Rank 95 Vajra controlled-pullback clean replication

生成时间：2026-03-19 17:21 UTC | 口径：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。这轮只回答一件事：depth budget 应该继续放在 trigger 后，还是该前置成 pre-armed 状态预算。

Hard verdict

keep_P1 / mixed but honest

prearmed_depth_0p75 比 baseline 更诚实：不是再走 post-trigger 假过滤，而是前置 pre-armed depth budget；但改善还不够硬到升 P2。

baseline @ 6bps：收益 -5.68%，资产为正占比 33.33%，retention 94.64%，4bar early-fail 80.76%
post_trigger_depth_1p0 @ 6bps：收益 -4.09%，资产为正占比 33.33%，retention 91.91%
prearmed_depth_0p75 @ 6bps（最佳 pre-armed 子臂）：收益 -3.61%，资产为正占比 0.00%，retention 53.36%，4bar early-fail 77.86%
prearmed_depth_1p0_plus_filters @ 6bps：收益 -4.92%，资产为正占比 0.00%，retention 13.21%

这次最小 clean replication 怎么做

base setup 固定为 ema_psar_long，不引入新的方向 trigger。
post_trigger_depth_1p0：信号出现后，直接用当根 rolling 5 bars 的 depth 是否 <=1.0% 做 trigger 后 gate。
prearmed_depth_x：只读取信号前 5 bars 的已完成信息；若最近出现 toward-EMA 回踩、touch EMA、且回踩深度预算 <=x%，才允许后续 continuation trigger 放行。
prearmed_depth_1p0_plus_filters：只把 repo 的 green / volume>1.2x / ADX>=25 当邻近过滤臂，验证它是不是只会暴力缩样本。

Overall summary

variant	cost_bps	mean_total_return	positive_asset_ratio	mean_trades	trade_count_retention	mean_early_fail_4bars	median_fwd3_ret	median_prearmed_depth_pct
baseline	6.00	-5.68%	33.33%	34.67	94.64%	80.76%	-0.05%	0.66
post_trigger_depth_1p0	6.00	-4.09%	33.33%	33.67	91.91%	80.18%	-0.04%	0.64
prearmed_depth_0p75	6.00	-3.61%	0.00%	19.67	53.36%	77.86%	-0.00%	0.51
prearmed_depth_1p0	6.00	-3.80%	0.00%	24.33	66.08%	82.18%	-0.00%	0.58
prearmed_depth_1p0_plus_filters	6.00	-4.92%	0.00%	7.50	13.21%	96.43%	-0.33%	0.69
prearmed_depth_1p25	6.00	-5.72%	0.00%	29.00	78.95%	82.03%	-0.00%	0.62
baseline	10.00	-8.45%	33.33%	34.67	94.64%	80.76%	-0.05%	0.66
post_trigger_depth_1p0	10.00	-6.78%	33.33%	33.67	91.91%	80.18%	-0.04%	0.64
prearmed_depth_0p75	10.00	-5.19%	0.00%	19.67	53.36%	77.86%	-0.00%	0.51
prearmed_depth_1p0	10.00	-5.75%	0.00%	24.33	66.08%	82.18%	-0.00%	0.58
prearmed_depth_1p0_plus_filters	10.00	-5.52%	0.00%	7.50	13.21%	96.43%	-0.33%	0.69
prearmed_depth_1p25	10.00	-8.04%	0.00%	29.00	78.95%	82.03%	-0.00%	0.62
baseline	15.00	-11.92%	0.00%	34.67	94.64%	80.76%	-0.05%	0.66
post_trigger_depth_1p0	15.00	-10.15%	33.33%	33.67	91.91%	80.18%	-0.04%	0.64
prearmed_depth_0p75	15.00	-7.15%	0.00%	19.67	53.36%	77.86%	-0.00%	0.51
prearmed_depth_1p0	15.00	-8.18%	0.00%	24.33	66.08%	82.18%	-0.00%	0.58
prearmed_depth_1p0_plus_filters	15.00	-6.27%	0.00%	7.50	13.21%	96.43%	-0.33%	0.69
prearmed_depth_1p25	15.00	-10.94%	0.00%	29.00	78.95%	82.03%	-0.00%	0.62

Pre-armed threshold summary (6bps)

threshold_pct	mean_total_return	positive_asset_ratio	mean_trades	trade_count_retention	mean_early_fail_4bars
0.75	-3.61%	0.00%	19.67	53.36%	77.86%
1.00	-3.80%	0.00%	24.33	66.08%	82.18%
1.25	-5.72%	0.00%	29.00	78.95%	82.03%

Asset summary (6bps)

asset	variant	trades	total_return	mean_return	early_fail_4bars	median_prearmed_depth_pct
BTC-USD	prearmed_depth_1p0	31.00	-2.43%	-0.08%	80.65%	0.58
ETH-USD	prearmed_depth_1p0	19.00	-6.84%	-0.36%	78.95%	0.55
SOL-USD	prearmed_depth_1p0	23.00	-2.14%	-0.09%	86.96%	0.60

Time stability snapshot (prearmed_depth_1p0 @ 6bps)

bucket	mean_total_return	positive_asset_ratio	trades	mean_early_fail_4bars	median_fwd3_ret
bucket_1	-0.28%	33.33%	25.00	84.00%	-0.00%
bucket_2	-1.90%	33.33%	24.00	87.50%	-0.11%
bucket_3	-1.63%	33.33%	24.00	75.00%	0.12%

Artifacts

reports/artifacts/scout_rank95_vajra_controlled_pullback_15m/overall_summary.csv
reports/artifacts/scout_rank95_vajra_controlled_pullback_15m/asset_summary.csv
reports/artifacts/scout_rank95_vajra_controlled_pullback_15m/prearmed_threshold_summary.csv
reports/artifacts/scout_rank95_vajra_controlled_pullback_15m/time_bucket_summary.csv
reports/artifacts/scout_rank95_vajra_controlled_pullback_15m/trade_log.csv