生成时间：2026-03-18 17:59 UTC
结论：park / evidence pool
`ema_psar_long + opposite_delta_veto @ 6bps`：mean_total_return≈-3.60%、positive_asset_ratio≈33.33%、mean_trades≈13.3、trade_count_retention≈38.10%、false_break_or_hold_4bars≈85.66%；`fib_retest_long≈0.71% / 66.67%`；`breakout_short≈-3.28% / 0.00%`
这次最小 clean replication 更像在证明：lower-TF delta polarity 作为 shared veto 有一点直觉味道，但当前改善仍主要靠砍样本或只落在单一 archetype，跨资产/跨 setup 不够统一，不值得继续占 fast-lane。
本轮只回答一个问题：当 15m setup 已经给出方向和价位时，入场前最后 5 分钟的 lower-TF 子周期量价极性，能不能作为 shared veto / confirmation 层减少假动作，而不是重新包装成新 alpha。
BTC/ETH/SOL 120d 15m 本地 cache，不追新 bar。ema_psar_long、fib_retest_long、breakout_short。1m kline proxy，只取 setup 触发前最后 5 分钟。sub close > open 记正量，sub close < open 记负量；不引入入场后的 volume，不引入 repo 里的其它 kitchen-sink 组件。base、same_direction_gate、opposite_delta_veto、strong_same_direction_only。next-bar open + no-overlap + hold 8 bars。| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_signal_retention | mean_false_break_or_hold_4bars_rate | mean_follow_through_2bars | mean_follow_through_4bars | mean_avg_net_ret | mean_abs_delta_align |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| breakout_short | base | 6 | -3.55% | 0.00% | 20.3 | 100.00% | 100.00% | 80.65% | -0.05% | -0.08% | -0.00 | 0.510 |
| breakout_short | opposite_delta_veto | 6 | -3.28% | 0.00% | 16.7 | 82.50% | 82.50% | 85.96% | -0.05% | -0.10% | -0.00 | 0.546 |
| breakout_short | same_direction_gate | 6 | -3.28% | 0.00% | 16.7 | 82.50% | 82.50% | 85.96% | -0.05% | -0.10% | -0.00 | 0.546 |
| breakout_short | strong_same_direction_only | 6 | -1.51% | 0.00% | 4.0 | 18.89% | 18.89% | 94.44% | -0.13% | -0.15% | -0.00 | 0.742 |
| ema_psar_long | base | 6 | -3.68% | 33.33% | 35.0 | 100.00% | 100.00% | 80.95% | -0.08% | -0.11% | -0.00 | 0.411 |
| ema_psar_long | opposite_delta_veto | 6 | -3.60% | 33.33% | 13.3 | 38.10% | 38.10% | 85.66% | -0.15% | -0.13% | -0.00 | 0.430 |
| ema_psar_long | same_direction_gate | 6 | -3.60% | 33.33% | 13.3 | 38.10% | 38.10% | 85.66% | -0.15% | -0.13% | -0.00 | 0.430 |
| ema_psar_long | strong_same_direction_only | 6 | 0.70% | 33.33% | 4.7 | 13.33% | 13.33% | 87.78% | -0.21% | 0.08% | 0.00 | 0.707 |
| fib_retest_long | base | 6 | 1.17% | 66.67% | 11.0 | 100.00% | 100.00% | 81.82% | -0.04% | 0.13% | 0.00 | 0.476 |
| fib_retest_long | opposite_delta_veto | 6 | 0.71% | 66.67% | 4.0 | 36.36% | 36.36% | 76.67% | 0.05% | 0.25% | 0.00 | 0.362 |
| fib_retest_long | same_direction_gate | 6 | 0.71% | 66.67% | 4.0 | 36.36% | 36.36% | 76.67% | 0.05% | 0.25% | 0.00 | 0.362 |
| fib_retest_long | strong_same_direction_only | 6 | 0.00% | 0.00% | 0.0 | 0.00% | - | - | - | - | - | - |
| asset | setup | variant | cost_bps_per_side | base_signals | admitted_signals | trades | trade_count_retention | signal_retention | total_return | avg_net_ret | win_rate | false_break_or_hold_4bars_rate | follow_through_2bars | follow_through_4bars | mean_abs_delta_align |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakout_short | base | 6 | 23 | 23 | 23 | 100.00% | 100.00% | -1.42% | -0.06% | 34.78% | 78.26% | 0.04% | 0.06% | 0.581 |
| ETH-USD | breakout_short | base | 6 | 14 | 14 | 14 | 100.00% | 100.00% | -5.05% | -0.37% | 14.29% | 92.86% | -0.19% | -0.26% | 0.505 |
| SOL-USD | breakout_short | base | 6 | 24 | 24 | 24 | 100.00% | 100.00% | -4.18% | -0.17% | 41.67% | 70.83% | 0.01% | -0.04% | 0.444 |
| BTC-USD | breakout_short | opposite_delta_veto | 6 | 23 | 19 | 19 | 82.61% | 82.61% | -1.60% | -0.08% | 36.84% | 89.47% | -0.02% | 0.05% | 0.628 |
| ETH-USD | breakout_short | opposite_delta_veto | 6 | 14 | 12 | 12 | 85.71% | 85.71% | -5.21% | -0.44% | 8.33% | 100.00% | -0.26% | -0.31% | 0.554 |
| SOL-USD | breakout_short | opposite_delta_veto | 6 | 24 | 19 | 19 | 79.17% | 79.17% | -3.03% | -0.15% | 42.11% | 68.42% | 0.14% | -0.03% | 0.457 |
| BTC-USD | breakout_short | same_direction_gate | 6 | 23 | 19 | 19 | 82.61% | 82.61% | -1.60% | -0.08% | 36.84% | 89.47% | -0.02% | 0.05% | 0.628 |
| ETH-USD | breakout_short | same_direction_gate | 6 | 14 | 12 | 12 | 85.71% | 85.71% | -5.21% | -0.44% | 8.33% | 100.00% | -0.26% | -0.31% | 0.554 |
| SOL-USD | breakout_short | same_direction_gate | 6 | 24 | 19 | 19 | 79.17% | 79.17% | -3.03% | -0.15% | 42.11% | 68.42% | 0.14% | -0.03% | 0.457 |
| BTC-USD | breakout_short | strong_same_direction_only | 6 | 23 | 4 | 4 | 17.39% | 17.39% | -0.81% | -0.20% | 50.00% | 100.00% | -0.25% | -0.01% | 0.835 |
| ETH-USD | breakout_short | strong_same_direction_only | 6 | 14 | 2 | 2 | 14.29% | 14.29% | -1.28% | -0.64% | 0.00% | 100.00% | -0.34% | -0.22% | 0.725 |
| SOL-USD | breakout_short | strong_same_direction_only | 6 | 24 | 6 | 6 | 25.00% | 25.00% | -2.43% | -0.40% | 16.67% | 83.33% | 0.21% | -0.21% | 0.666 |
| BTC-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | -1.35% | -0.03% | 48.57% | 80.00% | -0.12% | -0.12% | 0.411 |
| ETH-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | -16.42% | -0.50% | 34.29% | 82.86% | -0.20% | -0.28% | 0.472 |
| SOL-USD | ema_psar_long | base | 6 | 35 | 35 | 35 | 100.00% | 100.00% | 6.73% | 0.21% | 40.00% | 80.00% | 0.09% | 0.07% | 0.349 |
| BTC-USD | ema_psar_long | opposite_delta_veto | 6 | 35 | 13 | 13 | 37.14% | 37.14% | -4.49% | -0.35% | 38.46% | 84.62% | -0.15% | -0.13% | 0.370 |
| ETH-USD | ema_psar_long | opposite_delta_veto | 6 | 35 | 17 | 17 | 48.57% | 48.57% | -6.85% | -0.40% | 23.53% | 82.35% | -0.28% | -0.43% | 0.499 |
| SOL-USD | ema_psar_long | opposite_delta_veto | 6 | 35 | 10 | 10 | 28.57% | 28.57% | 0.54% | 0.07% | 40.00% | 90.00% | -0.02% | 0.16% | 0.421 |
| BTC-USD | ema_psar_long | same_direction_gate | 6 | 35 | 13 | 13 | 37.14% | 37.14% | -4.49% | -0.35% | 38.46% | 84.62% | -0.15% | -0.13% | 0.370 |
| ETH-USD | ema_psar_long | same_direction_gate | 6 | 35 | 17 | 17 | 48.57% | 48.57% | -6.85% | -0.40% | 23.53% | 82.35% | -0.28% | -0.43% | 0.499 |
| SOL-USD | ema_psar_long | same_direction_gate | 6 | 35 | 10 | 10 | 28.57% | 28.57% | 0.54% | 0.07% | 40.00% | 90.00% | -0.02% | 0.16% | 0.421 |
| BTC-USD | ema_psar_long | strong_same_direction_only | 6 | 35 | 5 | 5 | 14.29% | 14.29% | -2.78% | -0.56% | 20.00% | 80.00% | -0.26% | -0.22% | 0.513 |
| ETH-USD | ema_psar_long | strong_same_direction_only | 6 | 35 | 6 | 6 | 17.14% | 17.14% | -0.35% | -0.05% | 33.33% | 83.33% | -0.37% | -0.18% | 0.790 |
| SOL-USD | ema_psar_long | strong_same_direction_only | 6 | 35 | 3 | 3 | 8.57% | 8.57% | 5.24% | 1.72% | 100.00% | 100.00% | 0.00% | 0.65% | 0.817 |
| BTC-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | 2.40% | 0.22% | 63.64% | 90.91% | -0.12% | 0.07% | 0.476 |
| ETH-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | -0.20% | -0.02% | 45.45% | 90.91% | -0.21% | 0.01% | 0.516 |
| SOL-USD | fib_retest_long | base | 6 | 11 | 11 | 11 | 100.00% | 100.00% | 1.30% | 0.12% | 45.45% | 63.64% | 0.22% | 0.32% | 0.438 |
| BTC-USD | fib_retest_long | opposite_delta_veto | 6 | 11 | 5 | 5 | 45.45% | 45.45% | 2.58% | 0.51% | 80.00% | 80.00% | -0.04% | 0.35% | 0.323 |
| ETH-USD | fib_retest_long | opposite_delta_veto | 6 | 11 | 3 | 3 | 27.27% | 27.27% | 0.77% | 0.26% | 66.67% | 100.00% | -0.41% | -0.17% | 0.480 |
| SOL-USD | fib_retest_long | opposite_delta_veto | 6 | 11 | 4 | 4 | 36.36% | 36.36% | -1.21% | -0.30% | 50.00% | 50.00% | 0.62% | 0.57% | 0.282 |
| BTC-USD | fib_retest_long | same_direction_gate | 6 | 11 | 5 | 5 | 45.45% | 45.45% | 2.58% | 0.51% | 80.00% | 80.00% | -0.04% | 0.35% | 0.323 |
| ETH-USD | fib_retest_long | same_direction_gate | 6 | 11 | 3 | 3 | 27.27% | 27.27% | 0.77% | 0.26% | 66.67% | 100.00% | -0.41% | -0.17% | 0.480 |
| SOL-USD | fib_retest_long | same_direction_gate | 6 | 11 | 4 | 4 | 36.36% | 36.36% | -1.21% | -0.30% | 50.00% | 50.00% | 0.62% | 0.57% | 0.282 |
| BTC-USD | fib_retest_long | strong_same_direction_only | 6 | 11 | 0 | 0 | 0.00% | - | 0.00% | - | - | - | - | - | - |
| ETH-USD | fib_retest_long | strong_same_direction_only | 6 | 11 | 0 | 0 | 0.00% | - | 0.00% | - | - | - | - | - | - |
| SOL-USD | fib_retest_long | strong_same_direction_only | 6 | 11 | 0 | 0 | 0.00% | - | 0.00% | - | - | - | - | - | - |
| setup | variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|---|
| breakout_short | base | bucket_1 | 1.97% | 66.67% | 8.0 |
| breakout_short | base | bucket_2 | -2.15% | 0.00% | 5.7 |
| breakout_short | base | bucket_3 | -3.24% | 0.00% | 6.7 |
| breakout_short | opposite_delta_veto | bucket_1 | 1.32% | 66.67% | 6.7 |
| breakout_short | opposite_delta_veto | bucket_2 | -2.11% | 33.33% | 4.7 |
| breakout_short | opposite_delta_veto | bucket_3 | -2.41% | 0.00% | 5.3 |
| breakout_short | same_direction_gate | bucket_1 | 1.32% | 66.67% | 6.7 |
| breakout_short | same_direction_gate | bucket_2 | -2.11% | 33.33% | 4.7 |
| breakout_short | same_direction_gate | bucket_3 | -2.41% | 0.00% | 5.3 |
| breakout_short | strong_same_direction_only | bucket_2 | -0.88% | 50.00% | 1.5 |
| breakout_short | strong_same_direction_only | bucket_3 | -0.92% | 0.00% | 3.0 |
| ema_psar_long | base | bucket_1 | -5.63% | 33.33% | 11.7 |
| ema_psar_long | base | bucket_2 | -0.76% | 33.33% | 11.0 |
| ema_psar_long | base | bucket_3 | 3.09% | 33.33% | 12.3 |
| ema_psar_long | opposite_delta_veto | bucket_1 | -3.63% | 33.33% | 4.7 |
| ema_psar_long | opposite_delta_veto | bucket_2 | -0.95% | 33.33% | 5.0 |
| ema_psar_long | opposite_delta_veto | bucket_3 | 1.10% | 66.67% | 3.7 |
| ema_psar_long | same_direction_gate | bucket_1 | -3.63% | 33.33% | 4.7 |
| ema_psar_long | same_direction_gate | bucket_2 | -0.95% | 33.33% | 5.0 |
| ema_psar_long | same_direction_gate | bucket_3 | 1.10% | 66.67% | 3.7 |
| ema_psar_long | strong_same_direction_only | bucket_1 | -1.42% | 0.00% | 2.0 |
| ema_psar_long | strong_same_direction_only | bucket_2 | 0.34% | 66.67% | 2.3 |
| ema_psar_long | strong_same_direction_only | bucket_3 | 0.81% | 66.67% | 1.7 |
| fib_retest_long | base | bucket_1 | 1.17% | 66.67% | 4.7 |
| fib_retest_long | base | bucket_2 | -0.34% | 0.00% | 4.0 |
| fib_retest_long | base | bucket_3 | 0.36% | 66.67% | 2.3 |
| fib_retest_long | opposite_delta_veto | bucket_1 | 0.47% | 100.00% | 1.0 |
| fib_retest_long | opposite_delta_veto | bucket_2 | 0.50% | 100.00% | 2.3 |
| fib_retest_long | opposite_delta_veto | bucket_3 | 0.06% | 66.67% | 1.3 |
| fib_retest_long | same_direction_gate | bucket_1 | 0.47% | 100.00% | 1.0 |
| fib_retest_long | same_direction_gate | bucket_2 | 0.50% | 100.00% | 2.3 |
| fib_retest_long | same_direction_gate | bucket_3 | 0.06% | 66.67% | 1.3 |