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2026-08-25 22:57:43 +08:00

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Validity Boundary — Market-State Gated Spring

Definition (hard)

market_state in {accumulation, markup} -> allow Spring
else -> block Spring

Spring 信号本体 = V1_BASELINEFROZEN)。
Gate = Decision 层默认规则(state_set v1.1 = PASS)。

Soft-score / hard-score 阈值 不进入默认规则

Validity statement

Spring has positive expectancy under:

  1. BTC market
  2. Causal market_state ∈ {accumulation, markup}
  3. 8h / 4h / 1h alignment
  4. Trend-compatible (range already blocked in Baseline)

Invalid under:

  1. distribution
  2. range
  3. markdown(对 SPRING_LONG
  4. Ungated global trading

Causal state (entry-time only)

bear & ema_slope >= -1%   → accumulation
bull & ema_slope >  +0.5% → markup
bull & ema_slope <= +0.5% → distribution
bear & ema_slope <  -1%   → markdown
else                      → range

Gate performance (net fee+slip)

Window Baseline Gated state_set
2023+ n=20 PF 1.45 DD 7.9% n=7 PF 1.34 DD 3.4%
full n=47 PF 0.74 DD 26% n=17 PF 0.92 DD 9.6%

Confidence: MEDIUM / defined-domain PASSfull PF 仍 < 1)。

Negative-domain audit

scripts/wyckoff_negative_domain_audit_result.json

对 Baseline 全部 SPRING_LONGn=28)按因果状态拆 kept/blocked

n PF 含义
Kept 15 1.09 全部在 markup
Blocked 13 0.58 100% bad domain
Blocked × distribution 9 0.38 主杀伤区
Blocked × range 4 1.14 样本小,非干净杀伤

→ Gate 主要过滤 distribution 结构性失效,符合威科夫「Spring 是吸筹事件而非形态」的边界叙事。

Default stackLOCKED

8h causal market_state
        ↓
Decision: state_set Gate v1.1  ← LOCKED
        ↓
Frozen V1_BASELINE Spring / UTAD

Year/era robustness(冻结前确认)

scripts/wyckoff_gate_robustness_slices_result.json

  • pre_2023 blockeddistribution share 87.5%blocked PF 0.37
  • 多数年份 blocked 以 distribution 为首
  • 2023+ blockeddistribution + range 并存;range 仅观察,不改规则
  • 不因 2023+ blocked 弱正 PF 或 range n=4 回滚 Gate

Primary invalidation domain = distribution(稳定)
range = observation bucket only