生成于2026-10-22；使用已完成F60样本做事后路径诊断，最高收盘MFE只说明“曾经到过”，不代表可实现成交价。
“早期盈利后回撤”定义为 MFE≥15%、F60最终经济收盘收益<5%、峰值与最终收益差≥10个百分点。这是研究标签，不是事前可用条件。
| 执行敏感性 | 规则 | 路径组 | 样本 | F60中位收益 | 新规则中位收益 | 收益差中位数 | 平均损益差 | 正差占比 | 新规则持有中位数 |
|---|---|---|---|---|---|---|---|---|---|
| legacy_5pct_proxy | P15_MA20 | early_profit_late_fade | 6728 | -5.18% | 1.63% | 3.99% | 276.25 | 59.68% | 41.00 |
| legacy_5pct_proxy | P15_MA20 | profitable_peak_but_f60_loss | 8090 | -9.18% | -4.93% | 0.00% | 198.36 | 36.48% | 60.00 |
| legacy_5pct_proxy | P15_MA20 | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
| legacy_5pct_proxy | P15_MA20_RS | early_profit_late_fade | 6728 | -5.18% | -0.18% | 1.66% | 216.68 | 54.03% | 45.00 |
| legacy_5pct_proxy | P15_MA20_RS | profitable_peak_but_f60_loss | 8090 | -9.18% | -5.89% | 0.00% | 157.63 | 33.78% | 60.00 |
| legacy_5pct_proxy | P15_MA20_RS | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
| legacy_5pct_proxy | P15_MA20_SLOPE | early_profit_late_fade | 6728 | -5.18% | -0.94% | 0.68% | 186.11 | 51.07% | 47.00 |
| legacy_5pct_proxy | P15_MA20_SLOPE | profitable_peak_but_f60_loss | 8090 | -9.18% | -6.38% | 0.00% | 138.30 | 32.14% | 60.00 |
| legacy_5pct_proxy | P15_MA20_SLOPE | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20 | early_profit_late_fade | 6729 | -5.20% | 1.54% | 4.02% | 273.00 | 59.73% | 40.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20 | profitable_peak_but_f60_loss | 8090 | -9.12% | -5.00% | 0.00% | 195.26 | 36.48% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20 | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_RS | early_profit_late_fade | 6729 | -5.20% | -0.18% | 1.69% | 215.30 | 54.23% | 44.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_RS | profitable_peak_but_f60_loss | 8090 | -9.12% | -5.89% | 0.00% | 156.18 | 33.92% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_RS | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_SLOPE | early_profit_late_fade | 6729 | -5.20% | -0.92% | 0.78% | 184.64 | 51.29% | 47.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_SLOPE | profitable_peak_but_f60_loss | 8090 | -9.12% | -6.41% | 0.00% | 135.88 | 32.26% | 60.00 |
| ordinary_mainboard_10pct_sensitivity | P15_MA20_SLOPE | never_10pct_peak | 14908 | -11.75% | -11.75% | 0.00% | 0.00 | 0.00% | 60.00 |
固定60日退出的主要可改善对象是“先盈利、后趋势衰弱”的路径；对“短暂冲高后失败”的路径，新规则没有稳定把事后最高点变成可实现盈利。下一步应研究相对指数/行业走弱与趋势破坏的组合条件，并用后续未观察数据前瞻验证。
这不是回本概率，也不是推荐；所有金额和收益都来自已观察历史样本，完整限制见 Markdown报告。