生成时间：2026-03-19 20:53 UTC · 数据复用自 reports/artifacts/quant_digests/zenoclaw_clv_proxy/
一句话结论：keep_P1 / evidence_pool。
short 侧 strict CLV 把 proxy 样本的 after-cost 亏损压缩到接近打平，但 long 侧 CLV-only 反而更差，volume+CLV 也还没把结果拉正。更诚实的读法是：CLV 值得作为方向不对称 admission 线索保留，但还不足以升到 P2。
| variant | mean_trades | mean_trade_count_retention | mean_avg_net_ret_h4 | mean_median_net_ret_h4 | mean_win_rate_h4 | positive_asset_ratio |
|---|---|---|---|---|---|---|
| short_baseline | 495.0 | 100.00% | -5.89 bps | -19.85 bps | 37.94% | 0.00% |
| short_clv070 | 339.3 | 68.39% | -2.36 bps | -17.92 bps | 39.19% | 33.33% |
| short_clv080 | 245.3 | 49.26% | -0.43 bps | -13.70 bps | 41.79% | 33.33% |
| short_clv070_plus_volume | 265.3 | 53.78% | -1.21 bps | -19.07 bps | 39.71% | 66.67% |
| long_baseline | 479.0 | 100.00% | -12.61 bps | -19.64 bps | 35.50% | 0.00% |
| long_clv070_only | 328.3 | 68.28% | -13.97 bps | -21.70 bps | 35.17% | 0.00% |
| long_volume_only | 342.0 | 71.83% | -9.98 bps | -17.91 bps | 38.12% | 0.00% |
| long_volume_plus_clv | 221.0 | 46.24% | -11.26 bps | -19.05 bps | 38.55% | 0.00% |
| asset | variant | trades | trade_count_retention | mean_net_ret_h4 | median_net_ret_h4 | win_rate_h4 | avg_aligned_clv | avg_vol_ratio |
|---|---|---|---|---|---|---|---|---|
| BTCUSDT | short_baseline | 511 | 100.00% | -9.45 bps | -17.32 bps | 35.03% | 78.31% | 3.54 |
| BTCUSDT | short_clv070 | 360 | 70.45% | -6.60 bps | -16.37 bps | 36.67% | 87.38% | 3.32 |
| BTCUSDT | short_clv080 | 282 | 55.19% | -5.92 bps | -15.13 bps | 38.65% | 90.69% | 3.29 |
| BTCUSDT | short_clv070_plus_volume | 276 | 54.01% | -7.49 bps | -15.82 bps | 38.04% | 87.11% | 4.01 |
| BTCUSDT | long_baseline | 504 | 100.00% | -11.77 bps | -17.23 bps | 35.52% | 77.03% | 2.85 |
| BTCUSDT | long_clv070_only | 361 | 71.63% | -12.43 bps | -17.30 bps | 35.73% | 86.27% | 2.67 |
| BTCUSDT | long_volume_only | 345 | 68.45% | -9.02 bps | -16.98 bps | 38.26% | 75.19% | 3.66 |
| BTCUSDT | long_volume_plus_clv | 234 | 46.43% | -9.84 bps | -16.89 bps | 39.32% | 86.04% | 3.53 |
| ETHUSDT | short_baseline | 437 | 100.00% | -5.08 bps | -22.44 bps | 39.13% | 74.68% | 3.98 |
| ETHUSDT | short_clv070 | 286 | 65.45% | 0.38 bps | -18.55 bps | 39.51% | 84.54% | 3.64 |
| ETHUSDT | short_clv080 | 189 | 43.25% | 4.84 bps | -10.82 bps | 44.44% | 89.35% | 3.57 |
| ETHUSDT | short_clv070_plus_volume | 246 | 56.29% | 0.94 bps | -20.96 bps | 39.84% | 84.35% | 4.05 |
| ETHUSDT | long_baseline | 429 | 100.00% | -13.80 bps | -21.21 bps | 33.10% | 73.39% | 3.36 |
| ETHUSDT | long_clv070_only | 271 | 63.17% | -15.49 bps | -24.29 bps | 32.10% | 84.12% | 3.20 |
| ETHUSDT | long_volume_only | 344 | 80.19% | -10.92 bps | -18.99 bps | 36.05% | 72.37% | 3.93 |
| ETHUSDT | long_volume_plus_clv | 207 | 48.25% | -11.48 bps | -22.15 bps | 36.23% | 84.17% | 3.85 |
| SOLUSDT | short_baseline | 537 | 100.00% | -3.15 bps | -19.79 bps | 39.66% | 76.90% | 3.01 |
| SOLUSDT | short_clv070 | 372 | 69.27% | -0.88 bps | -18.85 bps | 41.40% | 85.59% | 2.90 |
| SOLUSDT | short_clv080 | 265 | 49.35% | -0.21 bps | -15.15 bps | 42.26% | 89.70% | 2.74 |
| SOLUSDT | short_clv070_plus_volume | 274 | 51.02% | 2.92 bps | -20.42 bps | 41.24% | 84.92% | 3.53 |
| SOLUSDT | long_baseline | 504 | 100.00% | -12.26 bps | -20.48 bps | 37.90% | 77.29% | 2.51 |
| SOLUSDT | long_clv070_only | 353 | 70.04% | -14.00 bps | -23.52 bps | 37.68% | 85.85% | 2.41 |
| SOLUSDT | long_volume_only | 337 | 66.87% | -10.01 bps | -17.77 bps | 40.06% | 75.54% | 3.24 |
| SOLUSDT | long_volume_plus_clv | 222 | 44.05% | -12.45 bps | -18.12 bps | 40.09% | 85.02% | 3.21 |
如果后续继续认领 Rank 99，默认只给 1 个 truly verdict-changing 的 Light Stability Pack，先做时间稳定性：检查 short strict-CLV 改善是不是只剩局部 pocket，同时确认 long 侧 volume+CLV 是否仍旧不够硬。