Rank 92 / opening-drive adaptive offset continuation gate

Rank 92 / opening-drive adaptive offset continuation gate 的最小 clean replication。口径:BTC/ETH/SOL、120d、15m、signal 当根及之前数据、next-bar open、no-overlap、hold 8 bars;opening-drive 先冻结为 UTC 日内前 4 根 15m bar 的代理锚点。

Run 2Scout Seatreader-facing

Hard verdict:keep_P1

完全 veto 的 gate 没有给出足够统一的改善,但 half-size 读法至少保留了更多样本,当前更诚实的是保留成 P1 弱候选,而不是直接吹成 P2。

三臂定义:baseline = 原始 setup;adaptive_offset_gate = 只有穿过 drive_edge ± adaptive_offset 才放行;adaptive_offset_halfsize = 没穿过时保留半仓。

6bps/side desk 级主摘要

variantmean_total_returnpositive_asset_ratioretentionmean_hold4mean_fail_back_inside4mean_win8mean_position_sizetrade_count
baseline-5.99%66.67%100.00%37.46%52.15%46.13%1.00198
adaptive_offset_gate-6.91%33.33%52.53%69.28%15.90%46.89%1.00104
adaptive_offset_halfsize-6.39%33.33%100.00%37.46%52.15%46.13%0.75198

按 setup 对 baseline 的增减

setupvarianttrade_countretentionmean_net_returntotal_net_returnfail_back_inside4hold4win8mean_position_sizemean_adaptive_offset_pctdelta_total_vs_baselinedelta_hold4_vs_baselinedelta_fail_back_inside4_vs_baseline
breakout_shortadaptive_offset_gate3862.30%-0.14%-5.17%13.16%84.21%31.58%1.000.84%5.45%28.47%-24.55%
breakout_shortadaptive_offset_halfsize61100.00%-0.13%-7.89%37.70%55.74%37.70%0.810.99%2.72%0.00%0.00%
breakout_shortbaseline61100.00%-0.17%-10.61%37.70%55.74%37.70%1.000.99%0.00%0.00%0.00%
ema_psar_longadaptive_offset_gate5552.88%-0.30%-16.36%16.36%69.09%45.45%1.001.15%-5.38%30.63%-32.67%
ema_psar_longadaptive_offset_halfsize104100.00%-0.13%-13.49%49.04%38.46%46.15%0.760.96%-2.51%0.00%0.00%
ema_psar_longbaseline104100.00%-0.11%-10.98%49.04%38.46%46.15%1.000.96%0.00%0.00%0.00%
fib_retest_longadaptive_offset_gate1133.33%0.07%0.79%18.18%54.55%63.64%1.000.88%-2.85%36.36%-51.52%
fib_retest_longadaptive_offset_halfsize33100.00%0.07%2.21%69.70%18.18%54.55%0.670.79%-1.42%0.00%0.00%
fib_retest_longbaseline33100.00%0.11%3.64%69.70%18.18%54.55%1.000.79%0.00%0.00%0.00%

按资产汇总

assetsetupvarianttrade_countmean_net_returntotal_net_returnfail_back_inside4hold4win8mean_position_size
BTC-USDbreakout_shortadaptive_offset_gate170.07%1.15%17.65%82.35%29.41%1.00
BTC-USDbreakout_shortadaptive_offset_halfsize23-0.00%-0.10%34.78%60.87%34.78%0.87
BTC-USDbreakout_shortbaseline23-0.06%-1.35%34.78%60.87%34.78%1.00
BTC-USDema_psar_longadaptive_offset_gate19-0.12%-2.28%10.53%78.95%57.89%1.00
BTC-USDema_psar_longadaptive_offset_halfsize34-0.05%-1.53%44.12%47.06%55.88%0.78
BTC-USDema_psar_longbaseline34-0.02%-0.79%44.12%47.06%55.88%1.00
BTC-USDfib_retest_longadaptive_offset_gate30.61%1.82%0.00%100.00%100.00%1.00
BTC-USDfib_retest_longadaptive_offset_halfsize110.19%2.11%72.73%27.27%72.73%0.64
BTC-USDfib_retest_longbaseline110.22%2.41%72.73%27.27%72.73%1.00
ETH-USDbreakout_shortadaptive_offset_gate10-0.37%-3.71%10.00%90.00%30.00%1.00
ETH-USDbreakout_shortadaptive_offset_halfsize14-0.32%-4.44%28.57%64.29%28.57%0.86
ETH-USDbreakout_shortbaseline14-0.37%-5.16%28.57%64.29%28.57%1.00
ETH-USDema_psar_longadaptive_offset_gate20-0.61%-12.28%20.00%65.00%35.00%1.00
ETH-USDema_psar_longadaptive_offset_halfsize35-0.42%-14.69%51.43%34.29%40.00%0.77
ETH-USDema_psar_longbaseline35-0.50%-17.46%51.43%34.29%40.00%1.00
ETH-USDfib_retest_longadaptive_offset_gate5-0.17%-0.85%20.00%20.00%40.00%1.00
ETH-USDfib_retest_longadaptive_offset_halfsize11-0.05%-0.51%54.55%9.09%45.45%0.73
ETH-USDfib_retest_longbaseline11-0.02%-0.17%54.55%9.09%45.45%1.00
SOL-USDbreakout_shortadaptive_offset_gate11-0.24%-2.60%9.09%81.82%36.36%1.00
SOL-USDbreakout_shortadaptive_offset_halfsize24-0.14%-3.35%45.83%45.83%45.83%0.73
SOL-USDbreakout_shortbaseline24-0.17%-4.10%45.83%45.83%45.83%1.00
SOL-USDema_psar_longadaptive_offset_gate16-0.11%-1.80%18.75%62.50%43.75%1.00
SOL-USDema_psar_longadaptive_offset_halfsize350.08%2.73%51.43%34.29%42.86%0.73
SOL-USDema_psar_longbaseline350.21%7.26%51.43%34.29%42.86%1.00
SOL-USDfib_retest_longadaptive_offset_gate3-0.06%-0.18%33.33%66.67%66.67%1.00
SOL-USDfib_retest_longadaptive_offset_halfsize110.06%0.61%81.82%18.18%45.45%0.64
SOL-USDfib_retest_longbaseline110.13%1.40%81.82%18.18%45.45%1.00

时间分桶(为下一轮 Light Stability Pack 预备)

variantbuckettrade_countmean_net_returnhold4fail_back_inside4
adaptive_offset_gatebucket_132-0.52%56.25%18.75%
adaptive_offset_gatebucket_234-0.15%73.53%20.59%
adaptive_offset_gatebucket_3380.03%86.84%7.89%
adaptive_offset_halfsizebucket_168-0.18%29.41%51.47%
adaptive_offset_halfsizebucket_267-0.11%38.81%55.22%
adaptive_offset_halfsizebucket_3630.01%53.97%39.68%
baselinebucket_168-0.12%29.41%51.47%
baselinebucket_267-0.15%38.81%55.22%
baselinebucket_3630.00%53.97%39.68%