cyb50-quant/research/dragon/v2/dragon_glued_veto_review.md

Dragon Glued Veto Attribution Review

Snapshot

• removed trades vs current alpha-first: 12
• total avg_return of removed set: -1.60%
• total win_rate of removed set: 8.33%
• removed-set profit_factor: 0.03

Bucket Summary

• hot_positive_b1: trades 8, win_rate 12.50%, avg_return -1.23%, avg_mfe 1.64%, avg_mae -2.13%, avg_holding 6.12, KEEP/OBSERVE/OVER = 7/1/0
• low_weak_range: trades 4, win_rate 0.00%, avg_return -2.35%, avg_mfe 0.96%, avg_mae -2.89%, avg_holding 3.00, KEEP/OBSERVE/OVER = 4/0/0

Quant Judgment

• low_weak_range: trades 4, win_rate 0.00%, avg_return -2.35%, avg_mfe 0.96%, avg_mae -2.89%, avg_holding 3.00.
• hot_positive_b1: trades 8, win_rate 12.50%, avg_return -1.23%, avg_mfe 1.64%, avg_mae -2.13%, avg_holding 6.12.
• low_weak_range is now a clean promotion candidate: all removed trades are short, losing, and there is no positive sample in this bucket.
• hot_positive_b1 is directionally correct but not fully clean: most removed trades are weak, but one micro-profit sample remains and should be used as the first refinement target.
• Immediate next research action: keep the low bucket intact, and narrow the hot bucket rather than rolling back the whole glued veto branch.

Detailed Cards

2016-11-28 -> 2016-12-02

• Bucket: hot_positive_b1
• Trade: glued_buy -> knife_take_profit_2_glued | 4 days | return -0.81%
• MFE / MAE: 2.40% / -0.81%
• Entry 5d / Exit followthrough 5d: -1.13% / -3.44%
• Entry indicators: a1=0.0012 b1=0.1271 c1=53.68
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2017-03-06 -> 2017-03-10

• Bucket: hot_positive_b1
• Trade: glued_buy -> glued_exit:kdj_sell | 4 days | return -0.60%
• MFE / MAE: 0.83% / -1.96%
• Entry 5d / Exit followthrough 5d: 0.53% / -0.93%
• Entry indicators: a1=0.0057 b1=0.1350 c1=53.96
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2017-03-13 -> 2017-03-14

• Bucket: hot_positive_b1
• Trade: glued_buy -> glued_exit:kdj_sell | 1 days | return -1.01%
• MFE / MAE: 0.01% / -1.86%
• Entry 5d / Exit followthrough 5d: -1.16% / -1.04%
• Entry indicators: a1=0.0105 b1=0.2031 c1=67.32
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2017-07-03 -> 2017-07-10

• Bucket: hot_positive_b1
• Trade: glued_buy -> knife_take_profit_2_glued | 7 days | return -1.79%
• MFE / MAE: 0.90% / -1.81%
• Entry 5d / Exit followthrough 5d: -1.79% / -8.63%
• Entry indicators: a1=0.0074 b1=0.1822 c1=69.43
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2018-11-12 -> 2018-11-22

• Bucket: hot_positive_b1
• Trade: glued_buy -> post_dual_sell_decay_exit | 10 days | return -1.54%
• MFE / MAE: 3.46% / -3.82%
• Entry 5d / Exit followthrough 5d: 2.11% / -5.02%
• Entry indicators: a1=0.0169 b1=0.2091 c1=40.55
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: 2018-11-30 -> 2018-12-06 / glued_buy -> knife_take_profit_2_glued / 0.43%
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2019-07-15 -> 2019-07-22

• Bucket: hot_positive_b1
• Trade: glued_buy -> knife_take_profit_2_glued | 7 days | return -1.98%
• MFE / MAE: 1.11% / -2.98%
• Entry 5d / Exit followthrough 5d: -1.98% / 0.17%
• Entry indicators: a1=0.0064 b1=0.1122 c1=59.17
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: 2019-07-24 -> 2019-08-01 / glued_buy -> knife_take_profit_2_glued / 1.08%
• Recommendation: KEEP_VETO | 持仓期间几乎没有有效盈利空间，删除逻辑合理。

2019-11-19 -> 2019-11-22

• Bucket: hot_positive_b1
• Trade: glued_buy -> knife_take_profit_2_glued | 3 days | return -2.80%
• MFE / MAE: 1.11% / -3.42%
• Entry 5d / Exit followthrough 5d: -2.56% / -1.86%
• Entry indicators: a1=0.0152 b1=0.1031 c1=69.09
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2021-11-05 -> 2021-11-18

• Bucket: hot_positive_b1
• Trade: glued_buy -> ql_mid_zone_take_profit | 13 days | return 0.69%
• MFE / MAE: 3.26% / -0.37%
• Entry 5d / Exit followthrough 5d: 2.37% / -0.21%
• Entry indicators: a1=0.0192 b1=0.1725 c1=76.36
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: 2021-11-22 -> 2021-11-30 / dual_gold_resonance_buy -> small_positive_a1_declining:kdj_sell / -0.34%
• Recommendation: OBSERVE_VETO | 原交易仅微利，但当前替代路径没有更强，建议进一步细化 hot 过滤而不是直接全盘保留。

2017-12-01 -> 2017-12-05

• Bucket: low_weak_range
• Trade: glued_buy -> negative_a1_no_b1_recovery:ql_sell | 4 days | return -2.94%
• MFE / MAE: 0.34% / -3.82%
• Entry 5d / Exit followthrough 5d: -1.41% / -1.13%
• Entry indicators: a1=-0.0199 b1=-0.1039 c1=23.31
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2019-01-18 -> 2019-01-22

• Bucket: low_weak_range
• Trade: glued_buy -> knife_take_profit_2_glued | 4 days | return -1.09%
• MFE / MAE: 1.54% / -1.78%
• Entry 5d / Exit followthrough 5d: 0.20% / -1.73%
• Entry indicators: a1=-0.0124 b1=0.0102 c1=25.79
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: 2019-02-01 -> 2019-03-25 / glued_buy -> prewarning_reduction_exit / 31.06%
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2021-09-27 -> 2021-09-29

• Bucket: low_weak_range
• Trade: glued_buy -> knife_take_profit_2_glued | 2 days | return -1.78%
• MFE / MAE: 1.63% / -2.08%
• Entry 5d / Exit followthrough 5d: -1.35% / -2.64%
• Entry indicators: a1=-0.0062 b1=-0.0079 c1=27.41
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: 2021-09-30 -> 2021-10-11 / glued_buy -> knife_take_profit_2_glued / -1.98%
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。

2024-07-31 -> 2024-08-02

• Bucket: low_weak_range
• Trade: glued_buy -> knife_take_profit_2_glued | 2 days | return -3.56%
• MFE / MAE: 0.35% / -3.87%
• Entry 5d / Exit followthrough 5d: -4.62% / -2.73%
• Entry indicators: a1=-0.0119 b1=-0.0002 c1=24.56
• Workbook aligned: buy True / sell True
• Candidate replacement within 10d after exit: none
• Recommendation: KEEP_VETO | 短持仓亏损且卖出后继续走弱，属于应优先清理的噪音单。