.33% | 22.11 | 100.00% | 81.14% |
| event_avwap_gate | 6 | -1.35% | 44.44% | 20.78 | 93.68% | 61.45% |
| event_avwap_plus_proximity | 6 | -0.37% | 33.33% | 11.44 | 53.53% | 69.88% |
| session_vwap_gate | 6 | -2.51% | 22.22% | 20.89 | 91.37% | 24.48% |
| asset | setup | variant | cost_bps_per_side | signal_events | trades | trade_count_retention | total_return | avg_net_ret | win_rate | false_follow_4bars_rate |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | ema_psar_long | base | 6 | 38 | 35 | 100.00% | -1.35% | -0.03% | 48.57% | 80.00% |
| BTC-USD | ema_psar_long | session_vwap_gate | 6 | 37 | 34 | 97.14% | -0.14% | 0.00% | 50.00% | 20.59% |
| BTC-USD | ema_psar_long | event_avwap_gate | 6 | 35 | 33 | 94.29% | 2.23% | 0.07% | 51.52% | 69.70% |
| BTC-USD | ema_psar_long | event_avwap_plus_proximity | 6 | 12 | 12 | 34.29% | 5.00% | 0.41% | 58.33% | 75.00% |
| BTC-USD | fib_retest_long | base | 6 | 11 | 11 | 100.00% | 2.40% | 0.22% | 63.64% | 90.91% |
| BTC-USD | fib_retest_long | session_vwap_gate | 6 | 9 | 9 | 81.82% | 0.60% | 0.07% | 55.56% | 33.33% |
| BTC-USD | fib_retest_long | event_avwap_gate | 6 | 11 | 11 | 100.00% | 2.40% | 0.22% | 63.64% | 63.64% |
| BTC-USD | fib_retest_long | event_avwap_plus_proximity | 6 | 4 | 4 | 36.36% | 1.75% | 0.44% | 50.00% | 75.00% |
| BTC-USD | breakout_short | base | 6 | 23 | 23 | 100.00% | -1.42% | -0.06% | 34.78% | 78.26% |
| BTC-USD | breakout_short | session_vwap_gate | 6 | 23 | 23 | 100.00% | -1.42% | -0.06% | 34.78% | 17.39% |
| BTC-USD | breakout_short | event_avwap_gate | 6 | 20 | 20 | 86.96% | -1.32% | -0.06% | 35.00% | 65.00% |
| BTC-USD | breakout_short | event_avwap_plus_proximity | 6 | 13 | 13 | 56.52% | -2.14% | -0.16% | 30.77% | 76.92% |
| ETH-USD | ema_psar_long | base | 6 | 36 | 35 | 100.00% | -16.42% | -0.50% | 34.29% | 82.86% |
| ETH-USD | ema_psar_long | session_vwap_gate | 6 | 34 | 34 | 97.14% | -13.38% | -0.41% | 32.35% | 20.59% |
| ETH-USD | ema_psar_long | event_avwap_gate | 6 | 36 | 35 | 100.00% | -16.42% | -0.50% | 34.29% | 60.00% |
| ETH-USD | ema_psar_long | event_avwap_plus_proximity | 6 | 13 | 13 | 37.14% | -7.52% | -0.58% | 30.77% | 61.54% |
| ETH-USD | fib_retest_long | base | 6 | 12 | 11 | 100.00% | -0.20% | -0.02% | 45.45% | 90.91% |
| ETH-USD | fib_retest_long | session_vwap_gate | 6 | 10 | 9 | 81.82% | -2.10% | -0.23% | 33.33% | 44.44% |
| ETH-USD | fib_retest_long | event_avwap_gate | 6 | 12 | 11 | 100.00% | -0.20% | -0.02% | 45.45% | 72.73% |
| ETH-USD | fib_retest_long | event_avwap_plus_proximity | 6 | 6 | 6 | 54.55% | -1.90% | -0.32% | 33.33% | 100.00% |
| ETH-USD | breakout_short | base | 6 | 14 | 14 | 100.00% | -5.05% | -0.37% | 14.29% | 92.86% |
| ETH-USD | breakout_short | session_vwap_gate | 6 | 14 | 14 | 100.00% | -5.05% | -0.37% | 14.29% | 7.14% |
| ETH-USD | breakout_short | event_avwap_gate | 6 | 11 | 11 | 78.57% | -3.68% | -0.34% | 18.18% | 81.82% |
| ETH-USD | breakout_short | event_avwap_plus_proximity | 6 | 9 | 9 | 64.29% | -3.31% | -0.37% | 22.22% | 77.78% |
| SOL-USD | ema_psar_long | base | 6 | 36 | 35 | 100.00% | 6.73% | 0.21% | 40.00% | 80.00% |
| SOL-USD | ema_psar_long | session_vwap_gate | 6 | 36 | 35 | 100.00% | 6.73% | 0.21% | 40.00% | 25.71% |
| SOL-USD | ema_psar_long | event_avwap_gate | 6 | 36 | 35 | 100.00% | 6.73% | 0.21% | 40.00% | 42.86% |
| SOL-USD | ema_psar_long | event_avwap_plus_proximity | 6 | 21 | 21 | 60.00% | 9.92% | 0.46% | 42.86% | 47.62% |
| SOL-USD | fib_retest_long | base | 6 | 11 | 11 | 100.00% | 1.30% | 0.12% | 45.45% | 63.64% |
| SOL-USD | fib_retest_long | session_vwap_gate | 6 | 8 | 8 | 72.73% | -3.26% | -0.41% | 25.00% | 37.50% |
| SOL-USD | fib_retest_long | event_avwap_gate | 6 | 11 | 11 | 100.00% | 1.30% | 0.12% | 45.45% | 27.27% |
| SOL-USD | fib_retest_long | event_avwap_plus_proximity | 6 | 7 | 7 | 63.64% | -0.61% | -0.08% | 28.57% | 42.86% |
| SOL-USD | breakout_short | base | 6 | 26 | 24 | 100.00% | -4.18% | -0.17% | 41.67% | 70.83% |
| SOL-USD | breakout_short | session_vwap_gate | 6 | 23 | 22 | 91.67% | -4.59% | -0.21% | 45.45% | 13.64% |
| SOL-USD | breakout_short | event_avwap_gate | 6 | 20 | 20 | 83.33% | -3.16% | -0.15% | 45.00% | 70.00% |
| SOL-USD | breakout_short | event_avwap_plus_proximity | 6 | 18 | 18 | 75.00% | -4.57% | -0.25% | 44.44% | 72.22% |
| variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|
| base | bucket_1 | -0.78% | 55.56% | 7.44 |
| base | bucket_2 | -1.00% | 33.33% | 7.11 |
| base | bucket_3 | -0.05% | 33.33% | 7.56 |
| event_avwap_gate | bucket_1 | -1.05% | 55.56% | 7.11 |
| event_avwap_gate | bucket_2 | -0.71% | 33.33% | 6.78 |
| event_avwap_gate | bucket_3 | 0.54% | 33.33% | 6.89 |
| event_avwap_plus_proximity | bucket_1 | 0.68% | 62.50% | 4.62 |
| event_avwap_plus_proximity | bucket_2 | -0.18% | 33.33% | 3.78 |
| event_avwap_plus_proximity | bucket_3 | -0.88% | 37.50% | 4.00 |
| session_vwap_gate | bucket_1 | -1.71% | 44.44% | 7.00 |
| session_vwap_gate | bucket_2 | -1.37% | 33.33% | 6.89 |
| session_vwap_gate | bucket_3 | 0.75% | 44.44% | 7.00 |
| setup | anchor_type | signals | event_gate_pass_rate | event_plus_proximity_pass_rate |
|---|---|---|---|---|
| breakout_short | rolling-low breakdown trigger | 63 | 80.95% | 63.49% |
| ema_psar_long | ema15 reclaim trigger | 110 | 97.27% | 41.82% |
| fib_retest_long | fib0.618 reclaim trigger | 34 | 100.00% | 50.00% |