生成时间：2026-03-19 05:45 UTC ｜ 最小 clean replication：固定复用 BTC/ETH/SOL 120d 15m + 5m 本地 cache；比较 baseline / impulse_veto / impulse_halfsize；执行统一 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。
先核对 desk 状态：全 desk 仍无 due-now / overdue；最近 due 点仍是 创业板ETF 1d -> 2026-03-19 07:00 UTC。 manual narrow-paper 最新 refresh @ 2026-03-19T05:36:12Z，new_closed_trades_appended=0。
开段特征冻结：00/08/16 UTC funding session 前 6 根 5m bar，计算 r_open30、volume z-score(lookback=30 sessions)、rv_open30 > q60；只把它当 continuation 的 veto / half-size，不偷渡成独立 alpha。
6bps/side desk 级结果：
baseline：mean total return ≈ -2.00%，mean expectancy ≈ -0.065%，early-fail ≈ 27.25%impulse_veto：mean total return ≈ -0.24%，expectancy ≈ 0.012%，retention ≈ 14.01%impulse_halfsize：mean total return ≈ -1.09%，expectancy ≈ -0.039%，retention ≈ 100.00%，avg size ≈ 0.55x，early-fail ≈ 27.25%Hard verdict：keep_P1 / evidence_pool。halfsize 版比全 veto 更诚实，但 desk 级改善仍偏薄，只够保留为下一层共享 gate 候选，暂不升到 P2。
| variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | mean_mae | positive_cell_ratio | cells |
|---|---|---|---|---|---|---|---|---|
| baseline | -2.00% | -0.06% | 100.00% | 1.00 | 27.25% | -0.69% | 33.33% | 9.00 |
| impulse_halfsize | -1.09% | -0.04% | 100.00% | 0.55 | 27.25% | -0.40% | 55.56% | 9.00 |
| impulse_veto | -0.24% | 0.01% | 14.01% | 1.00 | 31.55% | -1.03% | 42.86% | 7.00 |
| setup | variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | positive_asset_ratio |
|---|---|---|---|---|---|---|---|
| breakout_short | baseline | -3.54% | -0.20% | 100.00% | 1.00 | 14.73% | 0.00% |
| breakout_short | impulse_halfsize | -1.50% | -0.10% | 100.00% | 0.58 | 14.73% | 33.33% |
| breakout_short | impulse_veto | 0.54% | 0.54% | 15.14% | 1.00 | 0.00% | 66.67% |
| ema_psar_long | baseline | -3.66% | -0.10% | 100.00% | 1.00 | 33.70% | 33.33% |
| ema_psar_long | impulse_halfsize | -2.29% | -0.07% | 100.00% | 0.57 | 33.70% | 66.67% |
| ema_psar_long | impulse_veto | -0.93% | -0.34% | 14.51% | 1.00 | 40.28% | 33.33% |
| fib_retest_long | baseline | 1.21% | 0.11% | 100.00% | 1.00 | 33.33% | 66.67% |
| fib_retest_long | impulse_halfsize | 0.52% | 0.05% | 100.00% | 0.52 | 33.33% | 66.67% |
| fib_retest_long | impulse_veto | -0.53% | -0.53% | 9.09% | 1.00 | 100.00% | 0.00% |