Rank 91 / same-level consecutive sweep count clean replication
固定 BTC/ETH/SOL 120d 15m 本地 cache，统一 signal 当根及之前数据 + next-bar open + no-overlap + hold 8 bars；比较 baseline / single_sweep_gate / consec2plus_gate / consec2plus_plus_body_or_small_retest。
Hard verdict
保留 P1 / evidence_pool
- baseline @6bps：mean_total_return=-28.85%，positive_asset_ratio=33.33%，trade_count_retention=100.00%
- consec2plus_gate @6bps：mean_total_return=0.56%，positive_asset_ratio=66.67%，trade_count_retention=2.27%
- hold4=50.00%，early_fail_4bars=100.00%
overall summary
| cost_bps | variant | mean_total_return | positive_asset_ratio | mean_trades | trade_count_retention | mean_hold4 | mean_early_fail_4bars |
|---|
| 6.00 | baseline | -28.85% | 33.33% | 292.33 | 100.00% | 45.61% | 98.52% |
| 6.00 | consec2plus_gate | 0.56% | 66.67% | 6.67 | 2.27% | 50.00% | 100.00% |
| 6.00 | consec2plus_plus_body_or_small_retest | -2.98% | 0.00% | 2.00 | 0.23% | 0.00% | 100.00% |
| 6.00 | single_sweep_gate | -0.81% | 33.33% | 37.00 | 12.68% | 41.44% | 98.20% |
| 10.00 | baseline | -52.24% | 0.00% | 292.33 | 100.00% | 45.61% | 98.52% |
| 10.00 | consec2plus_gate | 0.02% | 33.33% | 6.67 | 2.27% | 50.00% | 100.00% |
| 10.00 | consec2plus_plus_body_or_small_retest | -3.14% | 0.00% | 2.00 | 0.23% | 0.00% | 100.00% |
| 10.00 | single_sweep_gate | -3.77% | 33.33% | 37.00 | 12.68% | 41.44% | 98.20% |
| 15.00 | baseline | -81.47% | 0.00% | 292.33 | 100.00% | 45.61% | 98.52% |
| 15.00 | consec2plus_gate | -0.64% | 33.33% | 6.67 | 2.27% | 50.00% | 100.00% |
| 15.00 | consec2plus_plus_body_or_small_retest | -3.34% | 0.00% | 2.00 | 0.23% | 0.00% | 100.00% |
| 15.00 | single_sweep_gate | -7.47% | 33.33% | 37.00 | 12.68% | 41.44% | 98.20% |
asset summary (consec2plus_gate @ 6bps)
| asset | trades | total_return | mean_return | hold4 | early_fail_4bars | bull_count_median | bear_count_median |
|---|
| BTC-USD | 5.00 | 0.12% | 0.02% | 20.00% | 100.00% | 0.00 | 2.00 |
| ETH-USD | 7.00 | -1.78% | -0.25% | 28.57% | 100.00% | 0.00 | 2.00 |
| SOL-USD | 8.00 | 3.33% | 0.42% | 87.50% | 100.00% | 1.50 | 2.00 |
setup summary (consec2plus_gate @ 6bps)
| setup | trades | baseline_trades | trade_count_retention | mean_return | total_return | hold4 | early_fail_4bars |
|---|
| breakout_short | 15.00 | 603.00 | 2.49% | 0.25% | 3.82% | 53.33% | 100.00% |
| ema_psar_long | 2.00 | 110.00 | 1.82% | -0.16% | -0.32% | 50.00% | 100.00% |
| fib_retest_long | 3.00 | 164.00 | 1.83% | -0.61% | -1.83% | 33.33% | 100.00% |
time pocket summary (consec2plus_gate @ 6bps)
| bucket | mean_total_return | positive_asset_ratio | mean_hold4 | mean_early_fail_4bars | trades |
|---|
| bucket_1 | 1.24% | 50.00% | 57.14% | 100.00% | 7.00 |
| bucket_2 | -1.32% | 0.00% | 66.67% | 100.00% | 6.00 |
| bucket_3 | 0.61% | 66.67% | 28.57% | 100.00% | 7.00 |