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
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窗口(根),覆盖天数,抽检,同根命中,±3根内,完全消失,同向过滤也成立,假阳性,耗时中位,耗时P95
2000,1.4,180,100.0%,100.0%,0.0%,100.0%,0.0%,0.20s,0.22s
4000,2.8,180,100.0%,100.0%,0.0%,100.0%,0.0%,0.40s,0.42s
8000,5.6,180,100.0%,100.0%,0.0%,100.0%,0.0%,0.81s,0.84s
16000,11.1,180,100.0%,100.0%,0.0%,100.0%,0.0%,1.68s,1.81s
1 窗口(根) 覆盖天数 抽检 同根命中 ±3根内 完全消失 同向过滤也成立 假阳性 耗时中位 耗时P95
2 2000 1.4 180 100.0% 100.0% 0.0% 100.0% 0.0% 0.20s 0.22s
3 4000 2.8 180 100.0% 100.0% 0.0% 100.0% 0.0% 0.40s 0.42s
4 8000 5.6 180 100.0% 100.0% 0.0% 100.0% 0.0% 0.81s 0.84s
5 16000 11.1 180 100.0% 100.0% 0.0% 100.0% 0.0% 1.68s 1.81s