# 池级特征回填 · 模型口径自检（Mac 侧沙盒）


## 新(tb 口径回填) — `/tmp/baseline_backfilled.csv`（6013 行）

### ① 权重逐键对照（记录版权重 vs 从本表重算）

| 特征 | 记录版权重 | 本表重算 | 差 | 参与样本(非空&有ret) |
|---|---|---|---|---|
| f1_t0_pct | 0.0055 | 0.0026 | -0.0029 | 5782 |
| f2_t0_vol_ratio | -0.0410 | -0.0405 | +0.0005 | 5775 |
| f3_ta_shrink | 0.1126 | 0.1117 | -0.0009 | 5782 |
| f4_ta_drawdown | 0.1801 | 0.1872 | +0.0071 | 5782 |
| f5_ta_gap | -0.1680 | -0.1691 | -0.0011 | 5782 |
| f6_tb_strength | -0.0151 | -0.0155 | -0.0004 | 5782 |
| f7_tb_gap | -0.2792 | -0.2803 | -0.0011 | 5782 |
| f8_chain_len | -0.2792 | -0.2803 | -0.0011 | 5782 |
| f9_tb_vol | -0.0709 | -0.0692 | +0.0017 | 5782 |
| f10_tb_ma5_slope | 0.0135 | 0.0059 | -0.0076 | 5778 |
| f11_tb_ma_align | 0.0803 | 0.0780 | -0.0023 | 5782 |
| f12_crowd_pool | 0.0560 | 0.1013 | +0.0453 | 5782 |
| f13_pool_zt | -0.0519 | -0.0604 | -0.0085 | 5782 |
| f14_pool_avgret | 0.0002 | 0.0194 | +0.0192 | 5782 |

### ② 分池 rho（strength vs ret_net, 全样本）与分档统计

| pool | 行数 | 有 ret 行 | rho | 强(前1/3) 均收/胜率 | 中 | 弱(后1/3) |
|---|---|---|---|---|---|---|
| 沪深300 | 191 | 189 | 0.1667 | 0.11%/85.7% | 0.10%/81.0% | 0.07%/63.5% |
| 中证500 | 317 | 302 | 0.1969 | 0.15%/90.1% | 0.12%/75.0% | 0.11%/70.3% |
| 中证1000 | 1217 | 1156 | 0.2902 | 0.13%/83.9% | 0.10%/74.2% | 0.03%/56.2% |
| 中证2000 | 4288 | 4135 | 0.2869 | 0.11%/83.0% | 0.07%/67.5% | 0.02%/51.8% |

## 旧(现状) — `/Users/xpresso/zt_app/backtest_zt_full/strength_baseline.csv`（6013 行）

### ① 权重逐键对照（记录版权重 vs 从本表重算）

| 特征 | 记录版权重 | 本表重算 | 差 | 参与样本(非空&有ret) |
|---|---|---|---|---|
| f1_t0_pct | 0.0055 | 0.0026 | -0.0029 | 5782 |
| f2_t0_vol_ratio | -0.0410 | -0.0405 | +0.0005 | 5775 |
| f3_ta_shrink | 0.1126 | 0.1117 | -0.0009 | 5782 |
| f4_ta_drawdown | 0.1801 | 0.1872 | +0.0071 | 5782 |
| f5_ta_gap | -0.1680 | -0.1691 | -0.0011 | 5782 |
| f6_tb_strength | -0.0151 | -0.0155 | -0.0004 | 5782 |
| f7_tb_gap | -0.2792 | -0.2803 | -0.0011 | 5782 |
| f8_chain_len | -0.2792 | -0.2803 | -0.0011 | 5782 |
| f9_tb_vol | -0.0709 | -0.0692 | +0.0017 | 5782 |
| f10_tb_ma5_slope | 0.0135 | 0.0059 | -0.0076 | 5778 |
| f11_tb_ma_align | 0.0803 | 0.0780 | -0.0023 | 5782 |
| f12_crowd_pool | 0.0560 | 0.8000 | +0.7440 | 4 |
| f13_pool_zt | -0.0519 | 0.8000 | +0.8519 | 4 |
| f14_pool_avgret | 0.0002 | 0.8000 | +0.7998 | 4 |

### ② 分池 rho（strength vs ret_net, 全样本）与分档统计

| pool | 行数 | 有 ret 行 | rho | 强(前1/3) 均收/胜率 | 中 | 弱(后1/3) |
|---|---|---|---|---|---|---|
| 沪深300 | 191 | 189 | 0.1595 | 0.11%/85.7% | 0.10%/79.4% | 0.07%/65.1% |
| 中证500 | 317 | 302 | 0.1884 | 0.15%/91.1% | 0.12%/73.0% | 0.11%/71.3% |
| 中证1000 | 1217 | 1156 | 0.2873 | 0.13%/83.7% | 0.10%/74.7% | 0.03%/56.0% |
| 中证2000 | 4288 | 4135 | 0.2821 | 0.11%/82.7% | 0.07%/67.9% | 0.02%/51.8% |