research: 低滞后信号口径定稿与实盘前偏差审计

fast_bsp3 改用 tol=-1 + require_touch=False,信号滞后从 5.8 根降到 2.2 根。
滞后与收益严格单调(年化 370% -> 906%,同一份数据同一套成本),
这是本轮提升的主因,也意味着实盘延迟会直接侵蚀收益。

新增 step31~39 验证策略能否落地:
- 跨品种样本外——8 个未参与调参的币,PF 2.73 / t 28.5,无一为负
- 时点重建——只喂到信号那一根重算,同根命中 100%,确认无未来函数;
  1m 在 2000 根窗口即饱和,计算耗时 0.20s
- 偏差审计——多空对称、中枢生效时刻零回退、滑点稳健至 30bp、持仓几乎不重叠
- 消融——alpha 来自缠论中枢的上下文定位,而非「收盘转强」这个触发动作

补 research/HANDOFF.md:记录确切口径与参数、已排除的偏差、
已验证无效因而不必重做的方向,以及下一步用影子交易器实测执行滑点的方案。

清理 step1~20 的输出:早期方法论已被推翻(存在未来函数偏差),
其结论不再被引用;脚本保留,需要时可重跑。

Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
jackyu66git
2026-08-27 17:47:41 +08:00
co-authored by Cursor
parent b286cb0137
commit 66061f79a1
45 changed files with 107878 additions and 80745 deletions
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task,中枢总数,×窗口内未突破,×回抽未触及边界,×突破后跌回中枢,√成交,×触及边界但未转强
SOL 15m,1141,474,59,396,207,5.0
ETH 15m,1225,539,55,379,246,6.0
BTC 15m,1244,544,48,387,255,10.0
BTC 30m,627,256,33,213,121,4.0
SOL 30m,573,233,47,188,104,1.0
ETH 30m,601,255,36,198,112,
SOL 5m,3398,1395,77,1206,710,10.0
ETH 5m,3688,1543,74,1291,732,48.0
BTC 5m,3637,1503,55,1370,655,54.0
task,中枢总数,×窗口内未突破,√成交,×突破后跌回中枢,×触及边界但未转强
SOL 15m,1141,474,289,374,4.0
ETH 15m,1225,539,316,366,4.0
BTC 15m,1244,544,314,378,8.0
BTC 30m,627,256,164,204,3.0
SOL 30m,573,233,163,176,1.0
ETH 30m,601,255,157,189,
SOL 5m,3398,1395,828,1166,9.0
ETH 5m,3688,1543,831,1268,46.0
BTC 5m,3637,1503,721,1363,50.0
1 task 中枢总数 ×窗口内未突破 ×回抽未触及边界 √成交 ×突破后跌回中枢 ×触及边界但未转强
2 SOL 15m 1141 474 59 207 289 396 374 5.0 4.0
3 ETH 15m 1225 539 55 246 316 379 366 6.0 4.0
4 BTC 15m 1244 544 48 255 314 387 378 10.0 8.0
5 BTC 30m 627 256 33 121 164 213 204 4.0 3.0
6 SOL 30m 573 233 47 104 163 188 176 1.0
7 ETH 30m 601 255 36 112 157 198 189
8 SOL 5m 3398 1395 77 710 828 1206 1166 10.0 9.0
9 ETH 5m 3688 1543 74 732 831 1291 1268 48.0 46.0
10 BTC 5m 3637 1503 55 655 721 1370 1363 54.0 50.0