固定复用 BTC/ETH/SOL 120d 15m 本地 cache，执行冻结为 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars。
P1 keep / worth one Light Stability Pack check
主变体 pen_plus_atr 对照 baseline：mean_total_return 0.00 vs -0.07，positive_asset_ratio 66.67% vs 0.00%，false_follow_4bars_rate 46.37% vs 49.93%。
| variant | mean_total_return | mean_avg_net_ret | positive_asset_ratio | mean_trade_count | mean_trade_count_retention | mean_false_follow_4bars_rate | mean_penetration | mean_atr_rank | mean_best_move_4bars |
|---|---|---|---|---|---|---|---|---|---|
| atr_only | 0.03% | -0.06% | 66.67% | 32.0 | 43.82% | 51.32% | 25.55% | 69.2 | 0.85% |
| baseline | -6.65% | -0.12% | 0.00% | 72.3 | 100.00% | 49.93% | 29.31% | 38.2 | 0.72% |
| pen_ge_0_10_plus_atr | -0.42% | -0.09% | 44.44% | 24.3 | 35.48% | 45.61% | 31.07% | 68.0 | 0.89% |
| pen_plus_atr | 0.22% | -0.03% | 66.67% | 28.6 | 38.97% | 46.37% | 28.39% | 68.3 | 0.89% |
| penetration_only | -5.95% | -0.12% | 11.11% | 64.3 | 90.31% | 46.85% | 31.86% | 37.0 | 0.73% |
| setup | variant | mean_total_return | mean_avg_net_ret | positive_asset_ratio | mean_trade_count | mean_trade_count_retention | mean_false_follow_4bars_rate | mean_penetration | mean_atr_rank | mean_best_move_4bars |
|---|---|---|---|---|---|---|---|---|---|---|
| breakout_short | atr_only | -2.37% | -0.21% | 33.33% | 10.7 | 53.92% | 46.30% | 24.91% | 75.4 | 0.71% |
| breakout_short | baseline | -3.36% | -0.19% | 0.00% | 20.3 | 100.00% | 45.96% | 30.84% | 47.0 | 0.71% |
| breakout_short | pen_ge_0_10_plus_atr | -2.54% | -0.24% | 33.33% | 9.7 | 47.48% | 40.74% | 27.63% | 74.6 | 0.72% |
| breakout_short | pen_plus_atr | -1.55% | -0.16% | 33.33% | 9.7 | 48.09% | 37.96% | 27.26% | 74.8 | 0.75% |
| breakout_short | penetration_only | -2.54% | -0.16% | 0.00% | 19.3 | 93.62% | 41.28% | 32.39% | 45.3 | 0.73% |
| ema_psar_follow_short | atr_only | -0.48% | -0.01% | 66.67% | 16.3 | 37.85% | 52.45% | 28.48% | 65.4 | 1.01% |
| ema_psar_follow_short | baseline | -4.64% | -0.11% | 0.00% | 42.0 | 100.00% | 46.77% | 34.72% | 32.5 | 0.79% |
| ema_psar_follow_short | pen_ge_0_10_plus_atr | -1.51% | -0.08% | 33.33% | 13.3 | 30.92% | 48.90% | 34.49% | 64.4 | 1.03% |
| ema_psar_follow_short | pen_plus_atr | 0.03% | 0.03% | 66.67% | 14.7 | 34.02% | 48.91% | 31.54% | 63.8 | 1.06% |
| ema_psar_follow_short | penetration_only | -4.77% | -0.12% | 0.00% | 39.0 | 93.00% | 45.37% | 37.18% | 30.5 | 0.78% |
| fib_retest_short | atr_only | 2.94% | 0.04% | 100.00% | 69.0 | 39.69% | 55.21% | 23.27% | 66.7 | 0.82% |
| fib_retest_short | baseline | -11.95% | -0.08% | 0.00% | 154.7 | 100.00% | 57.06% | 22.37% | 35.0 | 0.65% |
| fib_retest_short | pen_ge_0_10_plus_atr | 2.80% | 0.06% | 66.67% | 50.0 | 28.06% | 47.20% | 31.09% | 65.0 | 0.91% |
| fib_retest_short | pen_plus_atr | 2.18% | 0.04% | 100.00% | 61.3 | 34.80% | 52.23% | 26.37% | 66.4 | 0.86% |
| fib_retest_short | penetration_only | -10.53% | -0.07% | 33.33% | 134.7 | 84.30% | 53.89% | 26.00% | 35.3 | 0.66% |
penetration_only = penetration ≥ 0.05atr_only = trailing ATR percentile ≥ 40pen_plus_atr = penetration ≥ 0.05 且 ATR percentile ≥ 40pen_ge_0_10_plus_atr = 更严格版本：penetration ≥ 0.10 且 ATR percentile ≥ 40