Rank 93 / first-major-break base-age clean replication

Hard verdict

keep_P1 / mixed but honest

hybrid36 明显优于 baseline，且 retention 仍在可用区间，更像 shared admission + size-down overlay，但还不够硬到升 P2。

• baseline @ 6bps：收益 -28.85%，资产为正占比 33.33%，retention 100.00%，平均仓位 100.00%
• strict_age_gate_24 @ 6bps：收益 -8.31%，资产为正占比 33.33%，retention 45.47%
• strict_age_gate_36 @ 6bps：收益 -1.55%，资产为正占比 33.33%，retention 32.70%
• hybrid36_size_down @ 6bps：收益 -8.48%，资产为正占比 33.33%，retention 73.83%，平均仓位 72.12%

这次最小 clean replication 怎么做

• setup 固定为 ema_psar_long / fib_retest_long / breakout_short。
• 先定义 up_break_event = close > rolling_high_20.shift(1)，down_break_event = close < rolling_low_20.shift(1)。
• base_age = 距离上一次同方向 break 已过去的 bars；信号触发时只读取最近 4 根内最近一次同方向 break 的 age。
• strict_age_gate_24 / 36：只有最近同方向 break 存在且 age 达到阈值时才放行。
• hybrid36_size_down：long 侧仍是 strict36；short 侧若 recent down-break 不 fresh，则保留但只给 0.5x，不直接删单。

Overall summary

variant	cost_bps	mean_total_return	positive_asset_ratio	mean_trades	trade_count_retention	mean_position_size_mult	mean_hold4	mean_early_fail_4bars	median_recent_up_break_age	median_recent_down_break_age
baseline	6.00	-28.85%	33.33%	292.33	100.00%	100.00%	45.61%	98.52%	33.00	27.00
hybrid36_size_down	6.00	-8.48%	33.33%	215.67	73.83%	72.12%	44.98%	98.30%	56.00	27.00
strict_age_gate_24	6.00	-8.31%	33.33%	132.67	45.47%	100.00%	46.48%	98.24%	49.00	45.00
strict_age_gate_36	6.00	-1.55%	33.33%	95.33	32.70%	100.00%	48.95%	98.60%	57.00	56.00
baseline	10.00	-52.24%	0.00%	292.33	100.00%	100.00%	45.61%	98.52%	33.00	27.00
hybrid36_size_down	10.00	-20.92%	0.00%	215.67	73.83%	72.12%	44.98%	98.30%	56.00	27.00
strict_age_gate_24	10.00	-18.92%	0.00%	132.67	45.47%	100.00%	46.48%	98.24%	49.00	45.00
strict_age_gate_36	10.00	-9.18%	33.33%	95.33	32.70%	100.00%	48.95%	98.60%	57.00	56.00
baseline	15.00	-81.47%	0.00%	292.33	100.00%	100.00%	45.61%	98.52%	33.00	27.00
hybrid36_size_down	15.00	-36.47%	0.00%	215.67	73.83%	72.12%	44.98%	98.30%	56.00	27.00
strict_age_gate_24	15.00	-32.19%	0.00%	132.67	45.47%	100.00%	46.48%	98.24%	49.00	45.00
strict_age_gate_36	15.00	-18.71%	0.00%	95.33	32.70%	100.00%	48.95%	98.60%	57.00	56.00

Setup summary (hybrid36_size_down @ 6bps)

setup	trades	baseline_trades	trade_count_retention	mean_return	total_return	positive_asset_ratio	mean_position_size_mult	hold4	early_fail_4bars	median_recent_up_break_age	median_recent_down_break_age
breakout_short	603.00	603.00	100.00%	-0.05%	-27.17%	0.00%	70.07%	44.11%	98.34%	22.00	27.00
ema_psar_long	14.00	110.00	12.73%	0.06%	0.88%	66.67%	100.00%	50.00%	100.00%	64.50	23.00
fib_retest_long	30.00	164.00	18.29%	0.03%	0.84%	33.33%	100.00%	60.00%	96.67%	57.00	23.00

Asset summary (hybrid36_size_down @ 6bps)

asset	trades	total_return	mean_return	mean_position_size_mult	hold4	early_fail_4bars
BTC-USD	211.00	-19.47%	-0.09%	71.09%	43.13%	98.58%
ETH-USD	215.00	-11.36%	-0.05%	76.28%	44.19%	98.14%
SOL-USD	221.00	5.39%	0.02%	69.00%	47.51%	98.19%

Time pocket summary (hybrid36_size_down @ 6bps)

bucket	mean_total_return	positive_asset_ratio	trades	mean_position_size_mult	mean_hold4	mean_early_fail_4bars
bucket_1	-1.79%	33.33%	216.00	73.61%	44.91%	97.69%
bucket_2	-4.47%	0.00%	215.00	69.77%	45.12%	98.60%
bucket_3	-2.22%	66.67%	216.00	72.92%	44.91%	98.61%

Artifacts

• reports/artifacts/scout_rank93_first_major_break_base_age_15m/overall_summary.csv
• reports/artifacts/scout_rank93_first_major_break_base_age_15m/setup_summary.csv
• reports/artifacts/scout_rank93_first_major_break_base_age_15m/asset_summary.csv
• reports/artifacts/scout_rank93_first_major_break_base_age_15m/time_bucket_summary.csv
• reports/artifacts/scout_rank93_first_major_break_base_age_15m/trades_primary_6bps.csv