更新时间：2026-03-19 18:25 UTC
测试口径：BTC / ETH / SOL | 120d | 15m | next-bar open | no-overlap | hold 8 bars
比较四臂：baseline / first_touch_only / second_touch_only / second_touch_plus_candle_quality
hard verdict：park / evidence pool
一句话：second-touch 变体没有把成本后收益、跨资产一致性和失败率一起改善到值得继续占主资源。
baseline = 20-bar breakout 后，直接 next-bar open 进入，不等 retest。first_touch_only = breakout 后第一次有效 retest 就放行。second_touch_only = 至少第二次有效 retest 才放行。second_touch_plus_candle_quality = 第二次 retest 且当根实体/收盘位置/量能不过分差。| variant | side | mean_total_return | positive_asset_ratio | mean_trades | post_cost_expectancy_bps | hold8_rate | fail_close_ratio | trade_count_retention |
|---|---|---|---|---|---|---|---|---|
| baseline | long | -48.96% | 0.00% | 266.3 | -18.29 | 43.46% | 56.54% | 100.00% |
| first_touch_only | long | -24.99% | 0.00% | 237.3 | -10.46 | 48.33% | 51.67% | 89.08% |
| second_touch_only | long | -39.99% | 0.00% | 217.3 | -18.41 | 47.95% | 52.05% | 81.58% |
| second_touch_plus_candle_quality | long | -18.11% | 0.00% | 56.3 | -34.05 | 40.52% | 59.48% | 21.08% |
| baseline | short | -13.28% | 0.00% | 260.3 | -4.90 | 46.10% | 53.90% | 100.00% |
| first_touch_only | short | -8.50% | 0.00% | 236.7 | -3.55 | 48.14% | 51.86% | 90.97% |
| second_touch_only | short | -16.57% | 0.00% | 212.3 | -7.68 | 44.60% | 55.40% | 81.51% |
| second_touch_plus_candle_quality | short | -1.12% | 33.33% | 52.7 | -0.46 | 42.02% | 57.98% | 20.17% |
| variant | side | asset | trades | mean_net_bps | total_return | hold8_rate | fail_close_ratio | trade_count_retention |
|---|---|---|---|---|---|---|---|---|
| baseline | long | BTC-USD | 271 | -18.08 | -49.01% | 43.54% | 56.46% | 100.00% |
| baseline | long | ETH-USD | 254 | -14.65 | -37.21% | 44.49% | 55.51% | 100.00% |
| baseline | long | SOL-USD | 274 | -22.14 | -60.67% | 42.34% | 57.66% | 100.00% |
| first_touch_only | long | BTC-USD | 239 | -5.07 | -12.12% | 48.12% | 51.88% | 88.19% |
| first_touch_only | long | ETH-USD | 223 | -10.94 | -24.40% | 48.88% | 51.12% | 87.80% |
| first_touch_only | long | SOL-USD | 250 | -15.37 | -38.43% | 48.00% | 52.00% | 91.24% |
| second_touch_only | long | BTC-USD | 225 | -19.88 | -44.74% | 46.22% | 53.78% | 83.03% |
| second_touch_only | long | ETH-USD | 204 | -18.66 | -38.07% | 50.98% | 49.02% | 80.31% |
| second_touch_only | long | SOL-USD | 223 | -16.67 | -37.18% | 46.64% | 53.36% | 81.39% |
| second_touch_plus_candle_quality | long | BTC-USD | 61 | -15.02 | -9.16% | 40.98% | 59.02% | 22.51% |
| second_touch_plus_candle_quality | long | ETH-USD | 46 | -55.31 | -25.44% | 43.48% | 56.52% | 18.11% |
| second_touch_plus_candle_quality | long | SOL-USD | 62 | -31.82 | -19.73% | 37.10% | 62.90% | 22.63% |
| baseline | short | BTC-USD | 273 | -12.38 | -33.79% | 43.22% | 56.78% | 100.00% |
| baseline | short | ETH-USD | 240 | -0.56 | -1.35% | 49.17% | 50.83% | 100.00% |
| baseline | short | SOL-USD | 268 | -1.76 | -4.71% | 45.90% | 54.10% | 100.00% |
| first_touch_only | short | BTC-USD | 240 | -7.37 | -17.70% | 45.00% | 55.00% | 87.91% |
| first_touch_only | short | ETH-USD | 221 | -1.16 | -2.57% | 48.42% | 51.58% | 92.08% |
| first_touch_only | short | SOL-USD | 249 | -2.11 | -5.25% | 51.00% | 49.00% | 92.91% |
| second_touch_only | short | BTC-USD | 220 | -17.42 | -38.33% | 41.82% | 58.18% | 80.59% |
| second_touch_only | short | ETH-USD | 192 | -3.86 | -7.41% | 45.31% | 54.69% | 80.00% |
| second_touch_only | short | SOL-USD | 225 | -1.76 | -3.97% | 46.67% | 53.33% | 83.96% |
| second_touch_plus_candle_quality | short | BTC-USD | 60 | -6.20 | -3.72% | 41.67% | 58.33% | 21.98% |
| second_touch_plus_candle_quality | short | ETH-USD | 45 | 27.52 | 12.38% | 46.67% | 53.33% | 18.75% |
| second_touch_plus_candle_quality | short | SOL-USD | 53 | -22.69 | -12.03% | 37.74% | 62.26% | 19.78% |
| variant | side | cost_bps | mean_total_return | positive_asset_ratio | post_cost_expectancy_bps |
|---|---|---|---|---|---|
| baseline | long | 6 | -48.96% | 0.00% | -18.29 |
| first_touch_only | long | 6 | -24.99% | 0.00% | -10.46 |
| second_touch_only | long | 6 | -39.99% | 0.00% | -18.41 |
| second_touch_plus_candle_quality | long | 6 | -18.11% | 0.00% | -34.05 |
| baseline | short | 6 | -13.28% | 0.00% | -4.90 |
| first_touch_only | short | 6 | -8.50% | 0.00% | -3.55 |
| second_touch_only | short | 6 | -16.57% | 0.00% | -7.68 |
| second_touch_plus_candle_quality | short | 6 | -1.12% | 33.33% | -0.46 |
| baseline | long | 10 | -70.27% | 0.00% | -26.29 |
| first_touch_only | long | 10 | -43.97% | 0.00% | -18.46 |
| second_touch_only | long | 10 | -57.38% | 0.00% | -26.41 |
| second_touch_plus_candle_quality | long | 10 | -22.62% | 0.00% | -42.05 |
| baseline | short | 10 | -34.11% | 0.00% | -12.90 |
| first_touch_only | short | 10 | -27.44% | 0.00% | -11.55 |
| second_touch_only | short | 10 | -33.56% | 0.00% | -15.68 |
| second_touch_plus_candle_quality | short | 10 | -5.33% | 33.33% | -8.46 |
| baseline | long | 15 | -96.90% | 0.00% | -36.29 |
| first_touch_only | long | 15 | -67.71% | 0.00% | -28.46 |
| second_touch_only | long | 15 | -79.11% | 0.00% | -36.41 |
| second_touch_plus_candle_quality | long | 15 | -28.25% | 0.00% | -52.05 |
| baseline | short | 15 | -60.14% | 0.00% | -22.90 |
| first_touch_only | short | 15 | -51.10% | 0.00% | -21.55 |
| second_touch_only | short | 15 | -54.79% | 0.00% | -25.68 |
| second_touch_plus_candle_quality | short | 15 | -10.60% | 33.33% | -18.46 |
reports/artifacts/scout_rank96_advancedma_retest_count_15m/trade_log.csvreports/artifacts/scout_rank96_advancedma_retest_count_15m/asset_summary_primary_6bps.csvreports/artifacts/scout_rank96_advancedma_retest_count_15m/overall_summary.csvreports/artifacts/scout_rank96_advancedma_retest_count_15m/cost_summary.csvreports/artifacts/scout_rank96_advancedma_retest_count_15m/summary.json