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

Dragon Residual Trade Review

Snapshot

• Residual real-trade rows reviewed: 2
• DELETE_CANDIDATE: 0
• KEEP_BRIDGE / KEEP_ALPHA: 2
• OBSERVE / OBSERVE_BRIDGE: 0

Recommendation Summary

KEEP_ALPHA

• 2023-10-26 BUY early_crash_probe_buy | trade 2023-10-26 -> 2023-11-10 | ret 7.67% mfe 9.73% mae -2.20% | 虽然是额外交易，但收益明显，可能代表工作簿未显式记录的顺势 alpha。
• 2023-11-10 SELL knife_take_profit_2_wait_ql_s | trade 2023-10-26 -> 2023-11-10 | ret 7.67% mfe 9.73% mae -2.20% | 虽然是额外交易，但收益明显，可能代表工作簿未显式记录的顺势 alpha。

Detailed Cards

2023-10-26 BUY early_crash_probe_buy

• Regime: deep_oversold
• Trade: 2023-10-26 -> 2023-11-10 | buy early_crash_probe_buy | sell knife_take_profit_2_wait_ql_s
• Holding / Return: 15 days / 7.67%
• MFE / MAE: 9.73% / -2.20%
• Event indicators: a1=-0.0426 b1=-0.0288 c1=7.23
• Pre/Post 5d return: -2.24% / 3.92%
• Chain type: isolated_extra_trade | entry aligned False | exit aligned False
• Delete impact: 该点与配对交易构成局部闭环，删除通常应连同 2023-10-26->2023-11-10 一并评估。
• Recommendation: KEEP_ALPHA | 虽然是额外交易，但收益明显，可能代表工作簿未显式记录的顺势 alpha。
• Workbook context: 2023-10-16 SELL(aux_signal)
• Strategy context: 2023-10-16 SELL(aux_signal) | 2023-10-26 BUY(real_trade)

2023-11-10 SELL knife_take_profit_2_wait_ql_s

• Regime: rebound_mid
• Trade: 2023-10-26 -> 2023-11-10 | buy early_crash_probe_buy | sell knife_take_profit_2_wait_ql_s
• Holding / Return: 15 days / 7.67%
• MFE / MAE: 9.73% / -2.20%
• Event indicators: a1=0.0166 b1=0.2958 c1=45.09
• Pre/Post 5d return: 1.98% / -1.34%
• Chain type: isolated_extra_trade | entry aligned False | exit aligned False
• Delete impact: 该点与配对交易构成局部闭环，删除通常应连同 2023-10-26->2023-11-10 一并评估。
• Recommendation: KEEP_ALPHA | 虽然是额外交易，但收益明显，可能代表工作簿未显式记录的顺势 alpha。
• Workbook context: 2023-11-10 SELL(aux_signal):粘合-刀口收血2
• Strategy context: 2023-11-10 SELL(real_trade) | 2023-11-16 SELL(aux_signal)