生成时间：2026-03-18 18:35 UTC
结论：park / evidence pool
`ema_psar_long`: base≈-5.55% / ema+atr≈-4.27% / ema+vwap+atr≈-3.92%`；`fib_retest_long`: base≈0.88% / ema+vwap+atr≈-1.88%`；`breakout_short`: base≈-2.58% / ema+vwap+atr≈-3.12%`
这次最小 clean replication 更像在证明：continuation fail-fast overlay 虽然看起来像 shared failure protocol，但当前改善主要落在局部 pocket，跨 setup 不够统一，且 winner truncation / session-VWAP 任意性风险还在，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，entry 之后的 EMA9 失守 / session VWAP flip / 0.75*ATR fail-fast overlay，到底是在更快认错，还是只是把本来会走出来的单子也提前砍掉。
BTC/ETH/SOL 120d 15m 本地 cache，不追新 bar。ema_psar_long、fib_retest_long、breakout_short。base_exit、ema_atr_fail_fast、ema_vwap_atr_fail_fast。signal bar -> next-bar open；overlay 触发后也统一到 fail close 确认 -> next-bar open exit，避免 same-bar 过度乐观。session VWAP 明确只按 UTC 日内累计 volume-weighted typical price 近似；当前只当 shared failure proxy，不把 session 任意性包装成 alpha。8 根 15m bar；若无 fail-fast，则按 base 持有到期。| setup | base_return | ema_atr_return | ema_vwap_atr_return | base_loser | ema_atr_loser | ema_vwap_atr_loser | base_false4 | ema_atr_false4 | ema_vwap_atr_false4 | ema_vwap_atr_pos_ratio | ema_vwap_atr_winner_trunc | ema_vwap_atr_early_exit |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ema_psar_long | -5.55% | -4.27% | -3.92% | 0.65% | 0.51% | 0.51% | 80.95% | 80.95% | 80.95% | 33.33% | 37.52% | 76.19% |
| fib_retest_long | 0.88% | -0.35% | -1.88% | 0.49% | 0.51% | 0.45% | 81.82% | 81.82% | 81.82% | 33.33% | 61.67% | 81.82% |
| breakout_short | -2.58% | -3.25% | -3.12% | 0.67% | 0.58% | 0.54% | 80.65% | 80.65% | 80.65% | 0.00% | 25.87% | 70.61% |
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_avg_net_ret | mean_median_loser_size | mean_false_follow_through_4bars_rate | mean_false_follow_through_8bars_rate | mean_winner_truncation_rate | mean_early_exit_rate | mean_hold_bars |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| breakout_short | base_exit | 6 | -2.58% | 0.00% | 20.3 | -0.15% | 0.67% | 80.65% | 84.94% | 0.00% | 0.00% | 8.00 |
| breakout_short | ema_atr_fail_fast | 6 | -3.25% | 0.00% | 20.3 | -0.19% | 0.58% | 80.65% | 84.94% | 22.54% | 69.22% | 5.56 |
| breakout_short | ema_vwap_atr_fail_fast | 6 | -3.12% | 0.00% | 20.3 | -0.18% | 0.54% | 80.65% | 84.94% | 25.87% | 70.61% | 5.40 |
| ema_psar_long | base_exit | 6 | -5.55% | 33.33% | 35.0 | -0.17% | 0.65% | 80.95% | 86.67% | 0.00% | 0.00% | 7.97 |
| ema_psar_long | ema_atr_fail_fast | 6 | -4.27% | 33.33% | 35.0 | -0.13% | 0.51% | 80.95% | 86.67% | 35.56% | 76.19% | 4.90 |
| ema_psar_long | ema_vwap_atr_fail_fast | 6 | -3.92% | 33.33% | 35.0 | -0.12% | 0.51% | 80.95% | 86.67% | 37.52% | 76.19% | 4.72 |
| fib_retest_long | base_exit | 6 | 0.88% | 33.33% | 11.0 | 0.08% | 0.49% | 81.82% | 87.88% | 0.00% | 0.00% | 8.00 |
| fib_retest_long | ema_atr_fail_fast | 6 | -0.35% | 33.33% | 11.0 | -0.03% | 0.51% | 81.82% | 87.88% | 36.67% | 69.70% | 5.03 |
| fib_retest_long | ema_vwap_atr_fail_fast | 6 | -1.88% | 33.33% | 11.0 | -0.17% | 0.45% | 81.82% | 87.88% | 61.67% | 81.82% | 4.24 |
| asset | setup | variant | cost_bps_per_side | trades | total_return | avg_net_ret | win_rate | median_loser_size | false_follow_through_4bars_rate | false_follow_through_8bars_rate | winner_truncation_rate | early_exit_rate | mean_hold_bars |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakout_short | base_exit | 6 | 23 | -1.76% | -0.07% | 30.43% | 0.52% | 78.26% | 86.96% | 0.00% | 0.00% | 8.00 |
| ETH-USD | breakout_short | base_exit | 6 | 14 | -3.95% | -0.29% | 42.86% | 0.73% | 92.86% | 92.86% | 0.00% | 0.00% | 8.00 |
| SOL-USD | breakout_short | base_exit | 6 | 24 | -2.04% | -0.08% | 41.67% | 0.76% | 70.83% | 75.00% | 0.00% | 0.00% | 8.00 |
| BTC-USD | breakout_short | ema_atr_fail_fast | 6 | 23 | -1.05% | -0.04% | 26.09% | 0.39% | 78.26% | 86.96% | 14.29% | 69.57% | 5.04 |
| ETH-USD | breakout_short | ema_atr_fail_fast | 6 | 14 | -5.81% | -0.42% | 28.57% | 0.68% | 92.86% | 92.86% | 33.33% | 71.43% | 5.93 |
| SOL-USD | breakout_short | ema_atr_fail_fast | 6 | 24 | -2.88% | -0.12% | 33.33% | 0.68% | 70.83% | 75.00% | 20.00% | 66.67% | 5.71 |
| BTC-USD | breakout_short | ema_vwap_atr_fail_fast | 6 | 23 | -1.05% | -0.04% | 26.09% | 0.39% | 78.26% | 86.96% | 14.29% | 69.57% | 5.04 |
| ETH-USD | breakout_short | ema_vwap_atr_fail_fast | 6 | 14 | -4.90% | -0.36% | 28.57% | 0.55% | 92.86% | 92.86% | 33.33% | 71.43% | 5.86 |
| SOL-USD | breakout_short | ema_vwap_atr_fail_fast | 6 | 24 | -3.41% | -0.14% | 33.33% | 0.68% | 70.83% | 75.00% | 30.00% | 70.83% | 5.29 |
| BTC-USD | ema_psar_long | base_exit | 6 | 35 | -4.71% | -0.13% | 40.00% | 0.57% | 80.00% | 82.86% | 0.00% | 0.00% | 7.91 |
| ETH-USD | ema_psar_long | base_exit | 6 | 35 | -17.38% | -0.53% | 31.43% | 0.66% | 82.86% | 88.57% | 0.00% | 0.00% | 8.00 |
| SOL-USD | ema_psar_long | base_exit | 6 | 35 | 5.45% | 0.17% | 48.57% | 0.72% | 80.00% | 88.57% | 0.00% | 0.00% | 8.00 |
| BTC-USD | ema_psar_long | ema_atr_fail_fast | 6 | 35 | -7.60% | -0.22% | 20.00% | 0.44% | 80.00% | 82.86% | 50.00% | 80.00% | 4.29 |
| ETH-USD | ema_psar_long | ema_atr_fail_fast | 6 | 35 | -12.25% | -0.37% | 22.86% | 0.63% | 82.86% | 88.57% | 27.27% | 77.14% | 4.97 |
| SOL-USD | ema_psar_long | ema_atr_fail_fast | 6 | 35 | 7.06% | 0.21% | 34.29% | 0.45% | 80.00% | 88.57% | 29.41% | 71.43% | 5.43 |
| BTC-USD | ema_psar_long | ema_vwap_atr_fail_fast | 6 | 35 | -7.20% | -0.21% | 20.00% | 0.44% | 80.00% | 82.86% | 50.00% | 80.00% | 4.09 |
| ETH-USD | ema_psar_long | ema_vwap_atr_fail_fast | 6 | 35 | -11.58% | -0.35% | 22.86% | 0.63% | 82.86% | 88.57% | 27.27% | 77.14% | 4.91 |
| SOL-USD | ema_psar_long | ema_vwap_atr_fail_fast | 6 | 35 | 7.01% | 0.20% | 31.43% | 0.44% | 80.00% | 88.57% | 35.29% | 71.43% | 5.17 |
| BTC-USD | fib_retest_long | base_exit | 6 | 11 | -0.06% | -0.00% | 45.45% | 0.36% | 90.91% | 90.91% | 0.00% | 0.00% | 8.00 |
| ETH-USD | fib_retest_long | base_exit | 6 | 11 | -1.65% | -0.15% | 36.36% | 0.60% | 90.91% | 90.91% | 0.00% | 0.00% | 8.00 |
| SOL-USD | fib_retest_long | base_exit | 6 | 11 | 4.36% | 0.39% | 54.55% | 0.49% | 63.64% | 81.82% | 0.00% | 0.00% | 8.00 |
| BTC-USD | fib_retest_long | ema_atr_fail_fast | 6 | 11 | -2.90% | -0.27% | 18.18% | 0.52% | 90.91% | 90.91% | 60.00% | 72.73% | 4.64 |
| ETH-USD | fib_retest_long | ema_atr_fail_fast | 6 | 11 | -2.86% | -0.26% | 18.18% | 0.56% | 90.91% | 90.91% | 50.00% | 81.82% | 4.36 |
| SOL-USD | fib_retest_long | ema_atr_fail_fast | 6 | 11 | 4.72% | 0.43% | 54.55% | 0.45% | 63.64% | 81.82% | 0.00% | 54.55% | 6.09 |
| BTC-USD | fib_retest_long | ema_vwap_atr_fail_fast | 6 | 11 | -1.76% | -0.16% | 18.18% | 0.40% | 90.91% | 90.91% | 60.00% | 72.73% | 4.45 |
| ETH-USD | fib_retest_long | ema_vwap_atr_fail_fast | 6 | 11 | -4.13% | -0.38% | 9.09% | 0.52% | 90.91% | 90.91% | 75.00% | 90.91% | 3.73 |
| SOL-USD | fib_retest_long | ema_vwap_atr_fail_fast | 6 | 11 | 0.27% | 0.03% | 45.45% | 0.44% | 63.64% | 81.82% | 50.00% | 81.82% | 4.55 |
| setup | variant | bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|---|
| breakout_short | base_exit | bucket_1 | 1.15% | 66.67% | 7.7 |
| breakout_short | base_exit | bucket_2 | -0.74% | 0.00% | 5.3 |
| breakout_short | base_exit | bucket_3 | -2.88% | 0.00% | 7.3 |
| breakout_short | ema_atr_fail_fast | bucket_1 | -0.06% | 33.33% | 7.7 |
| breakout_short | ema_atr_fail_fast | bucket_2 | -0.18% | 33.33% | 5.3 |
| breakout_short | ema_atr_fail_fast | bucket_3 | -2.90% | 0.00% | 7.3 |
| breakout_short | ema_vwap_atr_fail_fast | bucket_1 | 0.01% | 33.33% | 7.7 |
| breakout_short | ema_vwap_atr_fail_fast | bucket_2 | -0.43% | 33.33% | 5.3 |
| breakout_short | ema_vwap_atr_fail_fast | bucket_3 | -2.58% | 0.00% | 7.3 |
| ema_psar_long | base_exit | bucket_1 | -6.01% | 33.33% | 10.3 |
| ema_psar_long | base_exit | bucket_2 | -0.70% | 33.33% | 12.3 |
| ema_psar_long | base_exit | bucket_3 | 1.27% | 33.33% | 12.3 |
| ema_psar_long | ema_atr_fail_fast | bucket_1 | -4.82% | 0.00% | 10.3 |
| ema_psar_long | ema_atr_fail_fast | bucket_2 | -2.80% | 0.00% | 12.3 |
| ema_psar_long | ema_atr_fail_fast | bucket_3 | 3.42% | 33.33% | 12.3 |
| ema_psar_long | ema_vwap_atr_fail_fast | bucket_1 | -4.62% | 0.00% | 10.3 |
| ema_psar_long | ema_vwap_atr_fail_fast | bucket_2 | -2.78% | 0.00% | 12.3 |
| ema_psar_long | ema_vwap_atr_fail_fast | bucket_3 | 3.55% | 33.33% | 12.3 |
| fib_retest_long | base_exit | bucket_1 | 0.78% | 33.33% | 4.3 |
| fib_retest_long | base_exit | bucket_2 | -0.07% | 66.67% | 4.3 |
| fib_retest_long | base_exit | bucket_3 | 0.16% | 66.67% | 2.3 |
| fib_retest_long | ema_atr_fail_fast | bucket_1 | 0.66% | 33.33% | 4.3 |
| fib_retest_long | ema_atr_fail_fast | bucket_2 | -0.44% | 33.33% | 4.3 |
| fib_retest_long | ema_atr_fail_fast | bucket_3 | -0.59% | 33.33% | 2.3 |
| fib_retest_long | ema_vwap_atr_fail_fast | bucket_1 | -1.25% | 0.00% | 4.3 |
| fib_retest_long | ema_vwap_atr_fail_fast | bucket_2 | -0.21% | 33.33% | 4.3 |
| fib_retest_long | ema_vwap_atr_fail_fast | bucket_3 | -0.42% | 33.33% | 2.3 |