生成时间：2026-03-19 07:28 UTC ｜ 最小 clean replication：固定复用 BTC/ETH/SOL 120d 15m 本地 cache，并把 IBIT/FBTC/GBTC 的 60d 5m 实时样本对齐成 shared regime gate；统一执行 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 美股 1d+1wk（SPY/QQQ/AAPL） -> 2026-03-19 20:00 UTC。 manual narrow-paper 最新 refresh @ 2026-03-19T07:13:40Z，new_closed_trades_appended=0。
ETF gate 冻结口径：把 ETF 先行强度只当 shared filter / sizing overlay，不偷渡成独立 alpha。每个 15m 决策点只看当根及之前可见的 ETF 过去 3 根 5m 加权收益、对应 BTC 过去 3 根 5m 收益、ETF 冲击 impulse_z 与成交额 volume_z；long 只认 lead_edge > q70 且 impulse_z > 0，short 只认 lead_edge < q30 且 impulse_z < 0。
数据边界：Yahoo 5m 历史对 ETF 只能诚实拿到近 60d，所以这轮先做 60d 版最小 clean replication；不伪装成 120d ETF backfill。
6bps/side desk 级结果：
baseline：mean total return ≈ -2.00%，mean expectancy ≈ -0.065%，early-fail ≈ 27.25%regime_filter：mean total return ≈ -0.69%，expectancy ≈ -0.221%，retention ≈ 20.65%regime_sizing：mean total return ≈ -1.77%，expectancy ≈ -0.051%，retention ≈ 100.00%，avg size ≈ 0.76x，early-fail ≈ 27.25%Hard verdict：keep_P1 / evidence_pool。ETF lead 确实有 shared gating 信息：strict filter 虽能明显减亏，但砍单过重；half-size/sizing 版更诚实，却还不够统一，暂只保留为 P1 evidence。
| variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | mean_mae | mean_aligned_ratio | mean_feature_ready_ratio | positive_cell_ratio | cells |
|---|---|---|---|---|---|---|---|---|---|---|
| baseline | -2.00% | -0.06% | 100.00% | 1.00 | 27.25% | -0.69% | 20.65% | 67.70% | 33.33% | 9.00 |
| regime_filter | -0.69% | -0.22% | 20.65% | 1.00 | 22.22% | -0.68% | 100.00% | 100.00% | 22.22% | 9.00 |
| regime_sizing | -1.77% | -0.05% | 100.00% | 0.76 | 27.25% | -0.53% | 20.65% | 67.70% | 44.44% | 9.00 |
| setup | variant | mean_total_return | mean_expectancy | mean_trade_count_retention | mean_avg_size | mean_early_fail_rate | mean_aligned_ratio | positive_asset_ratio |
|---|---|---|---|---|---|---|---|---|
| breakout_short | baseline | -3.54% | -0.20% | 100.00% | 1.00 | 14.73% | 32.69% | 0.00% |
| breakout_short | regime_filter | -1.18% | -0.17% | 32.69% | 1.00 | 11.11% | 100.00% | 0.00% |
| breakout_short | regime_sizing | -1.55% | -0.11% | 100.00% | 0.82 | 14.73% | 32.69% | 33.33% |
| ema_psar_long | baseline | -3.66% | -0.10% | 100.00% | 1.00 | 33.70% | 20.17% | 33.33% |
| ema_psar_long | regime_filter | -0.54% | -0.14% | 20.17% | 1.00 | 22.22% | 100.00% | 33.33% |
| ema_psar_long | regime_sizing | -4.75% | -0.14% | 100.00% | 0.74 | 33.70% | 20.17% | 33.33% |
| fib_retest_long | baseline | 1.21% | 0.11% | 100.00% | 1.00 | 33.33% | 9.09% | 66.67% |
| fib_retest_long | regime_filter | -0.35% | -0.35% | 9.09% | 1.00 | 33.33% | 100.00% | 33.33% |
| fib_retest_long | regime_sizing | 0.97% | 0.09% | 100.00% | 0.73 | 33.33% | 9.09% | 66.67% |