生成时间：2026-03-17 15:31 UTC ｜ 类型：最小 clean replication ｜ 角色：external-data fallback scout（本地 fast-intake 耗尽后的 1 刀诚实检查）
EMA 当前处于 waiting_not_due。Rank 17 / Rank 2 / Rank 29 的 P3 continuity 已交给 cron + 状态页托管，本轮不再占默认主资源。paper / repo based 5m / 15m crypto shortlist 这一轮已基本耗尽，所以只给 external-data 线 1 次最小 clean replication 预算。BTC -> COIN 与 BTC -> MSTR。btc_large_move_follow_proxy、btc_two_bar_follow_proxy、btc_proxy_gap_catchup。open -> close。post_cost_return / trade_count / sign-hit / time-pocket honesty，不扩成完整 stat-arb 宇宙。| symbol | overlap_bars | same_bar_corr | btc_leads_1bar_corr | best_nonzero_lag_bars | best_nonzero_lag_corr | top20pct_sign_hit_next_eq_bar |
|---|---|---|---|---|---|---|
| SPY | 1212 | 0.500 | 0.046 | -1 | 0.046 | 0.498 |
| QQQ | 1212 | 0.491 | 0.064 | -1 | 0.064 | 0.506 |
| COIN | 1212 | 0.730 | 0.091 | -1 | 0.091 | 0.486 |
| MSTR | 1212 | 0.787 | 0.093 | -1 | 0.093 | 0.514 |
park / evidence pool 主规则：btc_large_move_follow_proxy
当前最不差的规则是 `btc_large_move_follow_proxy`，但 6bps/side 下跨资产也只到 mean_total_return≈2.39%、positive_asset_ratio≈100.00%、mean_trades≈110.0；还不够干净，先压回 park 更诚实。
| rule | cost_bps_per_side | mean_total_return | positive_asset_ratio | mean_trades | mean_win_rate | mean_sign_hit_rate |
|---|---|---|---|---|---|---|
| btc_large_move_follow_proxy | 6 | 2.39% | 100.00% | 110.0 | 42.73% | 50.45% |
| btc_large_move_follow_proxy | 10 | -6.24% | 0.00% | 110.0 | 38.18% | 50.45% |
| btc_large_move_follow_proxy | 15 | -16.02% | 0.00% | 110.0 | 33.18% | 50.45% |
| btc_large_move_follow_proxy | 20 | -24.78% | 0.00% | 110.0 | 28.18% | 50.45% |
| btc_two_bar_follow_proxy | 6 | 1.89% | 50.00% | 124.0 | 43.95% | 50.81% |
| btc_two_bar_follow_proxy | 10 | -7.74% | 0.00% | 124.0 | 40.73% | 50.81% |
| btc_two_bar_follow_proxy | 15 | -18.51% | 0.00% | 124.0 | 36.69% | 50.81% |
| btc_two_bar_follow_proxy | 20 | -28.03% | 0.00% | 124.0 | 30.65% | 50.81% |
| btc_proxy_gap_catchup | 6 | -22.24% | 0.00% | 153.5 | 43.63% | 51.76% |
| btc_proxy_gap_catchup | 10 | -31.24% | 0.00% | 153.5 | 40.04% | 51.76% |
| btc_proxy_gap_catchup | 15 | -41.04% | 0.00% | 153.5 | 35.51% | 51.76% |
| btc_proxy_gap_catchup | 20 | -49.45% | 0.00% | 153.5 | 30.30% | 51.76% |
| symbol | rule | cost_bps_per_side | trades | total_return | avg_net_ret | win_rate | sign_hit_rate |
|---|---|---|---|---|---|---|---|
| COIN | btc_large_move_follow_proxy | 6 | 110 | 1.57% | 0.02% | 41.82% | 50.00% |
| COIN | btc_large_move_follow_proxy | 10 | 110 | -7.00% | -0.06% | 39.09% | 50.00% |
| COIN | btc_large_move_follow_proxy | 15 | 110 | -16.70% | -0.16% | 34.55% | 50.00% |
| COIN | btc_large_move_follow_proxy | 20 | 110 | -25.39% | -0.26% | 30.00% | 50.00% |
| COIN | btc_two_bar_follow_proxy | 6 | 124 | -0.68% | -0.00% | 43.55% | 50.81% |
| COIN | btc_two_bar_follow_proxy | 10 | 124 | -10.06% | -0.08% | 41.13% | 50.81% |
| COIN | btc_two_bar_follow_proxy | 15 | 124 | -20.56% | -0.18% | 37.10% | 50.81% |
| COIN | btc_two_bar_follow_proxy | 20 | 124 | -29.84% | -0.28% | 30.65% | 50.81% |
| COIN | btc_proxy_gap_catchup | 6 | 152 | -29.12% | -0.22% | 41.45% | 48.03% |
| COIN | btc_proxy_gap_catchup | 10 | 152 | -37.24% | -0.30% | 37.50% | 48.03% |
| COIN | btc_proxy_gap_catchup | 15 | 152 | -46.10% | -0.40% | 35.53% | 48.03% |
| COIN | btc_proxy_gap_catchup | 20 | 152 | -53.71% | -0.50% | 30.92% | 48.03% |
| MSTR | btc_large_move_follow_proxy | 6 | 110 | 3.21% | 0.03% | 43.64% | 50.91% |
| MSTR | btc_large_move_follow_proxy | 10 | 110 | -5.49% | -0.05% | 37.27% | 50.91% |
| MSTR | btc_large_move_follow_proxy | 15 | 110 | -15.35% | -0.15% | 31.82% | 50.91% |
| MSTR | btc_large_move_follow_proxy | 20 | 110 | -24.18% | -0.25% | 26.36% | 50.91% |
| MSTR | btc_two_bar_follow_proxy | 6 | 124 | 4.46% | 0.04% | 44.35% | 50.81% |
| MSTR | btc_two_bar_follow_proxy | 10 | 124 | -5.41% | -0.04% | 40.32% | 50.81% |
| MSTR | btc_two_bar_follow_proxy | 15 | 124 | -16.45% | -0.14% | 36.29% | 50.81% |
| MSTR | btc_two_bar_follow_proxy | 20 | 124 | -26.21% | -0.24% | 30.65% | 50.81% |
| MSTR | btc_proxy_gap_catchup | 6 | 155 | -15.36% | -0.10% | 45.81% | 55.48% |
| MSTR | btc_proxy_gap_catchup | 10 | 155 | -25.24% | -0.18% | 42.58% | 55.48% |
| MSTR | btc_proxy_gap_catchup | 15 | 155 | -35.99% | -0.28% | 35.48% | 55.48% |
| MSTR | btc_proxy_gap_catchup | 20 | 155 | -45.19% | -0.38% | 29.68% | 55.48% |
| symbol | time_bucket | total_return | trades | win_rate |
|---|---|---|---|---|
| COIN | bucket_1 | -1.52% | 37 | 32.43% |
| COIN | bucket_2 | 3.20% | 36 | 41.67% |
| COIN | bucket_3 | -0.07% | 37 | 51.35% |
| MSTR | bucket_1 | 2.06% | 37 | 45.95% |
| MSTR | bucket_2 | -1.63% | 36 | 30.56% |
| MSTR | bucket_3 | 2.80% | 37 | 54.05% |