Rank 63 · Fib 0.618 hold / 0.5 fail gate · clean replication

这轮只回答什么

• 不把整套 FibTrend 高周期叙事搬进 15m，也不追最新 bar。
• 只比较四臂：fib618_reclaim_raw、+volume_gate、+volume_gate+fib50_fail、+volume_gate+fib50_fail+sma200_filter。
• 统一执行冻结为 signal close -> next-bar open -> no-overlap -> 1 ATR target or close<Fib0.5 fail or hold 12 bars。
• 只回答五个问题：post-cost return / failure_before_target_rate / target_hit_within_12bars / MAE/ATR / trade_count_retention。

clean-room 规则

• fib618_reclaim_raw：close 从下方重新站上 rolling-50 bar 的 Fib 0.618，下一根开盘入场。
• +volume_gate：再要求 volume > SMA(volume,24)。
• +volume_gate+fib50_fail：执行层承认 close < Fib 0.5 就是回踩失败；否则最多持有 12 根，目标先只看 +1 ATR。
• +volume_gate+fib50_fail+sma200_filter：再要求 close > SMA200，只回答大方向不逆风时 through/fail band 有没有更诚实。
• false / fail 指标：failure_before_target 指 12 根内先出现 close < Fib0.5；false_retest_4bars 指前 4 根内已经跌回 Fib0.5 下方。

hard verdict

park / evidence pool

主臂 volume_gate_fib50_fail_sma200 在 6bps/side 下：跨资产 mean_total_return≈-7.24%、positive_asset_ratio≈0.00%、mean_trades≈101.7、failure_before_target≈29.56%、target_hit_12bars≈63.70%；对照 raw≈-30.32%/35.26%、+volume≈-18.29%/34.31%、+fib50_fail≈-18.29%/34.31%。

Fib 0.618 hold / 0.5 fail + volume + SMA200 没把 15m 版本从成本后负 pocket / 高失败率里救出来，不配继续占默认 clean-replication 队列。

四臂总表

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_failure_before_target_rate	mean_target_hit_within_12bars	mean_mae_atr
fib618_reclaim_raw	6.00	-30.32%	0.00%	331.0	100.00%	35.26%	56.21%	1.07
fib618_reclaim_raw	10.00	-46.54%	0.00%	331.0	100.00%	35.26%	56.21%	1.07
fib618_reclaim_raw	15.00	-61.62%	0.00%	331.0	100.00%	35.26%	56.21%	1.07
fib618_reclaim_raw	20.00	-72.45%	0.00%	331.0	100.00%	35.26%	56.21%	1.07
volume_gate	6.00	-18.29%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate	10.00	-28.79%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate	15.00	-40.03%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate	20.00	-49.49%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate_fib50_fail	6.00	-18.29%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate_fib50_fail	10.00	-28.79%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate_fib50_fail	15.00	-40.03%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate_fib50_fail	20.00	-49.49%	0.00%	172.3	100.00%	34.31%	58.05%	1.15
volume_gate_fib50_fail_sma200	6.00	-7.24%	0.00%	101.7	100.00%	29.56%	63.70%	1.12
volume_gate_fib50_fail_sma200	10.00	-14.48%	0.00%	101.7	100.00%	29.56%	63.70%	1.12
volume_gate_fib50_fail_sma200	15.00	-22.73%	0.00%	101.7	100.00%	29.56%	63.70%	1.12
volume_gate_fib50_fail_sma200	20.00	-30.19%	0.00%	101.7	100.00%	29.56%	63.70%	1.12

分资产摘要

asset	variant	cost_bps_per_side	signal_events	trades	trade_count_retention	total_return	failure_before_target_rate	target_hit_within_12bars	mae_atr
BTC-USD	fib618_reclaim_raw	6.00	340	340	100.00%	-31.38%	32.94%	56.47%	1.10
ETH-USD	fib618_reclaim_raw	6.00	332	332	100.00%	-28.81%	37.65%	53.92%	1.07
SOL-USD	fib618_reclaim_raw	6.00	321	321	100.00%	-30.78%	35.20%	58.26%	1.04
BTC-USD	fib618_reclaim_raw	10.00	340	340	100.00%	-47.73%	32.94%	56.47%	1.10
ETH-USD	fib618_reclaim_raw	10.00	332	332	100.00%	-45.42%	37.65%	53.92%	1.07
SOL-USD	fib618_reclaim_raw	10.00	321	321	100.00%	-46.47%	35.20%	58.26%	1.04
BTC-USD	fib618_reclaim_raw	15.00	340	340	100.00%	-62.81%	32.94%	56.47%	1.10
ETH-USD	fib618_reclaim_raw	15.00	332	332	100.00%	-60.86%	37.65%	53.92%	1.07
SOL-USD	fib618_reclaim_raw	15.00	321	321	100.00%	-61.18%	35.20%	58.26%	1.04
BTC-USD	fib618_reclaim_raw	20.00	340	340	100.00%	-73.55%	32.94%	56.47%	1.10
ETH-USD	fib618_reclaim_raw	20.00	332	332	100.00%	-71.93%	37.65%	53.92%	1.07
SOL-USD	fib618_reclaim_raw	20.00	321	321	100.00%	-71.86%	35.20%	58.26%	1.04
BTC-USD	volume_gate	6.00	179	179	100.00%	-20.68%	32.40%	59.78%	1.21
ETH-USD	volume_gate	6.00	182	182	100.00%	-21.55%	38.46%	52.20%	1.18
SOL-USD	volume_gate	6.00	156	156	100.00%	-12.65%	32.05%	62.18%	1.07
BTC-USD	volume_gate	10.00	179	179	100.00%	-31.27%	32.40%	59.78%	1.21
ETH-USD	volume_gate	10.00	182	182	100.00%	-32.19%	38.46%	52.20%	1.18
SOL-USD	volume_gate	10.00	156	156	100.00%	-22.91%	32.05%	62.18%	1.07
BTC-USD	volume_gate	15.00	179	179	100.00%	-42.55%	32.40%	59.78%	1.21
ETH-USD	volume_gate	15.00	182	182	100.00%	-43.48%	38.46%	52.20%	1.18
SOL-USD	volume_gate	15.00	156	156	100.00%	-34.06%	32.05%	62.18%	1.07
BTC-USD	volume_gate	20.00	179	179	100.00%	-51.98%	32.40%	59.78%	1.21
ETH-USD	volume_gate	20.00	182	182	100.00%	-52.90%	38.46%	52.20%	1.18
SOL-USD	volume_gate	20.00	156	156	100.00%	-43.60%	32.05%	62.18%	1.07
BTC-USD	volume_gate_fib50_fail	6.00	179	179	100.00%	-20.68%	32.40%	59.78%	1.21
ETH-USD	volume_gate_fib50_fail	6.00	182	182	100.00%	-21.55%	38.46%	52.20%	1.18
SOL-USD	volume_gate_fib50_fail	6.00	156	156	100.00%	-12.65%	32.05%	62.18%	1.07
BTC-USD	volume_gate_fib50_fail	10.00	179	179	100.00%	-31.27%	32.40%	59.78%	1.21
ETH-USD	volume_gate_fib50_fail	10.00	182	182	100.00%	-32.19%	38.46%	52.20%	1.18
SOL-USD	volume_gate_fib50_fail	10.00	156	156	100.00%	-22.91%	32.05%	62.18%	1.07
BTC-USD	volume_gate_fib50_fail	15.00	179	179	100.00%	-42.55%	32.40%	59.78%	1.21
ETH-USD	volume_gate_fib50_fail	15.00	182	182	100.00%	-43.48%	38.46%	52.20%	1.18
SOL-USD	volume_gate_fib50_fail	15.00	156	156	100.00%	-34.06%	32.05%	62.18%	1.07
BTC-USD	volume_gate_fib50_fail	20.00	179	179	100.00%	-51.98%	32.40%	59.78%	1.21
ETH-USD	volume_gate_fib50_fail	20.00	182	182	100.00%	-52.90%	38.46%	52.20%	1.18
SOL-USD	volume_gate_fib50_fail	20.00	156	156	100.00%	-43.60%	32.05%	62.18%	1.07
BTC-USD	volume_gate_fib50_fail_sma200	6.00	111	111	100.00%	-9.37%	26.13%	65.77%	1.18
ETH-USD	volume_gate_fib50_fail_sma200	6.00	106	106	100.00%	-7.09%	33.02%	59.43%	1.15
SOL-USD	volume_gate_fib50_fail_sma200	6.00	88	88	100.00%	-5.26%	29.55%	65.91%	1.02
BTC-USD	volume_gate_fib50_fail_sma200	10.00	111	111	100.00%	-17.08%	26.13%	65.77%	1.18
ETH-USD	volume_gate_fib50_fail_sma200	10.00	106	106	100.00%	-14.65%	33.02%	59.43%	1.15
SOL-USD	volume_gate_fib50_fail_sma200	10.00	88	88	100.00%	-11.71%	29.55%	65.91%	1.02
BTC-USD	volume_gate_fib50_fail_sma200	15.00	111	111	100.00%	-25.80%	26.13%	65.77%	1.18
ETH-USD	volume_gate_fib50_fail_sma200	15.00	106	106	100.00%	-23.24%	33.02%	59.43%	1.15
SOL-USD	volume_gate_fib50_fail_sma200	15.00	88	88	100.00%	-19.15%	29.55%	65.91%	1.02
BTC-USD	volume_gate_fib50_fail_sma200	20.00	111	111	100.00%	-33.61%	26.13%	65.77%	1.18
ETH-USD	volume_gate_fib50_fail_sma200	20.00	106	106	100.00%	-30.97%	33.02%	59.43%	1.15
SOL-USD	volume_gate_fib50_fail_sma200	20.00	88	88	100.00%	-25.98%	29.55%	65.91%	1.02

时间稳定性（主臂 6bps）

time_bucket	mean_total_return	positive_asset_ratio	mean_trades	mean_failure_before_target_rate	mean_target_hit_within_12bars
bucket_1	-3.39%	0.00%	34.0	33.33%	63.73%
bucket_2	-1.37%	0.00%	33.7	27.72%	65.35%
bucket_3	-2.60%	33.33%	34.0	27.45%	61.76%

成本 / 交易数稳定性（主臂）

variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_failure_before_target_rate	mean_target_hit_within_12bars
volume_gate_fib50_fail_sma200	6.00	-7.24%	0.00%	101.7	100.00%	29.56%	63.70%
volume_gate_fib50_fail_sma200	10.00	-14.48%	0.00%	101.7	100.00%	29.56%	63.70%
volume_gate_fib50_fail_sma200	15.00	-22.73%	0.00%	101.7	100.00%	29.56%	63.70%
volume_gate_fib50_fail_sma200	20.00	-30.19%	0.00%	101.7	100.00%	29.56%	63.70%