最小 clean replication｜120d 15m｜BTC / ETH / SOL setups × alt-vs-BTC breadth gate
park / evidence pool
这轮只回答一个问题：把 alt-vs-BTC breadth 当 shared allow/deny gate，能不能在不靠极端砍单的前提下，改善当前三条 archetype（ema_psar_long / fib_retest_long / breakout_short）的成本后读法。
ema_psar_long、fib_retest_long、breakout_shortsignal bar and prior data only + next-bar open + no-overlap + hold 8 barsETH/SOL/XRP/BNB/DOGE/ADA/LINK 相对 BTCbaseline、breadth_24h_gate、breadth_8h_gate、breadth_dual_gatebreadth_pos 过阈值；short setup 要求 breadth_neg 过阈值| variant | cost_bps | mean_total_return | positive_asset_ratio | mean_trades | mean_early_fail_rate |
|---|---|---|---|---|---|
| baseline | 6.00 | -5.94% | 44.44% | 89.00 | 53.04% |
| breadth_24h_gate | 6.00 | -3.55% | 55.56% | 54.22 | 55.12% |
| breadth_8h_gate | 6.00 | 0.24% | 55.56% | 61.67 | 55.20% |
| breadth_dual_gate | 6.00 | -4.08% | 33.33% | 41.33 | 55.55% |
| baseline | 10.00 | -13.06% | 22.22% | 89.00 | 53.04% |
| breadth_24h_gate | 10.00 | -7.89% | 44.44% | 54.22 | 55.12% |
| breadth_8h_gate | 10.00 | -4.70% | 22.22% | 61.67 | 55.20% |
| breadth_dual_gate | 10.00 | -7.39% | 22.22% | 41.33 | 55.55% |
| baseline | 15.00 | -21.96% | 11.11% | 89.00 | 53.04% |
| breadth_24h_gate | 15.00 | -13.31% | 33.33% | 54.22 | 55.12% |
| breadth_8h_gate | 15.00 | -10.86% | 22.22% | 61.67 | 55.20% |
| breadth_dual_gate | 15.00 | -11.52% | 22.22% | 41.33 | 55.55% |
| setup | variant | mean_total_return | positive_asset_ratio | mean_trades | mean_early_fail_rate | mean_breadth_pos_24h | mean_breadth_neg_24h | mean_breadth_pos_8h | mean_breadth_neg_8h |
|---|---|---|---|---|---|---|---|---|---|
| breakout_short | baseline | -14.05% | 0.00% | 222.00 | 51.81% | 42.11% | 57.89% | 35.79% | 64.21% |
| breakout_short | breadth_24h_gate | -12.59% | 0.00% | 135.67 | 54.62% | 19.33% | 80.67% | 30.16% | 69.84% |
| breakout_short | breadth_8h_gate | -0.94% | 66.67% | 162.33 | 53.02% | 36.89% | 63.11% | 19.64% | 80.36% |
| breakout_short | breadth_dual_gate | -12.90% | 0.00% | 108.33 | 57.65% | 17.11% | 82.89% | 18.22% | 81.78% |
| ema_psar_long | baseline | -4.78% | 33.33% | 34.00 | 58.82% | 53.22% | 46.78% | 54.34% | 45.66% |
| ema_psar_long | breadth_24h_gate | -0.02% | 66.67% | 19.67 | 63.11% | 78.63% | 21.37% | 60.21% | 39.79% |
| ema_psar_long | breadth_8h_gate | 1.44% | 33.33% | 19.33 | 60.37% | 60.42% | 39.58% | 77.86% | 22.14% |
| ema_psar_long | breadth_dual_gate | -0.09% | 33.33% | 13.00 | 67.32% | 78.95% | 21.05% | 78.99% | 21.01% |
| fib_retest_long | baseline | 1.03% | 100.00% | 11.00 | 48.48% | 52.81% | 47.19% | 39.83% | 60.17% |
| fib_retest_long | breadth_24h_gate | 1.96% | 100.00% | 7.33 | 47.62% | 74.01% | 25.99% | 49.46% | 50.54% |
| fib_retest_long | breadth_8h_gate | 0.22% | 66.67% | 3.33 | 52.22% | 59.68% | 40.32% | 79.21% | 20.79% |
| fib_retest_long | breadth_dual_gate | 0.75% | 66.67% | 2.67 | 41.67% | 67.86% | 32.14% | 80.95% | 19.05% |
| setup | time_bucket | mean_total_return | positive_asset_ratio | mean_trades |
|---|---|---|---|---|
| breakout_short | bucket_1 | -3.24% | 33.33% | 36.67 |
| breakout_short | bucket_2 | -5.34% | 0.00% | 37.33 |
| breakout_short | bucket_3 | -4.32% | 0.00% | 34.33 |
| ema_psar_long | bucket_1 | -0.29% | 66.67% | 4.33 |
| ema_psar_long | bucket_2 | -1.17% | 0.00% | 2.67 |
| ema_psar_long | bucket_3 | 1.36% | 33.33% | 6.00 |
| fib_retest_long | bucket_1 | -0.09% | 0.00% | 1.00 |
| fib_retest_long | bucket_2 | 0.23% | 66.67% | 2.00 |
| fib_retest_long | bucket_3 | 0.60% | 66.67% | 1.50 |