report: add robust eth strategy candidates

reports/ultrashort/ultrashort-correlation.csv

@@ -1,25 +1,27 @@
-name,BTC RSI2 Guarded 15m,BTC RSI2 TWAP2 15m,BTC RSI2 TWAP3 15m,BTC RSI2 Price TWAP shallow 15m,BTC RSI2 Price TWAP mid 15m,BTC RSI2 Price TWAP deep 15m,BTC RSI2 Price TWAP 2slice 15m,BTC RSI2 Price TWAP mid fb2 15m,BTC RSI2 Price TWAP mid fb5 15m,BTC RSI2 Price TWAP deep fb2 15m,BTC RSI2 Price TWAP deep fb5 15m,BTC Trend RSI-BB 15m,ETH RSI2 15m,ETH RSI2 Price TWAP mid 15m,ETH RSI2 Price TWAP deep 15m,ETH RSI2 Price TWAP mid fb2 15m,ETH Trend RSI-BB 15m,ETH/BTC RSI Filter 15m,BTC Lead ETH Lag 15m,BTC Lead ETH Lag 5m,BTC Lead ETH Lag 3m,Balanced 4,Aggressive 5,Lead Lag Basket
-BTC RSI2 Guarded 15m,1.0,0.9344773435213827,0.8915846234109552,0.8850353340410234,0.7085827426362215,0.4880478889160322,0.7934145191978982,0.6996839163574706,0.7089621207813571,0.4961835216146767,0.4722124357616944,0.5405563174313858,0.16076233562185385,0.1431097019720855,0.10782518644479704,0.13902552817924266,0.10297574509155308,0.16773473569260558,0.07049637041650053,0.06528610154698507,0.10819187212877313,0.5764380315455997,0.3115588910923123,0.09900393725058748
-BTC RSI2 TWAP2 15m,0.9344773435213827,1.0,0.9787584268088305,0.8442069831221518,0.6680568157606444,0.49403029526900716,0.753593070179974,0.6583719501770074,0.667126596162446,0.5009475493421036,0.47269004171052303,0.5005039967768674,0.16913445400348256,0.16434802401594795,0.12508236250860819,0.16078169170675544,0.10241537796647696,0.15691578503306863,0.06646583538077841,0.058420280946955616,0.08219253420837387,0.5348005858888382,0.29565135191808056,0.08764306555072052
-BTC RSI2 TWAP3 15m,0.8915846234109552,0.9787584268088305,1.0,0.8096212063559693,0.6398984388322556,0.48187724715447006,0.7223364616866834,0.627853298600225,0.6372389752711635,0.48981516759020116,0.46456833845980405,0.4711650277130342,0.16281116772199752,0.14628828972116853,0.11547457047841084,0.14300985350506168,0.09819490570619685,0.15665999174592826,0.05413715221168406,0.043645697866874986,0.07602023982260743,0.5023696527855886,0.2734932552222223,0.07115946114027276
-BTC RSI2 Price TWAP shallow 15m,0.8850353340410234,0.8442069831221518,0.8096212063559693,1.0,0.8624393080395407,0.6572514135252308,0.9138668538110832,0.8548344647995687,0.8568284695502657,0.6586434874094542,0.6220895836139939,0.4930306250623982,0.1663088555773802,0.13777034422304582,0.11168054989543677,0.13156543396298923,0.056313204998351095,0.15573947299260882,0.07638329180800496,0.079993402257213,0.10250545079964549,0.5327261099397479,0.30025064925413136,0.1086681936462802
-BTC RSI2 Price TWAP mid 15m,0.7085827426362215,0.6680568157606444,0.6398984388322556,0.8624393080395407,1.0,0.7717006814551277,0.9686870988763289,0.9868758937864585,0.9559369569894733,0.7624950550788938,0.7132558093522926,0.37722595830235395,0.15747695903437392,0.1346330702443425,0.11754238555116431,0.12655336249270416,0.009434616588574295,0.14977091384801053,0.06268855887586837,0.01834381191360518,0.06789320418815073,0.39936132484065734,0.23411820711345774,0.06787194138987043
-BTC RSI2 Price TWAP deep 15m,0.4880478889160322,0.49403029526900716,0.48187724715447006,0.6572514135252308,0.7717006814551277,1.0,0.7349651167374501,0.7763556299863529,0.7914162839829468,0.9750782814876358,0.9131024653920904,0.2521589350927829,0.1161746392264593,0.0939742520115745,0.08376098284253504,0.08744442579776313,0.00634097594160435,0.08397402087124305,0.028612117611211834,-0.019963285793259185,0.017405163403882873,0.24281371190278467,0.13819848481101452,0.016783557743891266
-BTC RSI2 Price TWAP 2slice 15m,0.7934145191978982,0.753593070179974,0.7223364616866834,0.9138668538110832,0.9686870988763289,0.7349651167374501,1.0,0.9571459665299435,0.9427867145606671,0.729414231005077,0.6854951667342556,0.4111079757767588,0.14935331294404863,0.12509258035915188,0.10738207751505066,0.1162536863691454,0.022954183881907297,0.1391575165341575,0.05973145209875228,0.016274287689223295,0.0726846533882821,0.43307011260626216,0.24411209080186252,0.06553467712102728
-BTC RSI2 Price TWAP mid fb2 15m,0.6996839163574706,0.6583719501770074,0.627853298600225,0.8548344647995687,0.9868758937864585,0.7763556299863529,0.9571459665299435,1.0,0.9694085952785859,0.7672990228237777,0.7156736516452655,0.37216098484024457,0.15796937569275132,0.1328000365375596,0.11477197997176052,0.12448425125286135,0.004867078856665965,0.14972593629809364,0.06137718371259213,0.02593391804968811,0.0588140956524615,0.39990598779373665,0.2340963824666469,0.06821135431593063
-BTC RSI2 Price TWAP mid fb5 15m,0.7089621207813571,0.667126596162446,0.6372389752711635,0.8568284695502657,0.9559369569894733,0.7914162839829468,0.9427867145606671,0.9694085952785859,1.0,0.7809012969199836,0.7301334764929378,0.3800783175887269,0.13450680626004044,0.10862120175457242,0.09187256207722357,0.10330777020736144,0.0216398391728452,0.11695458264026994,0.07984754441058557,0.025862126743847795,0.05226975016916836,0.397032525926752,0.23926296079945647,0.07961889168659587
-BTC RSI2 Price TWAP deep fb2 15m,0.4961835216146767,0.5009475493421036,0.48981516759020116,0.6586434874094542,0.7624950550788938,0.9750782814876358,0.729414231005077,0.7672990228237777,0.7809012969199836,1.0,0.9359027970302717,0.2529816152483951,0.11489276026812943,0.09127255658794609,0.08311831421770034,0.08731711482118372,0.013095592116403966,0.0870011814266675,0.024919790416107437,-0.02029845676157307,0.017726188635535226,0.2471203231561983,0.1375424339564289,0.013863120580116876
-BTC RSI2 Price TWAP deep fb5 15m,0.4722124357616944,0.47269004171052303,0.46456833845980405,0.6220895836139939,0.7132558093522926,0.9131024653920904,0.6854951667342556,0.7156736516452655,0.7301334764929378,0.9359027970302717,1.0,0.25981023920441426,0.12641573054470598,0.09648792870779013,0.0920243363703649,0.09565214490488443,0.009927692509706076,0.10390534838228419,0.030949310959165702,-0.019720555186476883,0.016789755486066236,0.24474179965120108,0.14114881113922942,0.01772856697748158
-BTC Trend RSI-BB 15m,0.5405563174313858,0.5005039967768674,0.4711650277130342,0.4930306250623982,0.37722595830235395,0.2521589350927829,0.4111079757767588,0.37216098484024457,0.3800783175887269,0.2529816152483951,0.25981023920441426,1.0,0.05011783768710631,0.04741722920855363,0.057838057873408746,0.04263966490010346,0.13052961819119585,0.05288533476215233,0.11487582945004338,0.12849551463691755,0.0539678961955832,0.5786393535138946,0.24496739503104908,0.14583398803772052
-ETH RSI2 15m,0.16076233562185385,0.16913445400348256,0.16281116772199752,0.1663088555773802,0.15747695903437392,0.1161746392264593,0.14935331294404863,0.15796937569275132,0.13450680626004044,0.11489276026812943,0.12641573054470598,0.05011783768710631,1.0,0.7152055560368065,0.6257217384201079,0.707929569728687,0.079331162747393,0.6543285140195021,0.04473422080335876,0.06891346291324596,-0.03550263412681768,0.2616291850610414,0.3645129740374403,0.05171196362218134
-ETH RSI2 Price TWAP mid 15m,0.1431097019720855,0.16434802401594795,0.14628828972116853,0.13777034422304582,0.1346330702443425,0.0939742520115745,0.12509258035915188,0.1328000365375596,0.10862120175457242,0.09127255658794609,0.09648792870779013,0.04741722920855363,0.7152055560368065,1.0,0.8484690295797795,0.9897991525983676,0.039880945672274556,0.4671753059737313,0.07909556811445394,0.07624075375519573,-0.020717936512332828,0.21656878385702463,0.3073021221091327,0.08277256197816688
-ETH RSI2 Price TWAP deep 15m,0.10782518644479704,0.12508236250860819,0.11547457047841084,0.11168054989543677,0.11754238555116431,0.08376098284253504,0.10738207751505066,0.11477197997176052,0.09187256207722357,0.08311831421770034,0.0920243363703649,0.057838057873408746,0.6257217384201079,0.8484690295797795,1.0,0.8528602905505079,0.03134097204887974,0.3991920025819038,0.0847182220115455,0.06705570095693697,-0.014972618051659434,0.18591619309832616,0.27525255915279967,0.08419485450499788
-ETH RSI2 Price TWAP mid fb2 15m,0.13902552817924266,0.16078169170675544,0.14300985350506168,0.13156543396298923,0.12655336249270416,0.08744442579776313,0.1162536863691454,0.12448425125286135,0.10330777020736144,0.08731711482118372,0.09565214490488443,0.04263966490010346,0.707929569728687,0.9897991525983676,0.8528602905505079,1.0,0.04343895754712941,0.47310090140966327,0.07959691246693146,0.07640894158224709,-0.021209798907738994,0.21507211338919022,0.3060557286843094,0.08294159526082313
-ETH Trend RSI-BB 15m,0.10297574509155308,0.10241537796647696,0.09819490570619685,0.056313204998351095,0.009434616588574295,0.00634097594160435,0.022954183881907297,0.004867078856665965,0.0216398391728452,0.013095592116403966,0.009927692509706076,0.13052961819119585,0.079331162747393,0.039880945672274556,0.03134097204887974,0.04343895754712941,1.0,0.08932170024323023,0.021324254441602433,0.0188415826036288,0.01614768896771498,0.10444352082446103,0.06287880203328643,0.022575685222843787
-ETH/BTC RSI Filter 15m,0.16773473569260558,0.15691578503306863,0.15665999174592826,0.15573947299260882,0.14977091384801053,0.08397402087124305,0.1391575165341575,0.14972593629809364,0.11695458264026994,0.0870011814266675,0.10390534838228419,0.05288533476215233,0.6543285140195021,0.4671753059737313,0.3991920025819038,0.47310090140966327,0.08932170024323023,1.0,0.06139669240630892,0.0787433790844914,0.04255062339683948,0.34918395825598636,0.3531022971522643,0.08242061946698091
-BTC Lead ETH Lag 15m,0.07049637041650053,0.06646583538077841,0.05413715221168406,0.07638329180800496,0.06268855887586837,0.028612117611211834,0.05973145209875228,0.06137718371259213,0.07984754441058557,0.024919790416107437,0.030949310959165702,0.11487582945004338,0.04473422080335876,0.07909556811445394,0.0847182220115455,0.07959691246693146,0.021324254441602433,0.06139669240630892,1.0,0.44634330075816925,0.10720047551980223,0.3902354066377391,0.8440155881500151,0.8710966190358888
-BTC Lead ETH Lag 5m,0.06528610154698507,0.058420280946955616,0.043645697866874986,0.079993402257213,0.01834381191360518,-0.019963285793259185,0.016274287689223295,0.02593391804968811,0.025862126743847795,-0.02029845676157307,-0.019720555186476883,0.12849551463691755,0.06891346291324596,0.07624075375519573,0.06705570095693697,0.07640894158224709,0.0188415826036288,0.0787433790844914,0.44634330075816925,1.0,0.2743546790846447,0.7856766499040041,0.7127909828453503,0.778310776199955
-BTC Lead ETH Lag 3m,0.10819187212877313,0.08219253420837387,0.07602023982260743,0.10250545079964549,0.06789320418815073,0.017405163403882873,0.0726846533882821,0.0588140956524615,0.05226975016916836,0.017726188635535226,0.016789755486066236,0.0539678961955832,-0.03550263412681768,-0.020717936512332828,-0.014972618051659434,-0.021209798907738994,0.01614768896771498,0.04255062339683948,0.10720047551980223,0.2743546790846447,1.0,0.25296193888964014,0.19790456522415717,0.41121118965391346
-Balanced 4,0.5764380315455997,0.5348005858888382,0.5023696527855886,0.5327261099397479,0.39936132484065734,0.24281371190278467,0.43307011260626216,0.39990598779373665,0.397032525926752,0.2471203231561983,0.24474179965120108,0.5786393535138946,0.2616291850610414,0.21656878385702463,0.18591619309832616,0.21507211338919022,0.10444352082446103,0.34918395825598636,0.3902354066377391,0.7856766499040041,0.25296193888964014,1.0,0.7627198489074638,0.647207922049667
-Aggressive 5,0.3115588910923123,0.29565135191808056,0.2734932552222223,0.30025064925413136,0.23411820711345774,0.13819848481101452,0.24411209080186252,0.2340963824666469,0.23926296079945647,0.1375424339564289,0.14114881113922942,0.24496739503104908,0.3645129740374403,0.3073021221091327,0.27525255915279967,0.3060557286843094,0.06287880203328643,0.3531022971522643,0.8440155881500151,0.7127909828453503,0.19790456522415717,0.7627198489074638,1.0,0.9057189111451613
-Lead Lag Basket,0.09900393725058748,0.08764306555072052,0.07115946114027276,0.1086681936462802,0.06787194138987043,0.016783557743891266,0.06553467712102728,0.06821135431593063,0.07961889168659587,0.013863120580116876,0.01772856697748158,0.14583398803772052,0.05171196362218134,0.08277256197816688,0.08419485450499788,0.08294159526082313,0.022575685222843787,0.08242061946698091,0.8710966190358888,0.778310776199955,0.41121118965391346,0.647207922049667,0.9057189111451613,1.0
+name,BTC RSI2 Guarded 15m,BTC RSI2 TWAP2 15m,BTC RSI2 TWAP3 15m,BTC RSI2 Price TWAP shallow 15m,BTC RSI2 Price TWAP mid 15m,BTC RSI2 Price TWAP deep 15m,BTC RSI2 Price TWAP 2slice 15m,BTC RSI2 Price TWAP mid fb2 15m,BTC RSI2 Price TWAP mid fb5 15m,BTC RSI2 Price TWAP deep fb2 15m,BTC RSI2 Price TWAP deep fb5 15m,BTC Trend RSI-BB 15m,ETH RSI2 15m,ETH RSI2 Price TWAP mid 15m,ETH RSI2 Price TWAP deep 15m,ETH RSI2 Price TWAP mid fb2 15m,ETH Robust Price TWAP 15m,ETH Trend RSI-BB 15m,ETH/BTC RSI Filter 15m,BTC Lead ETH Lag 15m,BTC Lead ETH Lag 5m,BTC Lead ETH Lag 3m,Balanced 4,Aggressive 5,Lead Lag Basket,ETH Focused 2
+BTC RSI2 Guarded 15m,1.0,0.9344769421640959,0.8915837664768853,0.8850322573966826,0.7085770295675993,0.48804378803425424,0.7934109801361195,0.6996794597762216,0.7089600983260445,0.4961806688108408,0.47221090706210384,0.5405563148583317,0.1607623954360448,0.14310969806038754,0.10782515623669958,0.13902557593695175,0.059429430378550585,0.10297444305920593,0.16773466042486357,0.07049649981279181,0.06528622728767473,0.10819183141889763,0.5764378081120193,0.3115587671992697,0.09900403912963758,0.10862232744244234
+BTC RSI2 TWAP2 15m,0.9344769421640959,1.0,0.978758346625366,0.844201250917476,0.6680473926878288,0.4940219420559449,0.7535866011737107,0.6583641269329038,0.6671221354217615,0.5009411216272458,0.47268573509872186,0.5005038302095598,0.16913330573211663,0.16434598690198907,0.12507949931773787,0.16078005002187265,0.0693676440540903,0.10241751784512461,0.15691368190179011,0.06646483449349598,0.05841937355774354,0.08219269348729907,0.5347991689934717,0.2956497995203933,0.08764218438264529,0.09978670194489238
+BTC RSI2 TWAP3 15m,0.8915837664768853,0.978758346625366,1.0,0.8096139869774348,0.639887075237366,0.48186680241527374,0.722328397694036,0.6278437083062147,0.6372331601962168,0.48980692437648216,0.4645625576072157,0.47116464689986837,0.16280938492847613,0.14628527728590351,0.11547035979179118,0.14300738693347037,0.07940614751059516,0.09819874063269225,0.15665682902663255,0.054135590718930815,0.04364428145207882,0.07602047640666725,0.502367514286634,0.2734909396978604,0.07115808677611592,0.08636195373145625
+BTC RSI2 Price TWAP shallow 15m,0.8850322573966826,0.844201250917476,0.8096139869774348,1.0,0.8624400689268807,0.6572548126270246,0.9138675595623124,0.8548355981534067,0.8568294990008736,0.6586467722797253,0.6220926351737557,0.49302875062238116,0.16631159607409907,0.13777542347528077,0.11168794149247031,0.13156963697303187,0.08047496363766882,0.056301979386127216,0.15574463099294233,0.07638634252870266,0.07999615944776026,0.10250436417126536,0.5327269220236066,0.3002533014637088,0.10867065515052825,0.11929787037802142
+BTC RSI2 Price TWAP mid 15m,0.7085770295675993,0.6680473926878288,0.639887075237366,0.8624400689268807,1.0,0.7717049325064865,0.9686869838012278,0.9868760070600012,0.9559361799588675,0.762498670223461,0.7132586474294614,0.3772226866675365,0.1574807403199544,0.13464049957911653,0.1175533571789648,0.1265594545402926,0.09238738639817201,0.009418490220372734,0.1497784737213142,0.06269308681735236,0.018348340344349644,0.0678915706897039,0.399362412861111,0.234122131855737,0.06787574117070672,0.062230700835383373
+BTC RSI2 Price TWAP deep 15m,0.48804378803425424,0.4940219420559449,0.48186680241527374,0.6572548126270246,0.7717049325064865,1.0,0.7349682733287431,0.7763592161558803,0.7914173857106569,0.9750784418370194,0.9131024896204217,0.25215658486732284,0.11617896250189083,0.09398245215329605,0.08377288774890732,0.08745118305704276,0.06927264771684627,0.006324193878802855,0.08398266562331184,0.02861717773195526,-0.019958168711681105,0.017403924257187196,0.24281632859130667,0.13820353777025224,0.016788024213448684,0.0057603491701630535
+BTC RSI2 Price TWAP 2slice 15m,0.7934109801361195,0.7535866011737107,0.722328397694036,0.9138675595623124,0.9686869838012278,0.7349682733287431,1.0,0.9571463049466121,0.9427870333001873,0.7294173152138775,0.6854980120780247,0.41110597724830344,0.14935643363590792,0.12509838191648015,0.10739048457830376,0.11625849437642058,0.08816344617089916,0.022941902407575373,0.13916343649445678,0.05973496439297423,0.016277729502778896,0.07268351479737399,0.4330713369894103,0.24411530528751704,0.06553764916006763,0.05723707995621875
+BTC RSI2 Price TWAP mid fb2 15m,0.6996794597762216,0.6583641269329038,0.6278437083062147,0.8548355981534067,0.9868760070600012,0.7763592161558803,0.9571463049466121,1.0,0.9694082198622241,0.7673022837438493,0.7156764541647848,0.37215840896890345,0.15797287596605264,0.13280678611123956,0.11478187844453937,0.12448980875066513,0.09580553047390561,0.004852708576474143,0.1497327925089525,0.061381295311642256,0.025937927034051875,0.058812755471808385,0.39990726426920775,0.23410006560309649,0.06821480633404724,0.06897303660464964
+BTC RSI2 Price TWAP mid fb5 15m,0.7089600983260445,0.6671221354217615,0.6372331601962168,0.8568294990008736,0.9559361799588675,0.7914173857106569,0.9427870333001873,0.9694082198622241,1.0,0.7809029393299869,0.730135472220372,0.3800770917513485,0.13450951639815661,0.10862609255472808,0.0918795685607928,0.1033118293558568,0.08199331848565923,0.021629774404050058,0.11695960708048173,0.07985037676810101,0.02586491962304362,0.05226894069513914,0.3970339464654975,0.23926575104893893,0.07962131449520614,0.05876491743022451
+BTC RSI2 Price TWAP deep fb2 15m,0.4961806688108408,0.5009411216272458,0.48980692437648216,0.6586467722797253,0.762498670223461,0.9750784418370194,0.7294173152138775,0.7673022837438493,0.7809029393299869,1.0,0.9359031609304564,0.25297997086405877,0.11489653457232847,0.09127954903446774,0.08312835765510719,0.08732287708258539,0.06899510335847851,0.01308142292915814,0.08700848239665812,0.024924096907334218,-0.020294186693404805,0.01772516997207987,0.24712277896341428,0.13754683498218404,0.013866909059377637,0.00654305885860971
+BTC RSI2 Price TWAP deep fb5 15m,0.47221090706210384,0.47268573509872186,0.4645625576072157,0.6220926351737557,0.7132586474294614,0.9131024896204217,0.6854980120780247,0.7156764541647848,0.730135472220372,0.9359031609304564,1.0,0.2598092338658489,0.12641872266187854,0.09649339163268558,0.09203208137957566,0.0956566486296025,0.07162031174120319,0.00991671358820536,0.10391096762289397,0.030952653186094463,-0.019717261444714418,0.016788988844910896,0.24474397545891463,0.14115234148117486,0.017731507230524746,0.011522230247038485
+BTC Trend RSI-BB 15m,0.5405563148583317,0.5005038302095598,0.47116464689986837,0.49302875062238116,0.3772226866675365,0.25215658486732284,0.41110597724830344,0.37215840896890345,0.3800770917513485,0.25297997086405877,0.2598092338658489,1.0,0.05011782887649533,0.047417175144338825,0.05783787630214318,0.04263964224593342,0.05235274293309458,0.13052859494717753,0.05288526165597687,0.11487577449522317,0.12849546237770082,0.0539678886712941,0.578638988492405,0.24496716157610848,0.1458339332222717,0.13548869292546
+ETH RSI2 15m,0.1607623954360448,0.16913330573211663,0.16280938492847613,0.16631159607409907,0.1574807403199544,0.11617896250189083,0.14935643363590792,0.15797287596605264,0.13450951639815661,0.11489653457232847,0.12641872266187854,0.05011782887649533,1.0,0.7152060498872749,0.6257222196053707,0.7079301256789767,0.5002654333832097,0.07932579000945716,0.654329180131288,0.04473567762861024,0.06891476296867878,-0.035502909211964584,0.2616302657018623,0.3645141493457978,0.05171321427713063,0.25238764964255356
+ETH RSI2 Price TWAP mid 15m,0.14310969806038754,0.16434598690198907,0.14628527728590351,0.13777542347528077,0.13464049957911653,0.09398245215329605,0.12509838191648015,0.13280678611123956,0.10862609255472808,0.09127954903446774,0.09649339163268558,0.047417175144338825,0.7152060498872749,1.0,0.8484696700840192,0.9897991268860344,0.6060978575953561,0.03987259651455196,0.46717776765956137,0.07909789723588373,0.07624288513653225,-0.020718400990270138,0.21657061637751165,0.3073042324558612,0.08277455073065057,0.2048284149899676
+ETH RSI2 Price TWAP deep 15m,0.10782515623669958,0.12507949931773787,0.11547035979179118,0.11168794149247031,0.1175533571789648,0.08377288774890732,0.10739048457830376,0.11478187844453937,0.0918795685607928,0.08312835765510719,0.09203208137957566,0.05783787630214318,0.6257222196053707,0.8484696700840192,1.0,0.8528604306319457,0.7395500821480239,0.03132941623252872,0.39919578066028544,0.08472138583948441,0.0670586612372014,-0.014973269461340788,0.18591870650565498,0.2752554455897265,0.08419755268870742,0.17791615170656852
+ETH RSI2 Price TWAP mid fb2 15m,0.13902557593695175,0.16078005002187265,0.14300738693347037,0.13156963697303187,0.1265594545402926,0.08745118305704276,0.11625849437642058,0.12448980875066513,0.1033118293558568,0.08732287708258539,0.0956566486296025,0.04263964224593342,0.7079301256789767,0.9897991268860344,0.8528604306319457,1.0,0.6069171983707796,0.04343195784288537,0.4731028792544027,0.07959886039503657,0.07641072707685749,-0.021210190245072192,0.21507368149244527,0.3060575235540851,0.08294326462313084,0.20652908757104663
+ETH Robust Price TWAP 15m,0.059429430378550585,0.0693676440540903,0.07940614751059516,0.08047496363766882,0.09238738639817201,0.06927264771684627,0.08816344617089916,0.09580553047390561,0.08199331848565923,0.06899510335847851,0.07162031174120319,0.05235274293309458,0.5002654333832097,0.6060978575953561,0.7395500821480239,0.6069171983707796,1.0,0.021813139401260614,0.26478114073584624,0.05894420713735855,0.07293854559877411,-0.012232192064882238,0.14221843962184094,0.21088696187540573,0.07009805633203904,0.14484465006073932
+ETH Trend RSI-BB 15m,0.10297444305920593,0.10241751784512461,0.09819874063269225,0.056301979386127216,0.009418490220372734,0.006324193878802855,0.022941902407575373,0.004852708576474143,0.021629774404050058,0.01308142292915814,0.00991671358820536,0.13052859494717753,0.07932579000945716,0.03987259651455196,0.03132941623252872,0.04343195784288537,0.021813139401260614,1.0,0.08931258390415225,0.021319502485918913,0.01883723728313854,0.016148487564297737,0.1044383015296263,0.06287268059340621,0.022571544034905466,0.04137347612795014
+ETH/BTC RSI Filter 15m,0.16773466042486357,0.15691368190179011,0.15665682902663255,0.15574463099294233,0.1497784737213142,0.08398266562331184,0.13916343649445678,0.1497327925089525,0.11695960708048173,0.08700848239665812,0.10391096762289397,0.05288526165597687,0.654329180131288,0.46717776765956137,0.39919578066028544,0.4731028792544027,0.26478114073584624,0.08931258390415225,1.0,0.061399157020094984,0.0787455756369925,0.0425499903698113,0.3491854366850905,0.3531043104993577,0.08242267618917391,0.36116946289379176
+BTC Lead ETH Lag 15m,0.07049649981279181,0.06646483449349598,0.054135590718930815,0.07638634252870266,0.06269308681735236,0.02861717773195526,0.05973496439297423,0.061381295311642256,0.07985037676810101,0.024924096907334218,0.030952653186094463,0.11487577449522317,0.04473567762861024,0.07909789723588373,0.08472138583948441,0.07959886039503657,0.05894420713735855,0.021319502485918913,0.061399157020094984,1.0,0.4463440457981406,0.10720009952400525,0.3902362693164141,0.8440158383644315,0.871096771836345,0.4394102595099957
+BTC Lead ETH Lag 5m,0.06528622728767473,0.05841937355774354,0.04364428145207882,0.07999615944776026,0.018348340344349644,-0.019958168711681105,0.016277729502778896,0.025937927034051875,0.02586491962304362,-0.020294186693404805,-0.019717261444714418,0.12849546237770082,0.06891476296867878,0.07624288513653225,0.0670586612372014,0.07641072707685749,0.07293854559877411,0.01883723728313854,0.0787455756369925,0.4463440457981406,1.0,0.2743542322229632,0.7856769266607928,0.7127914074714373,0.7783110337453275,0.9574738246788318
+BTC Lead ETH Lag 3m,0.10819183141889763,0.08219269348729907,0.07602047640666725,0.10250436417126536,0.0678915706897039,0.017403924257187196,0.07268351479737399,0.058812755471808385,0.05226894069513914,0.01772516997207987,0.016788988844910896,0.0539678886712941,-0.035502909211964584,-0.020718400990270138,-0.014973269461340788,-0.021210190245072192,-0.012232192064882238,0.016148487564297737,0.0425499903698113,0.10720009952400525,0.2743542322229632,1.0,0.2529614772073081,0.1979039822949585,0.41121069627987183,0.26938773843863256
+Balanced 4,0.5764378081120193,0.5347991689934717,0.502367514286634,0.5327269220236066,0.399362412861111,0.24281632859130667,0.4330713369894103,0.39990726426920775,0.3970339464654975,0.24712277896341428,0.24474397545891463,0.578638988492405,0.2616302657018623,0.21657061637751165,0.18591870650565498,0.21507368149244527,0.14221843962184094,0.1044383015296263,0.3491854366850905,0.3902362693164141,0.7856769266607928,0.2529614772073081,1.0,0.7627202209595333,0.6472083499673009,0.8357767096865152
+Aggressive 5,0.3115587671992697,0.2956497995203933,0.2734909396978604,0.3002533014637088,0.234122131855737,0.13820353777025224,0.24411530528751704,0.23410006560309649,0.23926575104893893,0.13754683498218404,0.14115234148117486,0.24496716157610848,0.3645141493457978,0.3073042324558612,0.2752554455897265,0.3060575235540851,0.21088696187540573,0.06287268059340621,0.3531043104993577,0.8440158383644315,0.7127914074714373,0.1979039822949585,0.7627202209595333,1.0,0.9057189731377849,0.7713607644560637
+Lead Lag Basket,0.09900403912963758,0.08764218438264529,0.07115808677611592,0.10867065515052825,0.06787574117070672,0.016788024213448684,0.06553764916006763,0.06821480633404724,0.07962131449520614,0.013866909059377637,0.017731507230524746,0.1458339332222717,0.05171321427713063,0.08277455073065057,0.08419755268870742,0.08294326462313084,0.07009805633203904,0.022571544034905466,0.08242267618917391,0.871096771836345,0.7783110337453275,0.41121069627987183,0.6472083499673009,0.9057189731377849,1.0,0.7542996430545549
+ETH Focused 2,0.10862232744244234,0.09978670194489238,0.08636195373145625,0.11929787037802142,0.062230700835383373,0.0057603491701630535,0.05723707995621875,0.06897303660464964,0.05876491743022451,0.00654305885860971,0.011522230247038485,0.13548869292546,0.25238764964255356,0.2048284149899676,0.17791615170656852,0.20652908757104663,0.14484465006073932,0.04137347612795014,0.36116946289379176,0.4394102595099957,0.9574738246788318,0.26938773843863256,0.8357767096865152,0.7713607644560637,0.7542996430545549,1.0

reports/ultrashort/ultrashort-cost-scenarios.csv

@@ -3,59 +3,62 @@ BTC RSI2 Guarded 15m,maker_maker,71.80%,8.87%,41.15%,0.22
 BTC RSI2 Guarded 15m,maker_taker,-21.69%,-3.77%,55.49%,-0.07
 BTC RSI2 Guarded 15m,taker_taker,-64.33%,-14.95%,70.42%,-0.21
 BTC RSI2 TWAP2 15m,maker_maker,-5.36%,-0.86%,43.21%,-0.02
-BTC RSI2 TWAP2 15m,maker_taker,-52.39%,-11.01%,60.62%,-0.18
-BTC RSI2 TWAP2 15m,taker_taker,-76.06%,-20.12%,77.26%,-0.26
+BTC RSI2 TWAP2 15m,maker_taker,-52.39%,-11.00%,60.62%,-0.18
+BTC RSI2 TWAP2 15m,taker_taker,-76.06%,-20.11%,77.26%,-0.26
 BTC RSI2 TWAP3 15m,maker_maker,-19.94%,-3.43%,44.53%,-0.08
 BTC RSI2 TWAP3 15m,maker_taker,-55.16%,-11.84%,60.97%,-0.19
-BTC RSI2 TWAP3 15m,taker_taker,-74.89%,-19.52%,76.62%,-0.25
-BTC RSI2 Price TWAP shallow 15m,maker_maker,433.00%,30.07%,25.85%,1.16
-BTC RSI2 Price TWAP shallow 15m,maker_taker,189.39%,18.17%,28.62%,0.63
+BTC RSI2 TWAP3 15m,taker_taker,-74.89%,-19.51%,76.62%,-0.25
+BTC RSI2 Price TWAP shallow 15m,maker_maker,433.00%,30.06%,25.85%,1.16
+BTC RSI2 Price TWAP shallow 15m,maker_taker,189.39%,18.16%,28.62%,0.63
 BTC RSI2 Price TWAP shallow 15m,taker_taker,57.04%,7.35%,38.39%,0.19
-BTC RSI2 Price TWAP mid 15m,maker_maker,772.15%,40.53%,23.51%,1.72
-BTC RSI2 Price TWAP mid 15m,maker_taker,429.08%,29.92%,26.10%,1.15
-BTC RSI2 Price TWAP mid 15m,taker_taker,220.81%,20.10%,28.70%,0.70
-BTC RSI2 Price TWAP deep 15m,maker_maker,1187.47%,49.40%,12.32%,4.01
-BTC RSI2 Price TWAP deep 15m,maker_taker,771.25%,40.51%,13.56%,2.99
-BTC RSI2 Price TWAP deep 15m,taker_taker,489.38%,32.14%,15.55%,2.07
-BTC RSI2 Price TWAP 2slice 15m,maker_maker,428.16%,29.88%,27.37%,1.09
-BTC RSI2 Price TWAP 2slice 15m,maker_taker,218.92%,19.99%,29.92%,0.67
-BTC RSI2 Price TWAP 2slice 15m,taker_taker,92.49%,10.84%,34.93%,0.31
-BTC RSI2 Price TWAP mid fb2 15m,maker_maker,568.41%,34.78%,24.41%,1.42
-BTC RSI2 Price TWAP mid fb2 15m,maker_taker,318.24%,25.21%,26.82%,0.94
-BTC RSI2 Price TWAP mid fb2 15m,taker_taker,161.60%,16.31%,29.31%,0.56
-BTC RSI2 Price TWAP mid fb5 15m,maker_maker,259.41%,22.26%,24.41%,0.91
-BTC RSI2 Price TWAP mid fb5 15m,maker_taker,136.97%,14.52%,26.90%,0.54
-BTC RSI2 Price TWAP mid fb5 15m,taker_taker,56.18%,7.26%,33.02%,0.22
-BTC RSI2 Price TWAP deep fb2 15m,maker_maker,814.61%,41.58%,12.32%,3.37
-BTC RSI2 Price TWAP deep fb2 15m,maker_taker,533.20%,33.64%,13.56%,2.48
-BTC RSI2 Price TWAP deep fb2 15m,taker_taker,338.23%,26.13%,15.55%,1.68
-BTC RSI2 Price TWAP deep fb5 15m,maker_maker,486.06%,32.02%,12.12%,2.64
-BTC RSI2 Price TWAP deep fb5 15m,maker_taker,315.69%,25.09%,13.48%,1.86
-BTC RSI2 Price TWAP deep fb5 15m,taker_taker,194.75%,18.51%,15.72%,1.18
+BTC RSI2 Price TWAP mid 15m,maker_maker,772.15%,40.52%,23.51%,1.72
+BTC RSI2 Price TWAP mid 15m,maker_taker,429.08%,29.91%,26.10%,1.15
+BTC RSI2 Price TWAP mid 15m,taker_taker,220.81%,20.09%,28.70%,0.70
+BTC RSI2 Price TWAP deep 15m,maker_maker,1187.47%,49.38%,12.32%,4.01
+BTC RSI2 Price TWAP deep 15m,maker_taker,771.25%,40.49%,13.56%,2.99
+BTC RSI2 Price TWAP deep 15m,taker_taker,489.38%,32.13%,15.55%,2.07
+BTC RSI2 Price TWAP 2slice 15m,maker_maker,428.16%,29.87%,27.37%,1.09
+BTC RSI2 Price TWAP 2slice 15m,maker_taker,218.92%,19.98%,29.92%,0.67
+BTC RSI2 Price TWAP 2slice 15m,taker_taker,92.49%,10.83%,34.93%,0.31
+BTC RSI2 Price TWAP mid fb2 15m,maker_maker,568.41%,34.77%,24.41%,1.42
+BTC RSI2 Price TWAP mid fb2 15m,maker_taker,318.24%,25.20%,26.82%,0.94
+BTC RSI2 Price TWAP mid fb2 15m,taker_taker,161.60%,16.30%,29.31%,0.56
+BTC RSI2 Price TWAP mid fb5 15m,maker_maker,259.41%,22.25%,24.41%,0.91
+BTC RSI2 Price TWAP mid fb5 15m,maker_taker,136.97%,14.51%,26.90%,0.54
+BTC RSI2 Price TWAP mid fb5 15m,taker_taker,56.18%,7.25%,33.02%,0.22
+BTC RSI2 Price TWAP deep fb2 15m,maker_maker,814.61%,41.57%,12.32%,3.37
+BTC RSI2 Price TWAP deep fb2 15m,maker_taker,533.20%,33.63%,13.56%,2.48
+BTC RSI2 Price TWAP deep fb2 15m,taker_taker,338.23%,26.12%,15.55%,1.68
+BTC RSI2 Price TWAP deep fb5 15m,maker_maker,486.06%,32.01%,12.12%,2.64
+BTC RSI2 Price TWAP deep fb5 15m,maker_taker,315.69%,25.08%,13.48%,1.86
+BTC RSI2 Price TWAP deep fb5 15m,taker_taker,194.75%,18.50%,15.72%,1.18
 BTC Trend RSI-BB 15m,maker_maker,85.25%,10.17%,32.21%,0.32
 BTC Trend RSI-BB 15m,maker_taker,1.84%,0.29%,44.91%,0.01
 BTC Trend RSI-BB 15m,taker_taker,-44.04%,-8.72%,56.15%,-0.16
-ETH RSI2 15m,maker_maker,315.55%,25.16%,27.03%,0.93
-ETH RSI2 15m,maker_taker,156.76%,16.02%,30.84%,0.52
-ETH RSI2 15m,taker_taker,58.59%,7.54%,34.62%,0.22
+ETH RSI2 15m,maker_maker,315.55%,25.15%,27.03%,0.93
+ETH RSI2 15m,maker_taker,156.76%,16.01%,30.84%,0.52
+ETH RSI2 15m,taker_taker,58.59%,7.53%,34.62%,0.22
 ETH RSI2 Price TWAP mid 15m,maker_maker,210.95%,19.57%,15.40%,1.27
 ETH RSI2 Price TWAP mid 15m,maker_taker,124.76%,13.61%,16.52%,0.82
 ETH RSI2 Price TWAP mid 15m,taker_taker,62.42%,7.94%,20.53%,0.39
-ETH RSI2 Price TWAP deep 15m,maker_maker,370.22%,27.62%,8.97%,3.08
+ETH RSI2 Price TWAP deep 15m,maker_maker,370.22%,27.61%,8.97%,3.08
 ETH RSI2 Price TWAP deep 15m,maker_taker,255.57%,22.12%,9.92%,2.23
-ETH RSI2 Price TWAP deep 15m,taker_taker,168.80%,16.86%,10.87%,1.55
+ETH RSI2 Price TWAP deep 15m,taker_taker,168.80%,16.85%,10.87%,1.55
 ETH RSI2 Price TWAP mid fb2 15m,maker_maker,152.33%,15.70%,15.40%,1.02
 ETH RSI2 Price TWAP mid fb2 15m,maker_taker,84.95%,10.17%,16.52%,0.62
 ETH RSI2 Price TWAP mid fb2 15m,taker_taker,35.53%,4.91%,25.46%,0.19
-ETH Trend RSI-BB 15m,maker_maker,-93.49%,-35.03%,93.65%,-0.37
-ETH Trend RSI-BB 15m,maker_taker,-98.95%,-51.26%,98.96%,-0.52
-ETH Trend RSI-BB 15m,taker_taker,-99.83%,-63.44%,99.83%,-0.64
-ETH/BTC RSI Filter 15m,maker_maker,246.04%,21.65%,10.74%,2.02
-ETH/BTC RSI Filter 15m,maker_taker,168.73%,16.89%,11.23%,1.50
+ETH Robust Price TWAP 15m,maker_maker,654.47%,37.48%,9.77%,3.84
+ETH Robust Price TWAP 15m,maker_taker,459.02%,31.14%,10.21%,3.05
+ETH Robust Price TWAP 15m,taker_taker,314.10%,25.09%,10.64%,2.36
+ETH Trend RSI-BB 15m,maker_maker,-93.49%,-35.02%,93.65%,-0.37
+ETH Trend RSI-BB 15m,maker_taker,-98.95%,-51.25%,98.96%,-0.52
+ETH Trend RSI-BB 15m,taker_taker,-99.83%,-63.43%,99.83%,-0.64
+ETH/BTC RSI Filter 15m,maker_maker,246.04%,21.64%,10.74%,2.01
+ETH/BTC RSI Filter 15m,maker_taker,168.73%,16.88%,11.23%,1.50
 ETH/BTC RSI Filter 15m,taker_taker,108.65%,12.31%,11.72%,1.05
 BTC Lead ETH Lag 15m,maker_maker,100.19%,11.55%,72.42%,0.16
 BTC Lead ETH Lag 15m,maker_taker,-14.66%,-2.47%,81.09%,-0.03
-BTC Lead ETH Lag 15m,taker_taker,-63.65%,-14.74%,87.89%,-0.17
+BTC Lead ETH Lag 15m,taker_taker,-63.65%,-14.73%,87.89%,-0.17
 BTC Lead ETH Lag 5m,maker_maker,27.50%,3.90%,84.52%,0.05
 BTC Lead ETH Lag 5m,maker_taker,-54.41%,-11.64%,91.27%,-0.13
 BTC Lead ETH Lag 5m,taker_taker,-83.72%,-24.87%,95.08%,-0.26

reports/ultrashort/ultrashort-portfolio-horizons.csv

@@ -11,3 +11,7 @@ Lead Lag Basket,3y,36.63%,11.58%,19.75%,0.59
 Lead Lag Basket,1y,-1.74%,-1.74%,8.87%,-0.20
 Lead Lag Basket,6m,-2.86%,-5.68%,4.91%,-1.16
 Lead Lag Basket,3m,0.25%,1.01%,2.19%,0.46
+ETH Focused 2,3y,47.08%,14.00%,13.72%,1.02
+ETH Focused 2,1y,24.82%,24.82%,5.00%,4.96
+ETH Focused 2,6m,5.46%,11.25%,2.92%,3.86
+ETH Focused 2,3m,7.31%,33.10%,1.08%,30.57

reports/ultrashort/ultrashort-portfolio-monthly.csv

@@ -46,3 +46,19 @@ Lead Lag Basket,2025-12,-1.31%,"40,808"
 Lead Lag Basket,2026-01,0.00%,"40,808"
 Lead Lag Basket,2026-02,3.09%,"42,069"
 Lead Lag Basket,2026-03,-1.46%,"41,453"
+ETH Focused 2,2025-01,-8.12%,"22,209"
+ETH Focused 2,2025-02,0.03%,"22,215"
+ETH Focused 2,2025-03,6.68%,"23,699"
+ETH Focused 2,2025-04,6.47%,"25,232"
+ETH Focused 2,2025-05,4.37%,"26,335"
+ETH Focused 2,2025-06,2.93%,"27,107"
+ETH Focused 2,2025-07,5.81%,"28,683"
+ETH Focused 2,2025-08,-0.65%,"28,497"
+ETH Focused 2,2025-09,-1.17%,"28,164"
+ETH Focused 2,2025-10,-1.08%,"27,859"
+ETH Focused 2,2025-11,-1.14%,"27,542"
+ETH Focused 2,2025-12,-1.07%,"27,248"
+ETH Focused 2,2026-01,0.61%,"27,413"
+ETH Focused 2,2026-02,5.85%,"29,017"
+ETH Focused 2,2026-03,0.54%,"29,173"
+ETH Focused 2,2026-04,0.83%,"29,416"

reports/ultrashort/ultrashort-portfolio-summary.csv

@@ -2,3 +2,4 @@ portfolio,legs,3y_return,3y_annualized,3y_max_dd,3y_calmar
 Balanced 4,4,24.49%,7.62%,9.96%,0.77
 Aggressive 5,5,40.47%,12.06%,11.12%,1.09
 Lead Lag Basket,3,36.63%,11.58%,19.75%,0.59
+ETH Focused 2,2,47.08%,14.00%,13.72%,1.02

reports/ultrashort/ultrashort-recent-monthly.csv

@@ -255,6 +255,22 @@ ETH RSI2 Price TWAP mid fb2 15m,2026-01,-0.38%,"16,546"
 ETH RSI2 Price TWAP mid fb2 15m,2026-02,4.25%,"17,250"
 ETH RSI2 Price TWAP mid fb2 15m,2026-03,5.47%,"18,192"
 ETH RSI2 Price TWAP mid fb2 15m,2026-04,1.66%,"18,495"
+ETH Robust Price TWAP 15m,2025-01,0.09%,"36,121"
+ETH Robust Price TWAP 15m,2025-02,4.56%,"37,768"
+ETH Robust Price TWAP 15m,2025-03,-1.50%,"37,202"
+ETH Robust Price TWAP 15m,2025-04,10.83%,"41,231"
+ETH Robust Price TWAP 15m,2025-05,1.47%,"41,837"
+ETH Robust Price TWAP 15m,2025-06,7.31%,"44,895"
+ETH Robust Price TWAP 15m,2025-07,4.86%,"47,077"
+ETH Robust Price TWAP 15m,2025-08,-2.72%,"45,797"
+ETH Robust Price TWAP 15m,2025-09,0.00%,"45,797"
+ETH Robust Price TWAP 15m,2025-10,4.91%,"48,044"
+ETH Robust Price TWAP 15m,2025-11,0.17%,"48,125"
+ETH Robust Price TWAP 15m,2025-12,-5.92%,"45,277"
+ETH Robust Price TWAP 15m,2026-01,3.49%,"46,858"
+ETH Robust Price TWAP 15m,2026-02,7.95%,"50,583"
+ETH Robust Price TWAP 15m,2026-03,6.57%,"53,907"
+ETH Robust Price TWAP 15m,2026-04,3.70%,"55,902"
 ETH Trend RSI-BB 15m,2025-01,-11.94%,382
 ETH Trend RSI-BB 15m,2025-02,-10.90%,340
 ETH Trend RSI-BB 15m,2025-03,-8.85%,310

reports/ultrashort/ultrashort-recent-summary.csv

@@ -1,22 +1,23 @@
 strategy,bar,trades,3y_return,3y_annualized,3y_max_dd,3y_calmar
 BTC RSI2 Guarded 15m,15m,873,5.82%,1.90%,30.60%,0.06
-BTC RSI2 TWAP2 15m,15m,870,-16.23%,-5.74%,29.54%,-0.19
+BTC RSI2 TWAP2 15m,15m,870,-16.23%,-5.73%,29.54%,-0.19
 BTC RSI2 TWAP3 15m,15m,870,-21.35%,-7.70%,28.17%,-0.27
-BTC RSI2 Price TWAP shallow 15m,15m,689,121.55%,30.39%,16.87%,1.80
-BTC RSI2 Price TWAP mid 15m,15m,570,169.43%,39.18%,8.00%,4.90
-BTC RSI2 Price TWAP deep 15m,15m,449,150.01%,35.75%,7.04%,5.08
-BTC RSI2 Price TWAP 2slice 15m,15m,574,112.80%,28.65%,8.53%,3.36
-BTC RSI2 Price TWAP mid fb2 15m,15m,537,138.65%,33.66%,8.00%,4.21
-BTC RSI2 Price TWAP mid fb5 15m,15m,480,76.87%,20.95%,10.23%,2.05
-BTC RSI2 Price TWAP deep fb2 15m,15m,422,111.52%,28.39%,7.55%,3.76
-BTC RSI2 Price TWAP deep fb5 15m,15m,396,71.16%,19.63%,8.04%,2.44
+BTC RSI2 Price TWAP shallow 15m,15m,689,121.55%,30.37%,16.87%,1.80
+BTC RSI2 Price TWAP mid 15m,15m,570,169.43%,39.16%,8.00%,4.89
+BTC RSI2 Price TWAP deep 15m,15m,449,150.01%,35.73%,7.04%,5.07
+BTC RSI2 Price TWAP 2slice 15m,15m,574,112.80%,28.63%,8.53%,3.36
+BTC RSI2 Price TWAP mid fb2 15m,15m,537,138.65%,33.64%,8.00%,4.20
+BTC RSI2 Price TWAP mid fb5 15m,15m,480,76.87%,20.94%,10.23%,2.05
+BTC RSI2 Price TWAP deep fb2 15m,15m,422,111.52%,28.37%,7.55%,3.76
+BTC RSI2 Price TWAP deep fb5 15m,15m,396,71.16%,19.62%,8.04%,2.44
 BTC Trend RSI-BB 15m,15m,665,1.47%,0.49%,17.52%,0.03
-ETH RSI2 15m,15m,536,36.82%,11.08%,20.83%,0.53
-ETH RSI2 Price TWAP mid 15m,15m,372,58.87%,17.03%,15.65%,1.09
-ETH RSI2 Price TWAP deep 15m,15m,321,89.59%,24.28%,7.88%,3.08
-ETH RSI2 Price TWAP mid fb2 15m,15m,357,45.35%,13.55%,16.26%,0.83
-ETH Trend RSI-BB 15m,15m,2019,-82.94%,-44.53%,82.95%,-0.54
-ETH/BTC RSI Filter 15m,15m,282,41.55%,12.35%,9.42%,1.31
-BTC Lead ETH Lag 15m,15m,947,69.32%,19.27%,33.85%,0.57
+ETH RSI2 15m,15m,536,36.82%,11.07%,20.83%,0.53
+ETH RSI2 Price TWAP mid 15m,15m,372,58.87%,17.02%,15.65%,1.09
+ETH RSI2 Price TWAP deep 15m,15m,321,89.59%,24.26%,7.88%,3.08
+ETH RSI2 Price TWAP mid fb2 15m,15m,357,45.35%,13.54%,16.26%,0.83
+ETH Robust Price TWAP 15m,15m,339,158.97%,37.33%,7.89%,4.73
+ETH Trend RSI-BB 15m,15m,2019,-82.94%,-44.51%,82.95%,-0.54
+ETH/BTC RSI Filter 15m,15m,282,41.55%,12.34%,9.42%,1.31
+BTC Lead ETH Lag 15m,15m,947,69.32%,19.26%,33.85%,0.57
 BTC Lead ETH Lag 5m,5m,1142,52.61%,15.19%,21.86%,0.69
 BTC Lead ETH Lag 3m,3m,1076,-7.40%,-2.54%,32.81%,-0.08

reports/ultrashort/ultrashort-strategy-horizons.csv

@@ -63,6 +63,10 @@ ETH RSI2 Price TWAP mid fb2 15m,3y,45.67%,13.35%,16.26%,0.82
 ETH RSI2 Price TWAP mid fb2 15m,1y,30.75%,30.75%,7.45%,4.13
 ETH RSI2 Price TWAP mid fb2 15m,6m,4.90%,10.06%,7.45%,1.35
 ETH RSI2 Price TWAP mid fb2 15m,3m,11.78%,57.09%,2.93%,19.48
+ETH Robust Price TWAP 15m,3y,157.94%,37.10%,7.89%,4.70
+ETH Robust Price TWAP 15m,1y,35.58%,35.58%,7.89%,4.51
+ETH Robust Price TWAP 15m,6m,17.53%,38.26%,7.89%,4.85
+ETH Robust Price TWAP 15m,3m,19.30%,104.57%,0.69%,151.72
 ETH Trend RSI-BB 15m,3y,-82.59%,-44.13%,82.95%,-0.53
 ETH Trend RSI-BB 15m,1y,-65.04%,-65.04%,66.43%,-0.98
 ETH Trend RSI-BB 15m,6m,-49.18%,-74.27%,49.76%,-1.49

reports/ultrashort/ultrashort-worst-portfolio-months.csv

@@ -1,6 +1,7 @@
 portfolio,period,return,end_equity
 Lead Lag Basket,2025-01,-14.30%,"38,527"
 Aggressive 5,2025-01,-9.48%,"60,161"
+ETH Focused 2,2025-01,-8.12%,"22,209"
 Balanced 4,2025-01,-5.01%,"43,425"
 Aggressive 5,2025-12,-5.01%,"67,033"
 Lead Lag Basket,2025-08,-2.81%,"43,273"
@@ -10,4 +11,3 @@ Balanced 4,2025-09,-2.23%,"49,063"
 Aggressive 5,2025-11,-1.99%,"70,569"
 Lead Lag Basket,2025-11,-1.88%,"41,350"
 Balanced 4,2025-10,-1.54%,"48,308"
-Lead Lag Basket,2026-03,-1.46%,"41,453"

reports/ultrashort/ultrashort-worst-strategy-months.csv

@@ -15,7 +15,7 @@ ETH Trend RSI-BB 15m,2025-12,-7.33%,188
 ETH Trend RSI-BB 15m,2025-05,-7.07%,274
 ETH Trend RSI-BB 15m,2025-08,-6.91%,237
 BTC Lead ETH Lag 3m,2025-01,-6.73%,"9,361"
+ETH Robust Price TWAP 15m,2025-12,-5.92%,"45,277"
 BTC Trend RSI-BB 15m,2025-02,-5.81%,"10,266"
 ETH RSI2 15m,2025-11,-5.46%,"26,495"
 BTC RSI2 TWAP2 15m,2025-09,-5.24%,"4,888"
-BTC Trend RSI-BB 15m,2025-05,-5.17%,"11,071"

reports/ultrashort/ultrashort-yearly.csv

@@ -63,6 +63,10 @@ ETH RSI2 Price TWAP mid fb2 15m,2023,-3.85%,"9,615"
 ETH RSI2 Price TWAP mid fb2 15m,2024,8.63%,"10,445"
 ETH RSI2 Price TWAP mid fb2 15m,2025,24.97%,"13,053"
 ETH RSI2 Price TWAP mid fb2 15m,2026,11.35%,"14,535"
+ETH Robust Price TWAP 15m,2023,5.55%,"10,555"
+ETH Robust Price TWAP 15m,2024,58.39%,"16,718"
+ETH Robust Price TWAP 15m,2025,25.46%,"20,975"
+ETH Robust Price TWAP 15m,2026,23.47%,"25,897"
 ETH Trend RSI-BB 15m,2023,-27.26%,"7,274"
 ETH Trend RSI-BB 15m,2024,-3.58%,"7,014"
 ETH Trend RSI-BB 15m,2025,-56.73%,"3,035"
@@ -95,3 +99,7 @@ Lead Lag Basket,2023,18.20%,"35,862"
 Lead Lag Basket,2024,25.35%,"44,953"
 Lead Lag Basket,2025,-9.22%,"40,808"
 Lead Lag Basket,2026,1.58%,"41,453"
+ETH Focused 2,2023,14.18%,"22,837"
+ETH Focused 2,2024,5.85%,"24,173"
+ETH Focused 2,2025,12.72%,"27,248"
+ETH Focused 2,2026,7.96%,"29,416"

scripts/generate_ultrashort_report.py

@@ -238,13 +238,14 @@ def main() -> int:
         StrategySpec("ETH RSI2 Price TWAP mid 15m", "ETH-USDT-SWAP", "15m", explore.build_rsi2_long_guarded_price_twap_candidate(50, 3.0, 55.0, 0.008, 48, (0.001, 0.003, 0.005), 2)),
         StrategySpec("ETH RSI2 Price TWAP deep 15m", "ETH-USDT-SWAP", "15m", explore.build_rsi2_long_guarded_price_twap_candidate(50, 3.0, 55.0, 0.008, 48, (0.002, 0.005, 0.008), 3)),
         StrategySpec("ETH RSI2 Price TWAP mid fb2 15m", "ETH-USDT-SWAP", "15m", explore.build_rsi2_long_guarded_price_twap_candidate(50, 3.0, 55.0, 0.008, 48, (0.001, 0.003, 0.005), 2, 0.0002)),
+        StrategySpec("ETH Robust Price TWAP 15m", "ETH-USDT-SWAP", "15m", explore.build_rsi2_long_guarded_price_twap_candidate(60, 3.0, 50.0, 0.012, 48, (0.003, 0.006, 0.009), 4, 0.0)),
         StrategySpec("ETH Trend RSI-BB 15m", "ETH-USDT-SWAP", "15m", explore.build_trend_rsi_bb_long_candidate(480, 20, 2.0, 5.0, 45.0, 0.005)),
         StrategySpec("ETH/BTC RSI Filter 15m", "ETH-USDT-SWAP", "15m", explore.build_eth_btc_rsi_filter_candidate(50, 3.0, 55.0, 480, 240, 0.0), True),
         StrategySpec("BTC Lead ETH Lag 15m", "ETH-USDT-SWAP", "15m", explore.build_btc_lead_eth_lag_candidate(16, 0.024, 0.006, 32, 0.008, 0.018), True),
         StrategySpec("BTC Lead ETH Lag 5m", "ETH-USDT-SWAP", "5m", explore.build_btc_lead_eth_lag_candidate(16, 0.018, 0.006, 32, 0.006, 0.018), True),
         StrategySpec("BTC Lead ETH Lag 3m", "ETH-USDT-SWAP", "3m", explore.build_btc_lead_eth_lag_candidate(8, 0.012, 0.006, 32, 0.006, 0.012), True),
     ]
-    colors = ["#2563eb", "#16a34a", "#0f766e", "#65a30d", "#84cc16", "#ca8a04", "#f97316", "#a3e635", "#bef264", "#facc15", "#fde047", "#dc2626", "#059669", "#22c55e", "#10b981", "#14b8a6", "#7c3aed", "#ea580c", "#0891b2", "#be123c", "#4b5563"]
+    colors = ["#2563eb", "#16a34a", "#0f766e", "#65a30d", "#84cc16", "#ca8a04", "#f97316", "#a3e635", "#bef264", "#facc15", "#fde047", "#dc2626", "#059669", "#22c55e", "#10b981", "#14b8a6", "#7c3aed", "#ea580c", "#0891b2", "#be123c", "#4b5563", "#9333ea"]
     result_rows: list[dict[str, object]] = []
     monthly_rows: list[dict[str, object]] = []
     monthly_raw_rows: list[dict[str, object]] = []
@@ -353,6 +354,13 @@ def main() -> int:
                 "BTC Lead ETH Lag 3m",
             ],
         ),
+        (
+            "ETH Focused 2",
+            [
+                "ETH/BTC RSI Filter 15m",
+                "BTC Lead ETH Lag 5m",
+            ],
+        ),
     ]
     portfolio_rows: list[dict[str, object]] = []
     portfolio_monthly_rows: list[dict[str, object]] = []
@@ -360,7 +368,7 @@ def main() -> int:
     portfolio_curves: list[dict[str, object]] = []
     portfolio_equities: dict[str, pd.DataFrame] = {}
     portfolio_horizon_rows: list[dict[str, object]] = []
-    portfolio_colors = ["#111827", "#b45309", "#0f766e"]
+    portfolio_colors = ["#111827", "#b45309", "#0f766e", "#7c3aed"]
     overlay_rows: list[dict[str, object]] = []
     overlay_horizon_rows: list[dict[str, object]] = []
     overlay_curves: list[dict[str, object]] = []
@@ -536,7 +544,7 @@ def main() -> int:
   <section class="panel">{correlation_rows.round(3).to_html(index=False, escape=True)}</section>
   <h2>2025-2026 月度收益</h2>
   <section class="panel">{render_table(monthly_frame, ["strategy", "period", "return", "end_equity"])}</section>
-  <p class="note">组合按近 3 年起点等资金分配，不做月度再平衡。月度收益按成本调整后的闭合交易权益计算；若月内无平仓交易，收益可能显示为 0。</p>
+  <p class="note">组合按近 3 年起点等资金分配，不做月度再平衡。月度收益按成本调整后的闭合交易权益计算；若月内无平仓交易，收益可能显示为 0。BB squeeze risk 低回撤候选保留观察：现有可复用逻辑只在探索脚本中，接入主报告需要搬运完整 runner，本轮不接入。</p>
 </main>
 </body>
 </html>