生成时间：2026-03-18 15:57 UTC
结论：P1 weak candidate / evidence pool
ema_psar_long: base≈-3.67% / kijun≈-4.71% / cloud≈-1.18% / combo≈-0.87% / combo+ADX≈-2.09%；fib_retest_long: base≈1.17% / kijun≈0.22% / cloud≈-0.83% / combo≈0.11% / combo+ADX≈0.00%；breakout_short: base≈-3.55% / kijun≈-3.70% / cloud≈-3.26% / combo≈-4.00% / combo+ADX≈-2.72%
最小 clean replication 说明 Kijun + cloud-side 至少在部分 archetype 上不是纯靠砍样本少亏：它对 continuation 噪音有一点 shared gate 味道，但跨 setup / 跨资产还不够统一，因此先保留在 P1 证据池，比直接升格更诚实。
本轮只回答一个问题：Kijun / cloud-side 这层 shared continuation gate，能不能在不过度砍样本的前提下，让现有 `EMA-PSAR / Fib retest / breakout-short` 三条 archetype 少一点 4~8 bar 早衰，或者至少少亏？
BTC/ETH/SOL 120d 15m 本地 cache，不追新 bar。ema_psar_long、fib_retest_long、breakout_short。base、kijun_only、cloud_side、kijun+cloud_side、kijun+cloud_side+ADX floor。signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。Chikou / RSI / 时间过滤 / BE / trailing，只回答 Kijun/cloud-side 本身有没有共享 continuation gate 的诚实价值。| setup | base_return | kijun_return | cloud_return | combo_return | combo_adx_return | base_fail4 | combo_fail4 | combo_adx_fail4 | combo_retention | combo_adx_retention | combo_winner_trunc | combo_adx_winner_trunc | combo_pos_ratio | combo_adx_pos_ratio |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ema_psar_long | -3.67% | -4.71% | -1.18% | -0.87% | -2.09% | 81.90% | 77.47% | 79.50% | 59.05% | 33.33% | 34.80% | 63.28% | 33.33% | 33.33% |
| fib_retest_long | 1.17% | 0.22% | -0.83% | 0.11% | 0.00% | 81.82% | 50.00% | - | 6.06% | 0.00% | 93.33% | 100.00% | 33.33% | 0.00% |
| breakout_short | -3.55% | -3.70% | -3.26% | -4.00% | -2.72% | 80.65% | 81.26% | 82.50% | 77.61% | 47.43% | 32.50% | 60.83% | 0.00% | 0.00% |
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_signal_retention | mean_failure_4bars_rate | mean_failure_8bars_rate | mean_winner_truncation_rate |
|---|---|---|---|---|---|---|---|---|---|---|
| breakout_short | base | 6 | -3.55% | 0.00% | 20.3 | 100.00% | 100.00% | 80.65% | 84.94% | 0.00% |
| breakout_short | cloud_side | 6 | -3.26% | 0.00% | 19.0 | 91.41% | 91.41% | 79.67% | 84.09% | 16.67% |
| breakout_short | kijun_cloud_side | 6 | -4.00% | 0.00% | 16.0 | 77.61% | 77.61% | 81.26% | 84.81% | 32.50% |
| breakout_short | kijun_cloud_side_adx_floor | 6 | -2.72% | 0.00% | 9.3 | 47.43% | 47.43% | 82.50% | 82.50% | 60.83% |
| breakout_short | kijun_only | 6 | -3.70% | 0.00% | 20.0 | 97.62% | 97.62% | 80.47% | 84.75% | 16.67% |
| ema_psar_long | base | 6 | -3.67% | 33.33% | 35.0 | 100.00% | 100.00% | 81.90% | 86.67% | 0.00% |
| ema_psar_long | cloud_side | 6 | -1.18% | 66.67% | 32.0 | 91.43% | 91.43% | 80.20% | 85.45% | 5.16% |
| ema_psar_long | kijun_cloud_side | 6 | -0.87% | 33.33% | 20.7 | 59.05% | 59.05% | 77.47% | 83.84% | 34.80% |
| ema_psar_long | kijun_cloud_side_adx_floor | 6 | -2.09% | 33.33% | 11.7 | 33.33% | 33.33% | 79.50% | 85.98% | 63.28% |
| ema_psar_long | kijun_only | 6 | -4.71% | 33.33% | 27.3 | 78.10% | 78.10% | 81.72% | 86.53% | 23.74% |
| fib_retest_long | base | 6 | 1.17% | 66.67% | 11.0 | 100.00% | 100.00% | 81.82% | 87.88% | 0.00% |
| fib_retest_long | cloud_side | 6 | -0.83% | 33.33% | 7.0 | 63.64% | 63.64% | 79.96% | 85.52% | 49.52% |
| fib_retest_long | kijun_cloud_side | 6 | 0.11% | 33.33% | 0.7 | 6.06% | 6.06% | 50.00% | 50.00% | 93.33% |
| fib_retest_long | kijun_cloud_side_adx_floor | 6 | 0.00% | 0.00% | 0.0 | 0.00% | 0.00% | - | - | 100.00% |
| fib_retest_long | kijun_only | 6 | 0.22% | 33.33% | 3.0 | 27.27% | 27.27% | 91.67% | 91.67% | 81.90% |
| asset | setup | variant | cost_bps_per_side | base_signals | admitted_signals | trades | trade_count_retention | signal_retention | total_return | avg_net_ret | win_rate | failure_4bars_rate | failure_8bars_rate | winner_truncation_rate |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakout_short | base | 6 | 23 | 23 | 23 | 100.00% | 100.00% | -1.42% | -0.06% | 34.78% | 78.26% | 86.96% | 0.00% |
| ETH-USD | breakout_short | base | 6 | 14 | 14 | 14 | 100.00% | 100.00% | -5.05% | -0.37% | 14.29% | 92.86% | 92.86% | 0.00% |
| SOL-USD | breakout_short | base | 6 | 24 | 24 | 24 | 100.00% | 100.00% | -4.18% | -0.17% | 41.67% | 70.83% | 75.00% | 0.00% |
| BTC-USD | breakout_short | cloud_side | 6 | 23 | 22 | 22 | 95.65% | 95.65% | -0.88% | -0.04% | 36.36% | 77.27% | 86.36% | 0.00% |
| ETH-USD | breakout_short | cloud_side | 6 | 14 | 11 | 11 | 78.57% | 78.57% | -4.71% | -0.44% | 9.09% | 90.91% | 90.91% | 50.00% |
| SOL-USD | breakout_short | cloud_side | 6 | 24 | 24 | 24 | 100.00% | 100.00% | -4.18% | -0.17% | 41.67% | 70.83% | 75.00% | 0.00% |
| BTC-USD | breakout_short | kijun_cloud_side | 6 | 23 | 17 | 17 | 73.91% | 73.91% | -2.46% | -0.14% | 29.41% | 82.35% | 88.24% | 37.50% |
| ETH-USD | breakout_short | kijun_cloud_side | 6 | 14 | 10 | 10 | 71.43% | 71.43% | -4.57% | -0.47% | 10.00% | 90.00% | 90.00% | 50.00% |
| SOL-USD | breakout_short | kijun_cloud_side | 6 | 24 | 21 | 21 | 87.50% | 87.50% | -4.97% | -0.24% | 42.86% | 71.43% | 76.19% | 10.00% |
| BTC-USD | breakout_short | kijun_cloud_side_adx_floor | 6 | 23 | 10 | 10 | 43.48% | 43.48% | -0.67% | -0.06% | 30.00% | 90.00% | 90.00% | 62.50% |
| ETH-USD | breakout_short | kijun_cloud_side_adx_floor | 6 | 14 | 8 | 8 | 57.14% | 57.14% | -3.95% | -0.50% | 12.50% | 87.50% | 87.50% | 50.00% |
| SOL-USD | breakout_short | kijun_cloud_side_adx_floor | 6 | 24 | 10 | 10 | 41.67% | 41.67% | -3.53% | -0.35% | 30.00% | 70.00% | 70.00% | 70.00% |
| BTC-USD | breakout_short | kijun_only | 6 | 23 | 23 | 23 | 100.00% | 100.00% | -1.42% | -0.06% | 34.78% | 78.26% | 86.96% | 0.00% |
| ETH-USD | breakout_short | kijun_only | 6 | 14 | 13 | 13 | 92.86% | 92.86% | -5.51% | -0.43% | 7.69% | 92.31% | 92.31% | 50.00% |
| SOL-USD | breakout_short | kijun_only | 6 | 24 | 24 | 24 | 100.00% | 100.00% | -4.18% | -0.17% | 41.67% | 70.83% | 75.00% | 0.00% |
| BTC-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | -1.35% | -0.03% | 48.57% | 80.00% | 82.86% | 0.00% |
| ETH-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | -16.42% | -0.50% | 34.29% | 82.86% | 88.57% | 0.00% |
| SOL-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | 6.78% | 0.21% | 40.00% | 82.86% | 88.57% | 0.00% |
| BTC-USD | ema_psar_long | cloud_side | 6 | 35 | 33 | 33 | 94.29% | 94.29% | 1.96% | 0.06% | 51.52% | 78.79% | 81.82% | 0.00% |
| ETH-USD | ema_psar_long | cloud_side | 6 | 35 | 33 | 33 | 94.29% | 94.29% | -13.06% | -0.41% | 33.33% | 81.82% | 87.88% | 8.33% |
| SOL-USD | ema_psar_long | cloud_side | 6 | 35 | 30 | 30 | 85.71% | 85.71% | 7.57% | 0.27% | 43.33% | 80.00% | 86.67% | 7.14% |
| BTC-USD | ema_psar_long | kijun_cloud_side | 6 | 35 | 21 | 21 | 60.00% | 60.00% | 2.80% | 0.14% | 57.14% | 76.19% | 80.95% | 29.41% |
| ETH-USD | ema_psar_long | kijun_cloud_side | 6 | 35 | 19 | 19 | 54.29% | 54.29% | -1.93% | -0.09% | 47.37% | 78.95% | 84.21% | 25.00% |
| SOL-USD | ema_psar_long | kijun_cloud_side | 6 | 35 | 22 | 22 | 62.86% | 62.86% | -3.47% | -0.14% | 31.82% | 77.27% | 86.36% | 50.00% |
| BTC-USD | ema_psar_long | kijun_cloud_side_adx_floor | 6 | 35 | 14 | 14 | 40.00% | 40.00% | 0.22% | 0.02% | 57.14% | 85.71% | 85.71% | 52.94% |
| ETH-USD | ema_psar_long | kijun_cloud_side_adx_floor | 6 | 35 | 12 | 12 | 34.29% | 34.29% | -4.62% | -0.38% | 41.67% | 75.00% | 83.33% | 58.33% |
| SOL-USD | ema_psar_long | kijun_cloud_side_adx_floor | 6 | 35 | 9 | 9 | 25.71% | 25.71% | -1.88% | -0.18% | 33.33% | 77.78% | 88.89% | 78.57% |
| BTC-USD | ema_psar_long | kijun_only | 6 | 35 | 27 | 27 | 77.14% | 77.14% | 2.92% | 0.11% | 51.85% | 77.78% | 81.48% | 17.65% |
| ETH-USD | ema_psar_long | kijun_only | 6 | 35 | 26 | 26 | 74.29% | 74.29% | -15.20% | -0.62% | 34.62% | 84.62% | 88.46% | 25.00% |
| SOL-USD | ema_psar_long | kijun_only | 6 | 35 | 29 | 29 | 82.86% | 82.86% | -1.86% | -0.05% | 34.48% | 82.76% | 89.66% | 28.57% |
| BTC-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | 2.40% | 0.22% | 63.64% | 90.91% | 90.91% | 0.00% |
| ETH-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | -0.20% | -0.02% | 45.45% | 90.91% | 90.91% | 0.00% |
| SOL-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | 1.30% | 0.12% | 45.45% | 63.64% | 81.82% | 0.00% |
| BTC-USD | fib_retest_long | cloud_side | 6 | 11 | 8 | 8 | 72.73% | 72.73% | 0.63% | 0.08% | 62.50% | 87.50% | 87.50% | 28.57% |
| ETH-USD | fib_retest_long | cloud_side | 6 | 11 | 7 | 7 | 63.64% | 63.64% | -2.39% | -0.34% | 28.57% | 85.71% | 85.71% | 60.00% |
| SOL-USD | fib_retest_long | cloud_side | 6 | 11 | 6 | 6 | 54.55% | 54.55% | -0.72% | -0.12% | 33.33% | 66.67% | 83.33% | 60.00% |
| BTC-USD | fib_retest_long | kijun_cloud_side | 6 | 11 | 1 | 1 | 9.09% | 9.09% | -0.25% | -0.25% | 0.00% | 100.00% | 100.00% | 100.00% |
| ETH-USD | fib_retest_long | kijun_cloud_side | 6 | 11 | 1 | 1 | 9.09% | 9.09% | 0.58% | 0.58% | 100.00% | 0.00% | 0.00% | 80.00% |
| SOL-USD | fib_retest_long | kijun_cloud_side | 6 | 11 | 0 | 0 | 0.00% | 0.00% | 0.00% | - | - | - | - | 100.00% |
| BTC-USD | fib_retest_long | kijun_cloud_side_adx_floor | 6 | 11 | 0 | 0 | 0.00% | 0.00% | 0.00% | - | - | - | - | 100.00% |
| ETH-USD | fib_retest_long | kijun_cloud_side_adx_floor | 6 | 11 | 0 | 0 | 0.00% | 0.00% | 0.00% | - | - | - | - | 100.00% |
| SOL-USD | fib_retest_long | kijun_cloud_side_adx_floor | 6 | 11 | 0 | 0 | 0.00% | 0.00% | 0.00% | - | - | - | - | 100.00% |
| BTC-USD | fib_retest_long | kijun_only | 6 | 11 | 3 | 3 | 27.27% | 27.27% | 1.48% | 0.49% | 33.33% | 100.00% | 100.00% | 85.71% |
| ETH-USD | fib_retest_long | kijun_only | 6 | 11 | 4 | 4 | 36.36% | 36.36% | -0.23% | -0.06% | 50.00% | 75.00% | 75.00% | 60.00% |
| SOL-USD | fib_retest_long | kijun_only | 6 | 11 | 2 | 2 | 18.18% | 18.18% | -0.59% | -0.29% | 0.00% | 100.00% | 100.00% | 100.00% |
| setup | variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|---|
| breakout_short | base | bucket_1 | 1.98% | 66.67% | 7.7 |
| breakout_short | base | bucket_2 | -2.50% | 0.00% | 6.3 |
| breakout_short | base | bucket_3 | -2.90% | 0.00% | 6.3 |
| breakout_short | cloud_side | bucket_1 | 2.21% | 66.67% | 7.3 |
| breakout_short | cloud_side | bucket_2 | -2.49% | 0.00% | 5.7 |
| breakout_short | cloud_side | bucket_3 | -2.86% | 0.00% | 6.0 |
| breakout_short | kijun_cloud_side | bucket_1 | 0.39% | 33.33% | 5.0 |
| breakout_short | kijun_cloud_side | bucket_2 | -2.02% | 0.00% | 5.3 |
| breakout_short | kijun_cloud_side | bucket_3 | -2.35% | 0.00% | 5.7 |
| breakout_short | kijun_cloud_side_adx_floor | bucket_1 | 0.22% | 33.33% | 2.3 |
| breakout_short | kijun_cloud_side_adx_floor | bucket_2 | -2.11% | 0.00% | 3.7 |
| breakout_short | kijun_cloud_side_adx_floor | bucket_3 | -0.80% | 0.00% | 3.3 |
| breakout_short | kijun_only | bucket_1 | 1.98% | 66.67% | 7.7 |
| breakout_short | kijun_only | bucket_2 | -2.66% | 0.00% | 6.0 |
| breakout_short | kijun_only | bucket_3 | -2.90% | 0.00% | 6.3 |
| ema_psar_long | base | bucket_1 | -5.44% | 33.33% | 10.7 |
| ema_psar_long | base | bucket_2 | -1.17% | 33.33% | 12.3 |
| ema_psar_long | base | bucket_3 | 3.31% | 33.33% | 12.0 |
| ema_psar_long | cloud_side | bucket_1 | -5.44% | 33.33% | 9.7 |
| ema_psar_long | cloud_side | bucket_2 | -1.55% | 33.33% | 11.7 |
| ema_psar_long | cloud_side | bucket_3 | 6.33% | 66.67% | 10.7 |
| ema_psar_long | kijun_cloud_side | bucket_1 | -2.86% | 33.33% | 7.0 |
| ema_psar_long | kijun_cloud_side | bucket_2 | -1.22% | 33.33% | 5.7 |
| ema_psar_long | kijun_cloud_side | bucket_3 | 3.47% | 66.67% | 8.0 |
| ema_psar_long | kijun_cloud_side_adx_floor | bucket_1 | -3.95% | 0.00% | 3.7 |
| ema_psar_long | kijun_cloud_side_adx_floor | bucket_2 | 0.28% | 33.33% | 3.0 |
| ema_psar_long | kijun_cloud_side_adx_floor | bucket_3 | 1.75% | 33.33% | 5.0 |
| ema_psar_long | kijun_only | bucket_1 | -5.24% | 33.33% | 9.3 |
| ema_psar_long | kijun_only | bucket_2 | -0.63% | 33.33% | 9.0 |
| ema_psar_long | kijun_only | bucket_3 | 1.22% | 33.33% | 9.0 |
| fib_retest_long | base | bucket_1 | 1.01% | 66.67% | 4.3 |
| fib_retest_long | base | bucket_2 | -0.11% | 33.33% | 5.0 |
| fib_retest_long | base | bucket_3 | 0.45% | 100.00% | 2.5 |
| fib_retest_long | cloud_side | bucket_1 | -0.79% | 33.33% | 2.3 |
| fib_retest_long | cloud_side | bucket_2 | -0.35% | 66.67% | 3.3 |
| fib_retest_long | cloud_side | bucket_3 | 0.46% | 100.00% | 2.0 |
| fib_retest_long | kijun_cloud_side | bucket_2 | -0.25% | 0.00% | 1.0 |
| fib_retest_long | kijun_cloud_side | bucket_3 | 0.58% | 100.00% | 1.0 |
| fib_retest_long | kijun_only | bucket_1 | -0.70% | 0.00% | 2.5 |
| fib_retest_long | kijun_only | bucket_2 | 1.51% | 100.00% | 2.0 |
| fib_retest_long | kijun_only | bucket_3 | 0.28% | 50.00% | 1.0 |