生成时间：2026-03-19 08:05 UTC ｜ 最小 clean replication：固定复用 BTC/ETH/SOL 120d 15m 本地 cache；只接 Fib retest 单 lane；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 @ 2026-03-19T07:55:34Z，new_closed_trades_appended=0。
strength bucket 冻结口径：只把 Fib retest 的确认强度拆成三档，不偷渡成独立 alpha：weak=站回 0.618 但收盘仍未回到 0.5 上方；medium=收回 0.5；strong=在 medium 基础上再收回 0.382 或站上前一根高点。
三臂比较：base_binary=所有 bucket 都放行；strength_filter=只放行 medium+strong；strength_sizing=weak=0 / medium=0.5x / strong=1.0x。
6bps/side desk 级结果：
base_binary：mean total return ≈ -1.83%，mean avg net ret ≈ -0.107%，4-bar fail ≈ 63.96%strength_filter：mean total return ≈ 1.18%，mean avg net ret ≈ 0.110%，retention ≈ 66.38%strength_sizing：mean total return ≈ 1.16%，mean avg net ret ≈ 0.108%，retention ≈ 66.38%，4-bar fail ≈ 51.52%Hard verdict：keep_P1 / evidence_pool。medium+strong 的过滤确实降低了早期失效，但改善还不够统一；当前更诚实的位置是保留为 P1 evidence，而不是直接升格。
| variant | mean_total_return | positive_asset_ratio | mean_trades | mean_trade_count_retention | mean_avg_net_ret | mean_fail_4bars_rate | mean_rebreak_618_4bars_rate | mean_mae |
|---|---|---|---|---|---|---|---|---|
| base_binary | -1.83% | 0.00% | 16.0 | 100.00% | -0.11% | 63.96% | 45.24% | -0.60% |
| strength_filter | 1.18% | 66.67% | 11.0 | 66.38% | 0.11% | 51.52% | 36.36% | -0.57% |
| strength_sizing | 1.16% | 100.00% | 11.0 | 66.38% | 0.11% | 51.52% | 36.36% | -0.52% |
| bucket | trades | mean_net_ret | fail_4bars_rate | rebreak_618_4bars_rate |
|---|---|---|---|---|
| medium | 5 | -0.11% | 100.00% | 80.00% |
| strong | 28 | 0.15% | 42.86% | 28.57% |
| asset | variant | trades | trade_count_retention | total_return | avg_net_ret | fail_4bars_rate | rebreak_618_4bars_rate |
|---|---|---|---|---|---|---|---|
| BTC-USD | base_binary | 18 | 100.00% | -3.88% | -0.21% | 72.22% | 50.00% |
| ETH-USD | base_binary | 16 | 100.00% | -0.13% | -0.01% | 62.50% | 50.00% |
| SOL-USD | base_binary | 14 | 100.00% | -1.48% | -0.10% | 57.14% | 35.71% |
| BTC-USD | strength_filter | 11 | 61.11% | 2.40% | 0.22% | 54.55% | 27.27% |
| ETH-USD | strength_filter | 11 | 64.71% | -0.20% | -0.02% | 54.55% | 54.55% |
| SOL-USD | strength_filter | 11 | 73.33% | 1.34% | 0.13% | 45.45% | 27.27% |
| BTC-USD | strength_sizing | 11 | 61.11% | 1.46% | 0.13% | 54.55% | 27.27% |
| ETH-USD | strength_sizing | 11 | 64.71% | 0.51% | 0.05% | 54.55% | 54.55% |
| SOL-USD | strength_sizing | 11 | 73.33% | 1.51% | 0.14% | 45.45% | 27.27% |