生成时间：2026-03-19 06:40 UTC ｜ 最小 clean replication：固定复用 BTC/ETH/SOL 120d 15m + 5m 本地 cache；比较 baseline / rs_veto / rs_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 @ 2026-03-19T06:18:05Z，new_closed_trades_appended=1。
RS 冻结口径：每个 15m 决策时点只使用当根及之前最近 12 根 5m 收益构造 RS+、RS- 与 A=(RS+-RS-)/(RS++RS-)；阈值全部来自过去 960 个 15m 时点的 trailing quantile。它只做 directional 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%rs_veto：mean total return ≈ -1.30%，expectancy ≈ -0.057%，retention ≈ 84.80%rs_halfsize：mean total return ≈ -1.69%，expectancy ≈ -0.073%，retention ≈ 89.32%，avg size ≈ 0.98x，early-fail ≈ 26.92%Hard verdict：keep_P1 / evidence_pool。RS+/RS- 非对称信息并非没用，但当前更像共享 veto / sizing 线索：half-size 比全 veto 更诚实，yet desk 级改善还不够统一，不足以直接升到 P2。
| variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | mean_mae | mean_tail_ready_ratio | mean_extreme_tail_ratio | mean_tail_ok_ratio | positive_cell_ratio | cells |
|---|---|---|---|---|---|---|---|---|---|---|---|
| baseline | -2.00% | -0.06% | 100.00% | 1.00 | 27.25% | -0.69% | 99.37% | 10.68% | 84.80% | 33.33% | 9.00 |
| rs_halfsize | -1.69% | -0.07% | 89.32% | 0.98 | 26.92% | -0.63% | 99.26% | 0.00% | 94.84% | 44.44% | 9.00 |
| rs_veto | -1.30% | -0.06% | 84.80% | 1.00 | 26.18% | -0.64% | 100.00% | 0.00% | 100.00% | 44.44% | 9.00 |
| setup | variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | mean_tail_ok_ratio | positive_asset_ratio |
|---|---|---|---|---|---|---|---|---|
| breakout_short | baseline | -3.54% | -0.20% | 100.00% | 1.00 | 14.73% | 98.61% | 0.00% |
| breakout_short | rs_halfsize | -4.36% | -0.24% | 98.61% | 1.00 | 14.91% | 100.00% | 0.00% |
| breakout_short | rs_veto | -4.36% | -0.24% | 98.61% | 1.00 | 14.91% | 100.00% | 0.00% |
| ema_psar_long | baseline | -3.66% | -0.10% | 100.00% | 1.00 | 33.70% | 77.00% | 33.33% |
| ema_psar_long | rs_halfsize | -1.24% | -0.04% | 87.54% | 0.95 | 31.79% | 87.85% | 66.67% |
| ema_psar_long | rs_veto | -0.09% | 0.00% | 77.00% | 1.00 | 32.16% | 100.00% | 66.67% |
| fib_retest_long | baseline | 1.21% | 0.11% | 100.00% | 1.00 | 33.33% | 78.79% | 66.67% |
| fib_retest_long | rs_halfsize | 0.52% | 0.06% | 81.82% | 0.98 | 34.07% | 96.67% | 66.67% |
| fib_retest_long | rs_veto | 0.56% | 0.06% | 78.79% | 1.00 | 31.48% | 100.00% | 66.67% |