生成时间：2026-03-18 22:42 UTC ｜ 固定 BTC/ETH/SOL 120d 15m 本地 cache；执行统一冻结到 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars；session anchor 固定 00:00 UTC，IVU 只用 anchor 后前 7 根已完成 15m bar。
当 EMA = waiting_not_due 时，Rank 69 只拿 1 次最小预算：把 高开盘量 + 低 IVU 当作 shared continuation allow/deny gate，对当前三条 archetype（ema_psar_long、fib_retest_long、breakout_short）到底是能改善成本后质量，还是只是靠砍单看起来更好？
base、ivu_allow_q476、ivu_allow_q40、ivu_size_haircut_q40。open_vol_high & IVU low 时放行；size_haircut 臂在不满足放行时保留半仓，用来回答它更像硬 veto 还是软降仓。park / evidence pool
ema_psar_long: base≈-3.68% / q476≈4.22% / q40≈0.32% / size≈-2.10%；fib_retest_long: base≈1.17% / q476≈1.11% / q40≈-0.62% / size≈0.34%；breakout_short: base≈-3.55% / q476≈-6.04% / q40≈-2.14% / size≈-2.89%
这次最小 clean replication 更像在证明：把股票论文里的 IVU 开盘量不确定性硬搬到 crypto 15m 后，目前主要效果还是砍单，收益/失效率/target-hit 的改善不够统一，不该继续占默认 Scout 主资源位。
| setup | base_return | q476_return | q40_return | size_return | base_retention | q40_retention | size_retention | base_failure | q40_failure | size_failure | base_target12 | q40_target12 | size_target12 | q40_allow_ratio |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ema_psar_long | -3.68% | 4.22% | 0.32% | -2.10% | 100.00% | 7.62% | 90.48% | 65.71% | 80.56% | 68.41% | 64.76% | 27.78% | 63.10% | 100.00% |
| fib_retest_long | 1.17% | 1.11% | -0.62% | 0.34% | 100.00% | 6.06% | 93.94% | 63.64% | 100.00% | 65.15% | 60.61% | 0.00% | 61.21% | 100.00% |
| breakout_short | -3.55% | -6.04% | -2.14% | -2.89% | 100.00% | 10.38% | 92.93% | 70.15% | 83.33% | 70.63% | 61.68% | 16.67% | 60.32% | 100.00% |
| setup | variant | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_allow_ratio | mean_avg_net_ret | mean_failure_before_target_rate | mean_target_hit_12bars_rate | mean_positive_window_ratio | mean_size_weight |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| breakout_short | base | 6 | -3.55% | 0.00% | 20.3 | 100.00% | 100.00% | -0.20% | 70.15% | 61.68% | 22.22% | 1.00 |
| breakout_short | ivu_allow_q40 | 6 | -2.14% | 0.00% | 2.0 | 10.38% | 100.00% | -0.94% | 83.33% | 16.67% | 0.00% | 1.00 |
| breakout_short | ivu_allow_q476 | 6 | -6.04% | 0.00% | 9.7 | 47.89% | 100.00% | -0.62% | 78.35% | 46.32% | 11.11% | 1.00 |
| breakout_short | ivu_size_haircut_q40 | 6 | -2.89% | 0.00% | 18.7 | 92.93% | 10.89% | -0.17% | 70.63% | 60.32% | 22.22% | 0.56 |
| breakout_short | base | 10 | -5.11% | 0.00% | 20.3 | - | 100.00% | -0.28% | 70.15% | 61.68% | 22.22% | 1.00 |
| breakout_short | ivu_allow_q40 | 10 | -2.29% | 0.00% | 2.0 | - | 100.00% | -1.02% | 83.33% | 16.67% | 0.00% | 1.00 |
| breakout_short | ivu_allow_q476 | 10 | -6.76% | 0.00% | 9.7 | - | 100.00% | -0.70% | 78.35% | 46.32% | 11.11% | 1.00 |
| breakout_short | ivu_size_haircut_q40 | 10 | -3.69% | 0.00% | 18.7 | - | 10.89% | -0.21% | 70.63% | 60.32% | 22.22% | 0.56 |
| breakout_short | base | 15 | -7.03% | 0.00% | 20.3 | - | 100.00% | -0.38% | 70.15% | 61.68% | 22.22% | 1.00 |
| breakout_short | ivu_allow_q40 | 15 | -2.49% | 0.00% | 2.0 | - | 100.00% | -1.12% | 83.33% | 16.67% | 0.00% | 1.00 |
| breakout_short | ivu_allow_q476 | 15 | -7.66% | 0.00% | 9.7 | - | 100.00% | -0.80% | 78.35% | 46.32% | 0.00% | 1.00 |
| breakout_short | ivu_size_haircut_q40 | 15 | -4.68% | 0.00% | 18.7 | - | 10.89% | -0.27% | 70.63% | 60.32% | 22.22% | 0.56 |
| ema_psar_long | base | 6 | -3.68% | 33.33% | 35.0 | 100.00% | 100.00% | -0.11% | 65.71% | 64.76% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q40 | 6 | 0.32% | 33.33% | 2.7 | 7.62% | 100.00% | -0.27% | 80.56% | 27.78% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q476 | 6 | 4.22% | 66.67% | 12.7 | 36.19% | 100.00% | 0.42% | 61.49% | 63.02% | 55.56% | 1.00 |
| ema_psar_long | ivu_size_haircut_q40 | 6 | -2.10% | 33.33% | 31.7 | 90.48% | 8.15% | -0.07% | 68.41% | 63.10% | 22.22% | 0.54 |
| ema_psar_long | base | 10 | -6.34% | 33.33% | 35.0 | - | 100.00% | -0.19% | 65.71% | 64.76% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q40 | 10 | 0.11% | 33.33% | 2.7 | - | 100.00% | -0.35% | 80.56% | 27.78% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q476 | 10 | 3.17% | 66.67% | 12.7 | - | 100.00% | 0.33% | 61.49% | 63.02% | 55.56% | 1.00 |
| ema_psar_long | ivu_size_haircut_q40 | 10 | -3.44% | 33.33% | 31.7 | - | 8.15% | -0.12% | 68.41% | 63.10% | 22.22% | 0.54 |
| ema_psar_long | base | 15 | -9.57% | 33.33% | 35.0 | - | 100.00% | -0.29% | 65.71% | 64.76% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q40 | 15 | -0.16% | 33.33% | 2.7 | - | 100.00% | -0.45% | 80.56% | 27.78% | 22.22% | 1.00 |
| ema_psar_long | ivu_allow_q476 | 15 | 1.89% | 66.67% | 12.7 | - | 100.00% | 0.23% | 61.49% | 63.02% | 55.56% | 1.00 |
| ema_psar_long | ivu_size_haircut_q40 | 15 | -5.09% | 33.33% | 31.7 | - | 8.15% | -0.17% | 68.41% | 63.10% | 11.11% | 0.54 |
| fib_retest_long | base | 6 | 1.17% | 66.67% | 11.0 | 100.00% | 100.00% | 0.11% | 63.64% | 60.61% | 66.67% | 1.00 |
| fib_retest_long | ivu_allow_q40 | 6 | -0.62% | 0.00% | 0.7 | 6.06% | 100.00% | -0.62% | 100.00% | 0.00% | 0.00% | 1.00 |
| fib_retest_long | ivu_allow_q476 | 6 | 1.11% | 100.00% | 3.3 | 30.30% | 100.00% | 0.34% | 41.11% | 65.56% | 50.00% | 1.00 |
| fib_retest_long | ivu_size_haircut_q40 | 6 | 0.34% | 66.67% | 10.3 | 93.94% | 6.36% | 0.03% | 65.15% | 61.21% | 55.56% | 0.53 |
| fib_retest_long | base | 10 | 0.28% | 66.67% | 11.0 | - | 100.00% | 0.03% | 63.64% | 60.61% | 44.44% | 1.00 |
| fib_retest_long | ivu_allow_q40 | 10 | -0.70% | 0.00% | 0.7 | - | 100.00% | -0.70% | 100.00% | 0.00% | 0.00% | 1.00 |
| fib_retest_long | ivu_allow_q476 | 10 | 0.84% | 100.00% | 3.3 | - | 100.00% | 0.25% | 41.11% | 65.56% | 50.00% | 1.00 |
| fib_retest_long | ivu_size_haircut_q40 | 10 | -0.10% | 33.33% | 10.3 | - | 6.36% | -0.01% | 65.15% | 61.21% | 44.44% | 0.53 |
| fib_retest_long | base | 15 | -0.82% | 33.33% | 11.0 | - | 100.00% | -0.07% | 63.64% | 60.61% | 22.22% | 1.00 |
| fib_retest_long | ivu_allow_q40 | 15 | -0.80% | 0.00% | 0.7 | - | 100.00% | -0.80% | 100.00% | 0.00% | 0.00% | 1.00 |
| fib_retest_long | ivu_allow_q476 | 15 | 0.50% | 66.67% | 3.3 | - | 100.00% | 0.15% | 41.11% | 65.56% | 50.00% | 1.00 |
| fib_retest_long | ivu_size_haircut_q40 | 15 | -0.65% | 33.33% | 10.3 | - | 6.36% | -0.06% | 65.15% | 61.21% | 44.44% | 0.53 |
| asset | setup | trades | trade_count_retention | allow_ratio | total_return | avg_net_ret | failure_before_target_rate | target_hit_12bars_rate | positive_window_ratio | mean_size_weight |
|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | breakout_short | 1 | 4.35% | 100.00% | -0.58% | -0.58% | 100.00% | 0.00% | 0.00% | 1.00 |
| ETH-USD | breakout_short | 2 | 14.29% | 100.00% | -1.62% | -0.81% | 50.00% | 50.00% | 0.00% | 1.00 |
| SOL-USD | breakout_short | 3 | 12.50% | 100.00% | -4.20% | -1.42% | 100.00% | 0.00% | 0.00% | 1.00 |
| BTC-USD | ema_psar_long | 3 | 8.57% | 100.00% | -2.24% | -0.75% | 66.67% | 33.33% | 33.33% | 1.00 |
| ETH-USD | ema_psar_long | 1 | 2.86% | 100.00% | -1.17% | -1.17% | 100.00% | 0.00% | 0.00% | 1.00 |
| SOL-USD | ema_psar_long | 4 | 11.43% | 100.00% | 4.39% | 1.12% | 75.00% | 50.00% | 33.33% | 1.00 |
| BTC-USD | fib_retest_long | 1 | 9.09% | 100.00% | -0.25% | -0.25% | 100.00% | 0.00% | 0.00% | 1.00 |
| ETH-USD | fib_retest_long | 0 | 0.00% | - | - | - | - | - | - | - |
| SOL-USD | fib_retest_long | 1 | 9.09% | 100.00% | -1.00% | -1.00% | 100.00% | 0.00% | 0.00% | 1.00 |
| setup | bucket | mean_total_return | positive_asset_ratio | mean_trades | mean_failure_before_target_rate |
|---|---|---|---|---|---|
| breakout_short | bucket_1 | - | 0.00% | 0.0 | - |
| breakout_short | bucket_2 | -2.93% | 0.00% | 2.0 | 50.00% |
| breakout_short | bucket_3 | -4.88% | 0.00% | 4.0 | 100.00% |
| ema_psar_long | bucket_1 | - | 0.00% | 0.0 | - |
| ema_psar_long | bucket_2 | -1.80% | 0.00% | 2.0 | 100.00% |
| ema_psar_long | bucket_3 | 1.20% | 33.33% | 6.0 | 72.22% |
| fib_retest_long | bucket_1 | - | 0.00% | 0.0 | - |
| fib_retest_long | bucket_2 | -2.11% | 0.00% | 2.0 | 100.00% |
| fib_retest_long | bucket_3 | - | 0.00% | 0.0 | - |
| variant | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_allow_ratio | mean_failure_before_target_rate | mean_target_hit_12bars_rate |
|---|---|---|---|---|---|---|---|
| allow_q476 | -0.24% | 55.56% | 8.6 | 38.13% | 100.00% | 60.32% | 58.30% |
| allow_q40 | -0.84% | 11.11% | 1.8 | 8.02% | 100.00% | 86.46% | 16.67% |
| size_haircut_q40 | -1.55% | 33.33% | 20.2 | 92.45% | 8.47% | 68.07% | 61.54% |
| cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_allow_ratio | mean_failure_before_target_rate | mean_target_hit_12bars_rate | mean_positive_window_ratio |
|---|---|---|---|---|---|---|---|---|
| 6 | -0.84% | 11.11% | 1.8 | 8.02% | 100.00% | 86.46% | 16.67% | 8.33% |
| 10 | -0.99% | 11.11% | 1.8 | - | 100.00% | 86.46% | 16.67% | 8.33% |
| 15 | -1.19% | 11.11% | 1.8 | - | 100.00% | 86.46% | 16.67% | 8.33% |