Rank 73 · PSAR close-confirmed follow-up gate clean replication

生成时间：2026-03-19 01:03 UTC｜固定 BTC/ETH/SOL 120d 15m cache，统一冻结为 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。

这轮只回答一个问题

当 EMA = waiting_not_due 时，Rank 73 只拿 1 次最小预算：PSAR close-confirmed flip + 第 N 根 follow-up 能不能同时服务 ema_psar_long 与 breakout_short，在不过度砍单的前提下减少早死 / 假突破？

只做 clean replication，不扩成新的 PSAR 大研究

冻结规则

base setup A / ema_psar_long：延用现成 EMA/PSAR continuation 原始 trigger。
base setup B / breakout_short：延用现成 20-bar low reclaim/breakdown 原始 trigger。
raw_trigger：不额外等待 follow-up。
close_confirmed_n1 / n2 / n3：只在 close vs psar[1] 已确认翻向，且当前连续 trend bar 数达到 N 时放行。
统一要求 next-bar open 入场、no-overlap、持有 8 根；不允许用 signal 之后的 trend bar 回填 admission。

hard verdict

hard verdict：Rank 73 / PSAR close-confirmed follow-up gate 在当前最小 clean replication 下仍更像 `park / evidence pool`；N=2/3 的改善主要来自砍交易数，跨 setup 与成本后不够诚实。

`close_confirmed_n2 @ 6bps`：mean_total_return≈-2.82%、positive_asset_ratio≈0.00%、mean_trades≈18.7、mean_trade_count_retention≈92.75%、mean_flip_to_fail_rate≈22.02%、mean_false_break_ratio≈45.70%。
对照 `raw_trigger @ 6bps`：mean_total_return≈-2.58%、positive_asset_ratio≈0.00%、mean_trades≈20.3、mean_flip_to_fail_rate≈20.82%、mean_false_break_ratio≈44.57%。

overall summary

setup	variant	cost_bps_per_side	mean_total_return	positive_asset_ratio	mean_trades	mean_trade_count_retention	mean_avg_net_ret	mean_flip_to_fail_rate	mean_false_break_ratio
breakout_short	close_confirmed_n1	6	-2.58%	0.00%	20.3	100.00%	-0.15%	20.82%	44.57%
breakout_short	close_confirmed_n1	10	-4.16%	0.00%	20.3	100.00%	-0.23%	20.82%	44.57%
breakout_short	close_confirmed_n1	15	-6.09%	0.00%	20.3	100.00%	-0.33%	20.82%	44.57%
breakout_short	close_confirmed_n2	6	-2.82%	0.00%	18.7	92.75%	-0.17%	22.02%	45.70%
breakout_short	close_confirmed_n2	10	-4.26%	0.00%	18.7	92.75%	-0.25%	22.02%	45.70%
breakout_short	close_confirmed_n2	15	-6.04%	0.00%	18.7	92.75%	-0.35%	22.02%	45.70%
breakout_short	close_confirmed_n3	6	-2.70%	0.00%	17.3	87.08%	-0.17%	23.35%	45.81%
breakout_short	close_confirmed_n3	10	-4.05%	0.00%	17.3	87.08%	-0.25%	23.35%	45.81%
breakout_short	close_confirmed_n3	15	-5.70%	0.00%	17.3	87.08%	-0.35%	23.35%	45.81%
breakout_short	raw_trigger	6	-2.58%	0.00%	20.3	100.00%	-0.15%	20.82%	44.57%
breakout_short	raw_trigger	10	-4.16%	0.00%	20.3	100.00%	-0.23%	20.82%	44.57%
breakout_short	raw_trigger	15	-6.09%	0.00%	20.3	100.00%	-0.33%	20.82%	44.57%
ema_psar_long	close_confirmed_n1	6	-6.82%	33.33%	32.0	92.21%	-0.24%	38.61%	31.29%
ema_psar_long	close_confirmed_n1	10	-9.19%	33.33%	32.0	92.21%	-0.32%	38.61%	31.29%
ema_psar_long	close_confirmed_n1	15	-12.06%	0.00%	32.0	92.21%	-0.42%	38.61%	31.29%
ema_psar_long	close_confirmed_n2	6	-6.21%	0.00%	20.7	59.47%	-0.32%	44.94%	34.69%
ema_psar_long	close_confirmed_n2	10	-7.75%	0.00%	20.7	59.47%	-0.40%	44.94%	34.69%
ema_psar_long	close_confirmed_n2	15	-9.63%	0.00%	20.7	59.47%	-0.50%	44.94%	34.69%
ema_psar_long	close_confirmed_n3	6	-6.11%	0.00%	20.3	58.52%	-0.32%	45.64%	35.22%
ema_psar_long	close_confirmed_n3	10	-7.63%	0.00%	20.3	58.52%	-0.40%	45.64%	35.22%
ema_psar_long	close_confirmed_n3	15	-9.49%	0.00%	20.3	58.52%	-0.50%	45.64%	35.22%
ema_psar_long	raw_trigger	6	-5.41%	33.33%	34.7	100.00%	-0.16%	39.47%	32.75%
ema_psar_long	raw_trigger	10	-8.00%	33.33%	34.7	100.00%	-0.24%	39.47%	32.75%
ema_psar_long	raw_trigger	15	-11.14%	0.00%	34.7	100.00%	-0.34%	39.47%	32.75%

primary cost（6bps）asset-level

asset	setup	variant	cost_bps_per_side	signal_events	trades	trade_count_retention	total_return	avg_net_ret	win_rate	flip_to_fail_rate	false_break_ratio
BTC-USD	breakout_short	close_confirmed_n1	6	23.00	23	100.00%	-1.76%	-0.07%	30.43%	13.04%	52.17%
ETH-USD	breakout_short	close_confirmed_n1	6	14.00	14	100.00%	-3.95%	-0.29%	42.86%	28.57%	35.71%
SOL-USD	breakout_short	close_confirmed_n1	6	24.00	24	100.00%	-2.04%	-0.08%	41.67%	20.83%	45.83%
BTC-USD	breakout_short	close_confirmed_n2	6	18.00	18	78.26%	-2.47%	-0.13%	22.22%	16.67%	55.56%
ETH-USD	breakout_short	close_confirmed_n2	6	14.00	14	100.00%	-3.95%	-0.29%	42.86%	28.57%	35.71%
SOL-USD	breakout_short	close_confirmed_n2	6	24.00	24	100.00%	-2.04%	-0.08%	41.67%	20.83%	45.83%
BTC-USD	breakout_short	close_confirmed_n3	6	16.00	16	69.57%	-1.84%	-0.11%	25.00%	18.75%	56.25%
ETH-USD	breakout_short	close_confirmed_n3	6	14.00	14	100.00%	-3.95%	-0.29%	42.86%	28.57%	35.71%
SOL-USD	breakout_short	close_confirmed_n3	6	22.00	22	91.67%	-2.33%	-0.10%	40.91%	22.73%	45.45%
BTC-USD	breakout_short	raw_trigger	6	23.00	23	100.00%	-1.76%	-0.07%	30.43%	13.04%	52.17%
ETH-USD	breakout_short	raw_trigger	6	14.00	14	100.00%	-3.95%	-0.29%	42.86%	28.57%	35.71%
SOL-USD	breakout_short	raw_trigger	6	24.00	24	100.00%	-2.04%	-0.08%	41.67%	20.83%	45.83%
BTC-USD	ema_psar_long	close_confirmed_n1	6	28.00	28	82.35%	-7.11%	-0.26%	35.71%	39.29%	32.14%
ETH-USD	ema_psar_long	close_confirmed_n1	6	33.00	33	94.29%	-18.81%	-0.62%	30.30%	39.39%	30.30%
SOL-USD	ema_psar_long	close_confirmed_n1	6	35.00	35	100.00%	5.45%	0.17%	48.57%	37.14%	31.43%
BTC-USD	ema_psar_long	close_confirmed_n2	6	15.00	15	44.12%	-1.92%	-0.12%	53.33%	46.67%	33.33%
ETH-USD	ema_psar_long	close_confirmed_n2	6	20.00	20	57.14%	-14.19%	-0.75%	30.00%	40.00%	30.00%
SOL-USD	ema_psar_long	close_confirmed_n2	6	27.00	27	77.14%	-2.51%	-0.08%	40.74%	48.15%	40.74%
BTC-USD	ema_psar_long	close_confirmed_n3	6	15.00	15	44.12%	-1.92%	-0.12%	53.33%	46.67%	33.33%
ETH-USD	ema_psar_long	close_confirmed_n3	6	19.00	19	54.29%	-13.89%	-0.77%	31.58%	42.11%	31.58%
SOL-USD	ema_psar_long	close_confirmed_n3	6	27.00	27	77.14%	-2.51%	-0.08%	40.74%	48.15%	40.74%
BTC-USD	ema_psar_long	raw_trigger	6	34.00	34	100.00%	-4.30%	-0.12%	41.18%	44.12%	38.24%
ETH-USD	ema_psar_long	raw_trigger	6	35.00	35	100.00%	-17.38%	-0.53%	31.43%	37.14%	28.57%
SOL-USD	ema_psar_long	raw_trigger	6	35.00	35	100.00%	5.45%	0.17%	48.57%	37.14%	31.43%

time-pocket honesty（主读法 = close_confirmed_n2）