Revalidate high frequency and fusion candidates

reports/eth-exploration/long-short-fusion-recent-trigger-evidence-components.csv

@@ -0,0 +1,97 @@
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reports/eth-exploration/long-short-fusion-recent-trigger-evidence-daily.csv

@@ -0,0 +1,373 @@
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+fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03,2026-05-08,0.0020211638029205403,False,1,1,True,0.0020211638029205403,False,0.0,False,0.0,False,0.0,,
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+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-25,0.0009721384332130211,False,1,1,True,0.0009721384332130211,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-26,0.007478246126140686,False,1,1,True,0.007478246126140686,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-27,-0.00947352607748082,False,1,1,True,-0.00947352607748082,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-28,-0.004208710365785062,False,1,1,True,-0.004208710365785062,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-29,-0.004901377561362396,False,1,1,True,-0.004901377561362396,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-04-30,0.0020818388808532705,False,1,1,True,0.0020818388808532705,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-01,0.0089009534713402,False,1,1,True,0.0089009534713402,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-02,0.003327106680855229,False,1,1,True,0.003327106680855229,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-03,0.00021328202533393845,False,1,1,True,0.00021328202533393845,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-04,0.005875116405271097,False,1,1,True,0.005875116405271097,False,0.0,False,0.0,False,0.0,,
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+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-07,-0.00924432807263354,False,1,1,True,-0.00924432807263354,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-08,0.001969778282507306,False,1,1,True,0.001969778282507306,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-09,0.003073069385686322,False,1,1,True,0.003073069385686322,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-10,0.008367135354411092,False,1,1,True,0.008367135354411092,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-11,-0.004147862791404488,False,1,1,True,-0.004147862791404488,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-12,-0.009276876539384209,False,1,1,True,-0.009276876539384209,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-13,-0.004651168012632522,False,1,1,True,-0.004651168012632522,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-14,0.009538066783634856,False,1,1,True,0.009538066783634856,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-15,-0.010520011321835075,False,1,1,True,-0.010520011321835075,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-16,-0.005331463232955014,False,1,1,True,-0.005331463232955014,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-17,-0.0038119328751768876,False,1,1,True,-0.0038119328751768876,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-18,-0.002476768644798793,False,1,1,True,-0.002476768644798793,False,0.0,False,0.0,False,0.0,,
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,0.0010041239525074852,False,1,1,True,0.0010041239525074852,False,0.0,False,0.0,False,0.0,,

reports/eth-exploration/long-short-fusion-recent-trigger-evidence.csv

@@ -0,0 +1,13 @@
+name,last_date,included_components,prior_report_trades_30d,prior_report_trades_14d,prior_report_return_30d,prior_report_return_14d,recomputed_return_30d,component_entry_events_30d,component_exit_events_30d,fusion_target_change_days_30d,component_contribution_days_30d,recomputed_return_14d,component_entry_events_14d,component_exit_events_14d,fusion_target_change_days_14d,component_contribution_days_14d,recent_activity_found
+fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.01905624420063079,1,0,1,27,-0.024906908197962707,0,0,0,15,True
+fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00,2026-05-19,"long_rotation_riskoff00,btc_risk_short,btc_4h_vol_short,eth_4h_vol_short_gated",0,0,0.0,0.0,-0.019056244200631012,1,0,1,27,-0.024906908197962707,0,0,0,15,True
+fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.018552343470344845,1,0,1,27,-0.024258318966908443,0,0,0,15,True
+fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00,2026-05-19,"long_rotation_riskoff00,btc_risk_short,btc_4h_vol_short,eth_4h_vol_short_gated",0,0,0.0,0.0,-0.01855234347034518,1,0,1,27,-0.024258318966908998,0,0,0,15,True
+fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.018216606357494225,1,0,1,27,-0.023825889143007206,0,0,0,15,True
+fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00,2026-05-19,"long_rotation_riskoff00,btc_risk_short,btc_4h_vol_short,eth_4h_vol_short_gated",0,0,0.0,0.0,-0.018216606357494114,1,0,1,27,-0.023825889143006984,0,0,0,15,True
+fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.01788102687166715,1,0,1,27,-0.023393429847535452,0,0,0,15,True
+fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.019056244200630568,1,0,1,27,-0.024906908197962263,0,0,0,15,True
+fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00,2026-05-19,"long_rotation_riskoff00,btc_risk_short,btc_4h_vol_short,eth_4h_vol_short_gated",0,0,0.0,0.0,-0.017881026871667816,1,0,1,27,-0.023393429847535452,0,0,0,15,True
+fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00,2026-05-19,"long_rotation_riskoff00,btc_risk_short,btc_4h_vol_short,eth_4h_vol_short_gated",0,0,0.0,0.0,-0.01905624420063079,1,0,1,27,-0.024906908197962485,0,0,0,15,True
+fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.01956049833245499,1,0,1,27,-0.025555430486660202,0,0,0,15,True
+fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06,2026-05-19,"long_rotation_riskoff00,btc_risk_short,eth_4h_vol_short_gated,btc_4h_vol_short_gated",0,0,0.0,0.0,-0.019056244200631123,1,0,1,27,-0.024906908197962374,0,0,0,15,True

reports/eth-exploration/long-short-fusion-recent-trigger-evidence.md

@@ -0,0 +1,219 @@
+# Long-Short Fusion Recent Trigger Evidence
+
+Run command: `rtk .venv/bin/python scripts/diagnose_long_short_fusion_recent_triggers.py --years 8.0 --limit 12`
+
+Scope: offline reconstruction from local cached candles and existing reports only. No live executor, deployment, credentials, or order submission path was touched.
+
+Objective: check whether the previous long-short fusion near-miss rows truly had no recent trades, or whether `scripts/explore_eth_bidir_fusion_candidates.py` only filled 30d/14d trigger fields with zero because fusion outputs lacked those fields.
+
+Output files:
+- `reports/eth-exploration/long-short-fusion-recent-trigger-evidence.csv`
+- `reports/eth-exploration/long-short-fusion-recent-trigger-evidence-components.csv`
+- `reports/eth-exploration/long-short-fusion-recent-trigger-evidence-daily.csv`
+- `reports/eth-exploration/long-short-fusion-recent-trigger-evidence.md`
+
+Conclusion: The previous near-miss fusion report did not prove no recent activity; it lacked the required 30d/14d trigger accounting.
+Observer decision: Worth a read-only observer only if it logs component-level activity and target changes; the current search output alone is insufficient.
+
+## Candidate Summary
+
+| name | recomputed_return_30d | recomputed_return_14d | component_entry_events_30d | component_exit_events_30d | component_entry_events_14d | component_exit_events_14d | fusion_target_change_days_30d | fusion_target_change_days_14d | component_contribution_days_30d | component_contribution_days_14d | recent_activity_found |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | -0.0190562 | -0.0249069 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | -0.0190562 | -0.0249069 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | -0.0185523 | -0.0242583 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | -0.0185523 | -0.0242583 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | -0.0182166 | -0.0238259 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | -0.0182166 | -0.0238259 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | -0.017881 | -0.0233934 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | -0.0190562 | -0.0249069 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | -0.017881 | -0.0233934 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | -0.0190562 | -0.0249069 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | -0.0195605 | -0.0255554 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | -0.0190562 | -0.0249069 | 1 | 0 | 0 | 0 | 1 | 0 | 27 | 15 | True |
+
+## Component Evidence
+
+| name | window | component | component_weight | active_days | contribution_days | entry_events | exit_events | latest_event_time |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | long_rotation_riskoff00 | 1.15 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | long_rotation_riskoff00 | 1.15 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | long_rotation_riskoff00 | 1.15 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | long_rotation_riskoff00 | 1.15 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | long_rotation_riskoff00 | 1.12 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | long_rotation_riskoff00 | 1.12 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | long_rotation_riskoff00 | 1.12 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | long_rotation_riskoff00 | 1.12 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | long_rotation_riskoff00 | 1.1 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | long_rotation_riskoff00 | 1.1 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | long_rotation_riskoff00 | 1.1 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | long_rotation_riskoff00 | 1.1 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.10-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | long_rotation_riskoff00 | 1.08 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | long_rotation_riskoff00 | 1.08 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 30d | long_rotation_riskoff00 | 1.15 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 30d | btc_4h_vol_short_gated | 0.04 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 14d | long_rotation_riskoff00 | 1.15 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.04 | 14d | btc_4h_vol_short_gated | 0.04 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | long_rotation_riskoff00 | 1.08 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | long_rotation_riskoff00 | 1.08 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | btc_4h_vol_short | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 30d | long_rotation_riskoff00 | 1.15 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 30d | btc_4h_vol_short | 0.04 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 14d | long_rotation_riskoff00 | 1.15 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 14d | btc_4h_vol_short | 0.04 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 30d | long_rotation_riskoff00 | 1.18 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 30d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 30d | btc_4h_vol_short_gated | 0.03 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 14d | long_rotation_riskoff00 | 1.18 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 14d | btc_risk_short | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.18-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.03 | 14d | btc_4h_vol_short_gated | 0.03 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | long_rotation_riskoff00 | 1.15 | 27 | 27 | 1 | 0 | 2026-04-23 00:00:00+00:00 |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_risk_short | 0.1 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 30d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | long_rotation_riskoff00 | 1.15 | 15 | 15 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_risk_short | 0.1 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | eth_4h_vol_short_gated | 0.12 | 0 | 0 | 0 | 0 |  |
+| fusion-lr_riskoff00-l1.15-brs0.10-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 14d | btc_4h_vol_short_gated | 0.06 | 0 | 0 | 0 | 0 |  |
+
+## Recent Daily Evidence
+
+| name | date | fusion_daily_return | fusion_target_changed | active_component_count | contributing_component_count | long_rotation_riskoff00_active | long_rotation_riskoff00_contribution | btc_risk_short_active | btc_risk_short_contribution | eth_4h_vol_short_gated_active | eth_4h_vol_short_gated_contribution | btc_4h_vol_short_gated_active | btc_4h_vol_short_gated_contribution | btc_4h_vol_short_active | btc_4h_vol_short_contribution |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-23 | -0.00457978 | True | 1 | 1 | True | -0.00457978 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-24 | -0.00363551 | False | 1 | 1 | True | -0.00363551 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-25 | 0.000972138 | False | 1 | 1 | True | 0.000972138 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-26 | 0.00747825 | False | 1 | 1 | True | 0.00747825 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-27 | -0.00947353 | False | 1 | 1 | True | -0.00947353 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-28 | -0.00420871 | False | 1 | 1 | True | -0.00420871 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-29 | -0.00490138 | False | 1 | 1 | True | -0.00490138 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-30 | 0.00208184 | False | 1 | 1 | True | 0.00208184 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-01 | 0.00890095 | False | 1 | 1 | True | 0.00890095 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-02 | 0.00332711 | False | 1 | 1 | True | 0.00332711 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-03 | 0.000213282 | False | 1 | 1 | True | 0.000213282 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-04 | 0.00587512 | False | 1 | 1 | True | 0.00587512 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-05 | 0.00411666 | False | 1 | 1 | True | 0.00411666 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-06 | 0.000559339 | False | 1 | 1 | True | 0.000559339 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-07 | -0.00924433 | False | 1 | 1 | True | -0.00924433 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-08 | 0.00196978 | False | 1 | 1 | True | 0.00196978 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-09 | 0.00307307 | False | 1 | 1 | True | 0.00307307 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-10 | 0.00836714 | False | 1 | 1 | True | 0.00836714 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-11 | -0.00414786 | False | 1 | 1 | True | -0.00414786 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-12 | -0.00927688 | False | 1 | 1 | True | -0.00927688 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-13 | -0.00465117 | False | 1 | 1 | True | -0.00465117 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-14 | 0.00953807 | False | 1 | 1 | True | 0.00953807 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-15 | -0.01052 | False | 1 | 1 | True | -0.01052 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-16 | -0.00533146 | False | 1 | 1 | True | -0.00533146 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-17 | -0.00381193 | False | 1 | 1 | True | -0.00381193 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-18 | -0.00247677 | False | 1 | 1 | True | -0.00247677 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-19 | 0.00100412 | False | 1 | 1 | True | 0.00100412 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-23 | -0.00457978 | True | 1 | 1 | True | -0.00457978 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-24 | -0.00363551 | False | 1 | 1 | True | -0.00363551 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-25 | 0.000972138 | False | 1 | 1 | True | 0.000972138 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-26 | 0.00747825 | False | 1 | 1 | True | 0.00747825 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-27 | -0.00947353 | False | 1 | 1 | True | -0.00947353 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-28 | -0.00420871 | False | 1 | 1 | True | -0.00420871 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-29 | -0.00490138 | False | 1 | 1 | True | -0.00490138 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-04-30 | 0.00208184 | False | 1 | 1 | True | 0.00208184 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-01 | 0.00890095 | False | 1 | 1 | True | 0.00890095 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-02 | 0.00332711 | False | 1 | 1 | True | 0.00332711 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-03 | 0.000213282 | False | 1 | 1 | True | 0.000213282 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-04 | 0.00587512 | False | 1 | 1 | True | 0.00587512 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-05 | 0.00411666 | False | 1 | 1 | True | 0.00411666 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-06 | 0.000559339 | False | 1 | 1 | True | 0.000559339 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-07 | -0.00924433 | False | 1 | 1 | True | -0.00924433 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-08 | 0.00196978 | False | 1 | 1 | True | 0.00196978 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-09 | 0.00307307 | False | 1 | 1 | True | 0.00307307 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-10 | 0.00836714 | False | 1 | 1 | True | 0.00836714 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-11 | -0.00414786 | False | 1 | 1 | True | -0.00414786 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-12 | -0.00927688 | False | 1 | 1 | True | -0.00927688 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-13 | -0.00465117 | False | 1 | 1 | True | -0.00465117 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-14 | 0.00953807 | False | 1 | 1 | True | 0.00953807 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-15 | -0.01052 | False | 1 | 1 | True | -0.01052 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-16 | -0.00533146 | False | 1 | 1 | True | -0.00533146 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-17 | -0.00381193 | False | 1 | 1 | True | -0.00381193 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-18 | -0.00247677 | False | 1 | 1 | True | -0.00247677 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.15-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00 | 2026-05-19 | 0.00100412 | False | 1 | 1 | True | 0.00100412 | False | 0 | False | 0 |  |  | False | 0 |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-23 | -0.0044603 | True | 1 | 1 | True | -0.0044603 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-24 | -0.00354067 | False | 1 | 1 | True | -0.00354067 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-25 | 0.000946778 | False | 1 | 1 | True | 0.000946778 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-26 | 0.00728316 | False | 1 | 1 | True | 0.00728316 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-27 | -0.00922639 | False | 1 | 1 | True | -0.00922639 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-28 | -0.00409892 | False | 1 | 1 | True | -0.00409892 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-29 | -0.00477352 | False | 1 | 1 | True | -0.00477352 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-04-30 | 0.00202753 | False | 1 | 1 | True | 0.00202753 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-01 | 0.00866875 | False | 1 | 1 | True | 0.00866875 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-02 | 0.00324031 | False | 1 | 1 | True | 0.00324031 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-03 | 0.000207718 | False | 1 | 1 | True | 0.000207718 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-04 | 0.00572185 | False | 1 | 1 | True | 0.00572185 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-05 | 0.00400927 | False | 1 | 1 | True | 0.00400927 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-06 | 0.000544747 | False | 1 | 1 | True | 0.000544747 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-07 | -0.00900317 | False | 1 | 1 | True | -0.00900317 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-08 | 0.00191839 | False | 1 | 1 | True | 0.00191839 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-09 | 0.0029929 | False | 1 | 1 | True | 0.0029929 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-10 | 0.00814886 | False | 1 | 1 | True | 0.00814886 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-11 | -0.00403966 | False | 1 | 1 | True | -0.00403966 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-12 | -0.00903487 | False | 1 | 1 | True | -0.00903487 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-13 | -0.00452983 | False | 1 | 1 | True | -0.00452983 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-14 | 0.00928925 | False | 1 | 1 | True | 0.00928925 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-15 | -0.0102456 | False | 1 | 1 | True | -0.0102456 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-16 | -0.00519238 | False | 1 | 1 | True | -0.00519238 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-17 | -0.00371249 | False | 1 | 1 | True | -0.00371249 | False | 0 | False | 0 | False | 0 |  |  |
+| fusion-lr_riskoff00-l1.12-brs0.12-eth4hs0.00-btc4hs0.00-eg0.12-bg0.06 | 2026-05-18 | -0.00241216 | False | 1 | 1 | True | -0.00241216 | False | 0 | False | 0 | False | 0 |  |  |

reports/ultrashort/eth-highfreq-short-bidir-revalidation-candidates.csv

@@ -0,0 +1,31 @@
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+ETH-USDT-SWAP,3m,rsi_bidir,rsi_bidir-3m-trend192-entry10-exit55-stop0.0075-take0.01-hold12,"{""trend"":192,""entry"":10,""exit"":55,""stop"":0.0075,""take"":0.01,""hold"":12}",2019-12-25 09:42,2026-05-19 08:39,-1.0,0.0,1.0,0.0,302331,203688,98643,0.30035284117180755,0.23805034878990247,-1.0,0.0,1.0,0.0,142663,97205,45458,0.22548199785282752,0.2039561764437871,-1.0,0.0,1.0,0.0,47411,32101,15310,0.23775174148540373,0.21705933222248003,-1.0,0.0,1.0,0.0,23886,16462,7424,0.22229996905699675,0.19680984677216778,-0.9999999999994641,-1.0,0.9999999999994663,-1.0000000000005338,11815,8097,3718,0.17949751143334902,0.1803639441388066,-0.9999407784217361,-1.0,0.999940778421736,-1.000059225085667,3986,2645,1341,0.10467241129815427,0.13948820873055695,-0.9895422960615857,-1.0,0.9895422960615857,-1.0105682232887228,1947,1380,567,0.10491135480136629,0.14227015921931177,27575,no
+ETH-USDT-SWAP,3m,rsi_bidir,rsi_bidir-3m-trend96-entry10-exit55-stop0.0075-take0.01-hold12,"{""trend"":96,""entry"":10,""exit"":55,""stop"":0.0075,""take"":0.01,""hold"":12}",2019-12-25 04:54,2026-05-19 08:39,-1.0,0.0,1.0,0.0,296569,203288,93281,0.2996998820814705,0.23542244806436277,-1.0,0.0,1.0,0.0,139182,95872,43310,0.22547078639807291,0.2025692977540199,-1.0,0.0,1.0,0.0,46447,32001,14446,0.2401901766846988,0.21605270523392253,-1.0,0.0,1.0,0.0,23259,16078,7181,0.22869304195514734,0.1970420052452814,-0.9999999999993915,-1.0,0.9999999999993924,-1.0000000000006077,11563,7976,3587,0.1766359180983528,0.17512756205137076,-0.9999178038880995,-1.0,0.9999178038880995,-1.0000822028686567,3898,2631,1267,0.11464544306551198,0.13904566444330427,-0.9871290319790808,-1.0,0.9871290319790808,-1.0130387898683462,1888,1344,544,0.11579783913905192,0.14459745762711865,26911,no
+ETH-USDT-SWAP,5m,rsi_bidir,rsi_bidir-5m-trend192-entry10-exit55-stop0.0075-take0.01-hold12,"{""trend"":192,""entry"":10,""exit"":55,""stop"":0.0075,""take"":0.01,""hold"":12}",2019-12-25 16:10,2026-05-19 08:35,-1.0,0.0,1.0,0.0,182869,123650,59219,0.3940356000668524,0.28413782543788174,-1.0,0.0,1.0,0.0,86290,58772,27518,0.3060343819606926,0.24853401321126434,-1.0,0.0,1.0,0.0,28632,19353,9279,0.3350657364430399,0.2661008661637329,-0.9999999999999989,-1.0,0.999999999999999,-1.000000000000001,14470,10034,4436,0.3110837214414689,0.24167242570836212,-0.9999999713457122,-1.0,0.9999999713683775,-1.0000000286316233,7193,5002,2191,0.24784294378207247,0.22063116919227027,-0.9961222297157167,-1.0,0.9961252970033192,-1.0038897747184388,2418,1655,763,0.17904335220051398,0.18610421836228289,-0.9157169542677916,-1.0,0.9158826124257149,-1.0918429790380015,1178,864,314,0.18734374757390188,0.19439728353140917,16741,no
+ETH-USDT-SWAP,5m,rsi_bidir,rsi_bidir-5m-trend96-entry10-exit55-stop0.0075-take0.01-hold12,"{""trend"":96,""entry"":10,""exit"":55,""stop"":0.0075,""take"":0.01,""hold"":12}",2019-12-25 08:10,2026-05-19 08:35,-1.0,0.0,1.0,0.0,179246,122721,56525,0.3892119511049705,0.27921961996362543,-1.0,0.0,1.0,0.0,84366,58000,26366,0.3061044584154047,0.24530023943294693,-1.0,0.0,1.0,0.0,28055,19235,8820,0.3324527763260516,0.26252004990197825,-0.9999999999999982,-1.0,0.9999999999999983,-1.0000000000000018,14148,9830,4318,0.30611992274507077,0.2384789369522194,-0.9999999446700316,-1.0,0.9999999447460334,-1.0000000552539696,6981,4808,2173,0.25366523213243297,0.22088525999140524,-0.9950476099293546,-1.0,0.995051527233257,-1.0049730819272267,2322,1572,750,0.1805193909983936,0.18690783807062877,-0.9045602752207461,-1.0,0.9046357673368715,-1.1054172696972488,1108,801,307,0.191011380965091,0.194043321299639,16057,no

reports/ultrashort/eth-highfreq-short-bidir-revalidation-report.md

@@ -0,0 +1,73 @@
+# ETH high-frequency short/bidirectional revalidation
+
+Run command: `rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/revalidate_eth_high_freq_short_bidir_candidates.py --bars 3m 5m 15m`
+Scope: offline only; local refreshed 3m/5m/15m OKX ETH candle cache; no live executor, deployment, private API, or order path touched.
+Cost model: taker fee `0.0004` each side on `3x` notional; entries execute on next open.
+
+Output files:
+- `reports/ultrashort/eth-highfreq-short-bidir-revalidation-candidates.csv`
+- `reports/ultrashort/eth-highfreq-short-bidir-revalidation-summary.csv`
+- `reports/ultrashort/eth-highfreq-short-bidir-revalidation-report.md`
+
+Cache used:
+
+| bar | rows | first_time | last_time | history_exhausted |
+| --- | --- | --- | --- | --- |
+| 3m | 1121934 | 2019-12-25 00:00 | 2026-05-19 08:39 | True |
+| 5m | 673160 | 2019-12-25 00:00 | 2026-05-19 08:35 | True |
+| 15m | 224387 | 2019-12-25 00:00 | 2026-05-19 08:30 | True |
+
+Windows compared: full, 3y, 1y, 6m, 3m, 30d, 14d.
+Read-only observation rule: 3m >= 12 trades, 30d >= 4 trades, 14d >= 1 trade, positive full/3y/1y return, 3y MDD <= 35%, 1y MDD <= 25%, and 1y profit factor >= 1.05.
+
+Conclusion: Long-term status: still disastrous. The full, 3y, and 1y windows have zero positive candidates under the original high-frequency short/bidir candidate set. No read-only observation candidates passed the rule.
+
+## Horizon Summary
+
+| horizon | positive_candidates | non_disaster_candidates | best_total_return | median_total_return | worst_total_return | median_max_drawdown | max_trades | best_name |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| full | 0 | 0 | -0.9982 | -1.0000 | -1.0000 | 1.0000 | 302331 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 3y | 0 | 0 | -0.8812 | -1.0000 | -1.0000 | 1.0000 | 142663 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 1y | 0 | 1 | -0.2016 | -1.0000 | -1.0000 | 1.0000 | 47411 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 6m | 1 | 3 | 0.0550 | -0.9944 | -1.0000 | 0.9947 | 23886 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 3m | 2 | 4 | 0.1676 | -0.9356 | -1.0000 | 0.9418 | 11815 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 30d | 0 | 15 | -0.0644 | -0.4839 | -0.9999 | 0.5133 | 3986 | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 |
+| 14d | 0 | 20 | -0.0021 | -0.2788 | -0.9895 | 0.2845 | 1947 | vwap_short-15m-window48-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 |
+
+## Read-only Observation Candidates
+
+No candidates passed the read-only observation rule.
+
+## Least-bad Long-term Rows
+
+| family | bar | name | full_total_return | full_max_drawdown | full_trades | 3y_total_return | 1y_total_return | 6m_total_return | 3m_total_return | 30d_total_return | 14d_total_return | 3m_trades | 30d_trades | 14d_trades | readonly_observe |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| breakdown_short | 15m | breakdown_short-15m-lookback96-stop0.006-take0.012-hold12 | -0.9982 | 0.9985 | 2210 | -0.8812 | -0.2016 | 0.0550 | 0.1676 | -0.0644 | -0.0080 | 74 | 19 | 10 | no |
+| breakdown_short | 15m | breakdown_short-15m-lookback48-stop0.006-take0.012-hold12 | -1.0000 | 1.0000 | 3486 | -0.9817 | -0.6627 | -0.3055 | 0.0211 | -0.0900 | -0.0742 | 113 | 32 | 16 | no |
+| breakdown_short | 5m | breakdown_short-5m-lookback96-stop0.006-take0.012-hold12 | -1.0000 | 1.0000 | 5864 | -0.9973 | -0.7028 | -0.2579 | -0.3017 | -0.1582 | -0.0512 | 201 | 59 | 30 | no |
+| breakdown_short | 5m | breakdown_short-5m-lookback48-stop0.006-take0.012-hold12 | -1.0000 | 1.0000 | 9225 | -0.9999 | -0.9427 | -0.5927 | -0.4402 | -0.2086 | -0.0927 | 311 | 100 | 53 | no |
+| breakdown_short | 3m | breakdown_short-3m-lookback96-stop0.006-take0.012-hold12 | -1.0000 | 1.0000 | 9427 | -1.0000 | -0.9929 | -0.8355 | -0.6177 | -0.2722 | -0.1316 | 314 | 99 | 53 | no |
+| vwap_short | 15m | vwap_short-15m-window96-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 9916 | -1.0000 | -0.9905 | -0.9086 | -0.7962 | -0.2812 | -0.0696 | 310 | 67 | 24 | no |
+| vwap_short | 15m | vwap_short-15m-window48-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 10947 | -1.0000 | -0.9936 | -0.8979 | -0.7046 | -0.1507 | -0.0021 | 342 | 81 | 34 | no |
+| rsi_short | 15m | rsi_short-15m-trend96-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 18040 | -1.0000 | -0.9977 | -0.9574 | -0.7895 | -0.3970 | -0.2397 | 732 | 245 | 132 | no |
+| rsi_short | 15m | rsi_short-15m-trend192-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 18674 | -1.0000 | -0.9962 | -0.9506 | -0.7196 | -0.4597 | -0.3086 | 729 | 292 | 152 | no |
+| breakdown_short | 3m | breakdown_short-3m-lookback48-stop0.006-take0.012-hold12 | -1.0000 | 1.0000 | 14921 | -1.0000 | -0.9994 | -0.9529 | -0.7102 | -0.3055 | -0.1723 | 496 | 155 | 78 | no |
+| vwap_short | 5m | vwap_short-5m-window96-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 18654 | -1.0000 | -0.9993 | -0.9533 | -0.8549 | -0.4065 | -0.1865 | 586 | 169 | 67 | no |
+| vwap_short | 5m | vwap_short-5m-window48-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 22162 | -1.0000 | -0.9996 | -0.9639 | -0.8426 | -0.3629 | -0.2007 | 688 | 204 | 83 | no |
+
+## Most Recently Active Rows
+
+| family | bar | name | full_total_return | full_max_drawdown | full_trades | 3y_total_return | 1y_total_return | 6m_total_return | 3m_total_return | 30d_total_return | 14d_total_return | 3m_trades | 30d_trades | 14d_trades | readonly_observe |
+| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
+| rsi_bidir | 3m | rsi_bidir-3m-trend192-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 302331 | -1.0000 | -1.0000 | -1.0000 | -1.0000 | -0.9999 | -0.9895 | 11815 | 3986 | 1947 | no |
+| rsi_bidir | 3m | rsi_bidir-3m-trend96-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 296569 | -1.0000 | -1.0000 | -1.0000 | -1.0000 | -0.9999 | -0.9871 | 11563 | 3898 | 1888 | no |
+| rsi_bidir | 5m | rsi_bidir-5m-trend192-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 182869 | -1.0000 | -1.0000 | -1.0000 | -1.0000 | -0.9961 | -0.9157 | 7193 | 2418 | 1178 | no |
+| rsi_bidir | 5m | rsi_bidir-5m-trend96-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 179246 | -1.0000 | -1.0000 | -1.0000 | -1.0000 | -0.9950 | -0.9046 | 6981 | 2322 | 1108 | no |
+| rsi_short | 3m | rsi_short-3m-trend192-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 91349 | -1.0000 | -1.0000 | -1.0000 | -0.9999 | -0.9469 | -0.7591 | 3626 | 1190 | 602 | no |
+| rsi_short | 3m | rsi_short-3m-trend96-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 87334 | -1.0000 | -1.0000 | -1.0000 | -0.9997 | -0.9342 | -0.7370 | 3422 | 1140 | 559 | no |
+| rsi_bidir | 15m | rsi_bidir-15m-trend192-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 63044 | -1.0000 | -1.0000 | -1.0000 | -0.9961 | -0.8570 | -0.5810 | 2402 | 843 | 412 | no |
+| rsi_bidir | 15m | rsi_bidir-15m-trend96-entry10-exit55-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 62088 | -1.0000 | -1.0000 | -1.0000 | -0.9958 | -0.8538 | -0.5514 | 2370 | 787 | 384 | no |
+| rsi_short | 5m | rsi_short-5m-trend192-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 55162 | -1.0000 | -1.0000 | -1.0000 | -0.9954 | -0.8270 | -0.5678 | 2299 | 772 | 401 | no |
+| rsi_short | 5m | rsi_short-5m-trend96-entry90-exit45-stop0.0075-take0.01-hold12 | -1.0000 | 1.0000 | 52462 | -1.0000 | -1.0000 | -0.9999 | -0.9923 | -0.8088 | -0.5226 | 2082 | 688 | 352 | no |
+| vwap_bidir | 3m | vwap_bidir-3m-window48-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 64676 | -1.0000 | -1.0000 | -1.0000 | -0.9955 | -0.7695 | -0.4442 | 2121 | 693 | 329 | no |
+| vwap_bidir | 3m | vwap_bidir-3m-window96-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12 | -1.0000 | 1.0000 | 53681 | -1.0000 | -1.0000 | -0.9998 | -0.9867 | -0.7033 | -0.4108 | 1672 | 518 | 247 | no |

reports/ultrashort/eth-highfreq-short-bidir-revalidation-summary.csv

@@ -0,0 +1,8 @@
+horizon,positive_candidates,non_disaster_candidates,best_total_return,median_total_return,worst_total_return,median_max_drawdown,max_trades,best_name
+full,0,0,-0.9981760663135631,-1.0,-1.0,1.0,302331,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+3y,0,0,-0.8812095554252265,-0.9999999999999664,-1.0,0.9999999999999676,142663,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+1y,0,1,-0.20162951537149643,-0.9999842467625133,-1.0,0.9999850939757546,47411,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+6m,1,3,0.054980391541674445,-0.9944089297769927,-1.0,0.9947366525771041,23886,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+3m,2,4,0.16763960504587594,-0.9355920719731723,-0.9999999999994641,0.9417536945726727,11815,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+30d,0,15,-0.06435643830011162,-0.48394617363606135,-0.9999407784217361,0.5132832313500065,3986,breakdown_short-15m-lookback96-stop0.006-take0.012-hold12
+14d,0,20,-0.0020648511622791688,-0.27875335050584155,-0.9895422960615857,0.28446035175308415,1947,vwap_short-15m-window48-entry_z1.5-exit_z0.2-stop0.006-take0.009-hold12

scripts/diagnose_long_short_fusion_recent_triggers.py

@@ -0,0 +1,361 @@
+from __future__ import annotations
+
+import argparse
+import sys
+from pathlib import Path
+
+import pandas as pd
+
+sys.path.insert(0, str(Path(__file__).resolve().parents[1]))
+
+from scripts import refine_expansion_rotation_risk as rotation_risk
+from scripts import search_expansion_rotation as rotation
+from scripts import search_long_short_fusion as fusion
+from scripts import search_short_bias_swing as swing
+from scripts.search_short_bias_overlay import markdown_table
+
+
+OUTPUT_DIR = Path("reports/eth-exploration")
+PREFIX = "long-short-fusion-recent-trigger-evidence"
+NEAR_MISS_PATH = OUTPUT_DIR / "eth-bidir-fusion-candidates.csv"
+FUSION_TOTAL_PATH = Path("reports/long-short-fusion/fusion-total.csv")
+WINDOWS = (("30d", pd.Timedelta(days=30)), ("14d", pd.Timedelta(days=14)))
+EPS = 1e-12
+
+
+def as_utc(value: object) -> pd.Timestamp:
+    ts = pd.Timestamp(value)
+    return ts.tz_localize("UTC") if ts.tzinfo is None else ts.tz_convert("UTC")
+
+
+def event_rows_from_active(name: str, active: pd.Series) -> list[dict[str, object]]:
+    active = active.fillna(False).astype(bool)
+    rows: list[dict[str, object]] = []
+    previous = False
+    for ts, value in active.items():
+        current = bool(value)
+        if current != previous:
+            rows.append({"component": name, "time": as_utc(ts), "event": "entry" if current else "exit"})
+        previous = current
+    return rows
+
+
+def event_rows_from_trades(name: str, trades: list[dict[str, object]]) -> list[dict[str, object]]:
+    rows: list[dict[str, object]] = []
+    for trade in trades:
+        rows.append({"component": name, "time": as_utc(trade["entry_time"]), "event": "entry"})
+        rows.append({"component": name, "time": as_utc(trade["exit_time"]), "event": "exit"})
+    return rows
+
+
+def active_days_from_trades(index: pd.DatetimeIndex, trades: list[dict[str, object]]) -> pd.Series:
+    active = pd.Series(False, index=index)
+    for trade in trades:
+        entry = as_utc(trade["entry_time"]).normalize()
+        exit_ = as_utc(trade["exit_time"]).normalize()
+        active.loc[(active.index >= entry) & (active.index <= exit_)] = True
+    return active
+
+
+def load_near_miss_candidates(limit: int) -> pd.DataFrame:
+    if NEAR_MISS_PATH.exists():
+        frame = pd.read_csv(NEAR_MISS_PATH)
+        frame = frame[(frame["source"] == "long_short_fusion") & frame["all_horizons_nonnegative"]].copy()
+        if not frame.empty:
+            return frame.sort_values("score", ascending=False).head(limit)
+    total = pd.read_csv(FUSION_TOTAL_PATH)
+    total = total[
+        (total["total_return"] >= 0.0)
+        & (total["h3y_return"] >= 0.0)
+        & (total["h1y_return"] >= 0.0)
+        & (total["h6m_return"] >= 0.0)
+        & (total["h3m_return"] >= 0.0)
+    ].copy()
+    return total.sort_values(["h1y_return", "h6m_return", "h3m_return"], ascending=False).head(limit)
+
+
+def candidate_weight_map(row: pd.Series) -> dict[str, float]:
+    return {
+        str(row["long_variant"]): float(row["long_weight"]),
+        "btc_risk_short": float(row["btc_risk_short_weight"]),
+        "eth_4h_vol_short": float(row["eth_4h_vol_short_weight"]),
+        "btc_4h_vol_short": float(row["btc_4h_vol_short_weight"]),
+        "eth_4h_vol_short_gated": float(row["eth_4h_vol_short_gated_weight"]),
+        "btc_4h_vol_short_gated": float(row["btc_4h_vol_short_gated_weight"]),
+    }
+
+
+def recent_return(series: pd.Series, offset: pd.Timedelta) -> float:
+    scoped = series[series.index >= series.index[-1] - offset]
+    if len(scoped) < 2:
+        return 0.0
+    return float(scoped.iloc[-1] / scoped.iloc[0] - 1.0)
+
+
+def rotation_activity(years: float, daily_index: pd.DatetimeIndex, risk_state_daily: pd.Series) -> dict[str, tuple[pd.Series, list[dict[str, object]]]]:
+    row = pd.read_csv(rotation_risk.OUTPUT_DIR / "rotation-risk-top.csv").iloc[0]
+    base = rotation_risk.params_from_row(row)
+    params = rotation_risk.RiskParams(base, float(row["leverage"]), float(row["exposure"]), float(row["vol_target"]))
+    rotation.SYMBOLS = ("BTC-USDT-SWAP", "ETH-USDT-SWAP")
+    frames = rotation.load_symbol_bar_frames(years)
+    closes = rotation.aligned_closes(frames, base)
+    weights = rotation_risk.apply_risk_controls(closes, rotation.target_weights(closes, base), params)
+    executed = weights.shift(1).fillna(0.0)
+    hourly_active = executed.abs().sum(axis=1) > 0.0
+    base_active = hourly_active.resample("1D").max().reindex(daily_index).fillna(False).astype(bool)
+    risk = risk_state_daily.reindex(daily_index).fillna(False).astype(bool)
+    return {
+        "long_rotation": (base_active, event_rows_from_active("long_rotation", base_active)),
+        "long_rotation_riskoff70": (base_active, event_rows_from_active("long_rotation_riskoff70", base_active)),
+        "long_rotation_riskoff50": (base_active, event_rows_from_active("long_rotation_riskoff50", base_active)),
+        "long_rotation_riskoff25": (base_active, event_rows_from_active("long_rotation_riskoff25", base_active)),
+        "long_rotation_riskoff00": (base_active & ~risk, event_rows_from_active("long_rotation_riskoff00", base_active & ~risk)),
+    }
+
+
+def btc_risk_activity(years: float, daily_index: pd.DatetimeIndex) -> tuple[pd.Series, list[dict[str, object]], pd.Series]:
+    params = fusion.overlay.BtcRiskShort(
+        family="btc_risk_pair",
+        bar="1h",
+        btc_trend=1440,
+        btc_lookback=336,
+        symbol_trend=720,
+        vol_lookback=336,
+        btc_max_momentum=-0.005,
+        btc_min_drop=0.025,
+        min_btc_vol=0.012,
+        symbol_max_momentum=-0.010,
+        short_symbols=("ETH-USDT-SWAP",),
+    )
+    fusion.overlay.SYMBOLS = ("BTC-USDT-SWAP", "ETH-USDT-SWAP")
+    frames = fusion.overlay.load_frames(years)
+    closes = pd.DataFrame({symbol: frames[(symbol, params.bar)]["close"] for symbol in ("BTC-USDT-SWAP", "ETH-USDT-SWAP")}).dropna()
+    weights = fusion.overlay.short_weights(closes, params)
+    active = weights.shift(1).fillna(0.0)["ETH-USDT-SWAP"] < 0.0
+    daily = active.resample("1D").max().reindex(daily_index).fillna(False).astype(bool)
+    return daily, event_rows_from_active("btc_risk_short", active), daily
+
+
+def swing_activity(strategy: swing.Strategy, years: float, daily_index: pd.DatetimeIndex) -> tuple[pd.Series, list[dict[str, object]]]:
+    frame = swing.resample_frame(swing.load_15m_frame(strategy.symbol, years), strategy.bar)
+    result = swing.run_strategy(strategy, frame, None)
+    trades = list(result["trades"])
+    active = active_days_from_trades(daily_index, trades)
+    return active, event_rows_from_trades(strategy.name, trades)
+
+
+def component_activity(years: float, daily_index: pd.DatetimeIndex) -> dict[str, tuple[pd.Series, list[dict[str, object]]]]:
+    btc_risk_active, btc_risk_events, risk_state = btc_risk_activity(years, daily_index)
+    activity = rotation_activity(years, daily_index, risk_state)
+    activity["btc_risk_short"] = (btc_risk_active, btc_risk_events)
+    eth_active, eth_events = swing_activity(
+        swing.Strategy(
+            "vol_expansion_short",
+            "ETH-USDT-SWAP",
+            "4H",
+            {"fast": 20, "slow": 80, "entry": 20, "exit": 10, "atr": 14, "stop_atr": 3.0, "take_atr": 6.0, "max_hold": 120, "vol_window": 120, "vol_quantile": 0.8},
+        ),
+        years,
+        daily_index,
+    )
+    btc_active, btc_events = swing_activity(
+        swing.Strategy(
+            "vol_expansion_short",
+            "BTC-USDT-SWAP",
+            "4H",
+            {"fast": 30, "slow": 120, "entry": 20, "exit": 10, "atr": 14, "stop_atr": 3.0, "take_atr": 6.0, "max_hold": 120, "vol_window": 120, "vol_quantile": 0.8},
+        ),
+        years,
+        daily_index,
+    )
+    activity["eth_4h_vol_short"] = (eth_active, eth_events)
+    activity["btc_4h_vol_short"] = (btc_active, btc_events)
+    eth_gated = eth_active & risk_state
+    btc_gated = btc_active & risk_state
+    activity["eth_4h_vol_short_gated"] = (eth_gated, event_rows_from_active("eth_4h_vol_short_gated", eth_gated))
+    activity["btc_4h_vol_short_gated"] = (btc_gated, event_rows_from_active("btc_4h_vol_short_gated", btc_gated))
+    return activity
+
+
+def summarize_candidate(
+    row: pd.Series,
+    component_series: dict[str, pd.Series],
+    activity: dict[str, tuple[pd.Series, list[dict[str, object]]]],
+) -> tuple[dict[str, object], list[dict[str, object]], pd.DataFrame]:
+    name = str(row["name"])
+    weights = candidate_weight_map(row)
+    equity = fusion.combine_components(component_series, weights)
+    returns = pd.DataFrame({key: fusion.component_returns(series) for key, series in component_series.items()}).reindex(equity.index).fillna(0.0)
+    active = pd.DataFrame({key: value[0] for key, value in activity.items()}).reindex(equity.index).fillna(False).astype(bool)
+    included = {key: weight for key, weight in weights.items() if weight > 0.0}
+    weighted_active = pd.DataFrame({key: active[key].astype(float) * weight for key, weight in included.items()})
+    target_changed = weighted_active.diff().abs().sum(axis=1).fillna(weighted_active.abs().sum(axis=1)) > 0.0
+    component_contrib = pd.DataFrame({key: returns[key] * weight for key, weight in included.items()})
+    fusion_return = component_contrib.sum(axis=1)
+    component_rows: list[dict[str, object]] = []
+    summary: dict[str, object] = {
+        "name": name,
+        "last_date": equity.index[-1].strftime("%Y-%m-%d"),
+        "included_components": ",".join(included),
+        "prior_report_trades_30d": int(row.get("trades_30d", 0)),
+        "prior_report_trades_14d": int(row.get("trades_14d", 0)),
+        "prior_report_return_30d": float(row.get("return_30d", 0.0)),
+        "prior_report_return_14d": float(row.get("return_14d", 0.0)),
+    }
+    for label, offset in WINDOWS:
+        start = equity.index[-1] - offset
+        mask = equity.index >= start
+        events = []
+        for key in included:
+            events.extend(event for event in activity[key][1] if start <= event["time"] <= equity.index[-1])
+        summary[f"recomputed_return_{label}"] = recent_return(equity, offset)
+        summary[f"component_entry_events_{label}"] = sum(1 for event in events if event["event"] == "entry")
+        summary[f"component_exit_events_{label}"] = sum(1 for event in events if event["event"] == "exit")
+        summary[f"fusion_target_change_days_{label}"] = int(target_changed.loc[mask].sum())
+        summary[f"component_contribution_days_{label}"] = int((component_contrib.loc[mask].abs().sum(axis=1) > EPS).sum())
+        for key, weight in included.items():
+            component_events = [event for event in activity[key][1] if start <= event["time"] <= equity.index[-1]]
+            component_rows.append(
+                {
+                    "name": name,
+                    "window": label,
+                    "component": key,
+                    "component_weight": weight,
+                    "active_days": int(active.loc[mask, key].sum()),
+                    "contribution_days": int((component_contrib.loc[mask, key].abs() > EPS).sum()),
+                    "entry_events": sum(1 for event in component_events if event["event"] == "entry"),
+                    "exit_events": sum(1 for event in component_events if event["event"] == "exit"),
+                    "latest_event_time": max((event["time"] for event in component_events), default=pd.NaT),
+                }
+            )
+    summary["recent_activity_found"] = (
+        int(summary["component_entry_events_30d"]) > 0
+        or int(summary["component_exit_events_30d"]) > 0
+        or int(summary["fusion_target_change_days_30d"]) > 0
+        or int(summary["component_contribution_days_30d"]) > 0
+    )
+    daily = pd.DataFrame(
+        {
+            "name": name,
+            "date": equity.index.strftime("%Y-%m-%d"),
+            "fusion_daily_return": fusion_return.to_numpy(),
+            "fusion_target_changed": target_changed.to_numpy(),
+            "active_component_count": active[list(included)].sum(axis=1).to_numpy(),
+            "contributing_component_count": (component_contrib.abs() > EPS).sum(axis=1).to_numpy(),
+        }
+    )
+    for key in included:
+        daily[f"{key}_active"] = active[key].to_numpy()
+        daily[f"{key}_contribution"] = component_contrib[key].to_numpy()
+    return summary, component_rows, daily[daily["date"] >= (equity.index[-1] - pd.Timedelta(days=30)).strftime("%Y-%m-%d")]
+
+
+def report_text(command: str, paths: list[Path], summary: pd.DataFrame, components: pd.DataFrame, daily: pd.DataFrame) -> str:
+    display_cols = [
+        "name",
+        "recomputed_return_30d",
+        "recomputed_return_14d",
+        "component_entry_events_30d",
+        "component_exit_events_30d",
+        "component_entry_events_14d",
+        "component_exit_events_14d",
+        "fusion_target_change_days_30d",
+        "fusion_target_change_days_14d",
+        "component_contribution_days_30d",
+        "component_contribution_days_14d",
+        "recent_activity_found",
+    ]
+    any_activity = bool(summary["recent_activity_found"].any()) if len(summary) else False
+    verdict = (
+        "The previous near-miss fusion report did not prove no recent activity; it lacked the required 30d/14d trigger accounting."
+        if any_activity
+        else "The checked near-miss fusion rows had no 30d/14d component activity in the rebuilt evidence."
+    )
+    observer = (
+        "Worth a read-only observer only if it logs component-level activity and target changes; the current search output alone is insufficient."
+        if any_activity
+        else "Not worth a read-only observer for this near-miss set because the rebuilt evidence is inactive."
+    )
+    recent_daily = daily[(daily["fusion_target_changed"]) | (daily["contributing_component_count"] > 0)].head(80)
+    return "\n".join(
+        [
+            "# Long-Short Fusion Recent Trigger Evidence",
+            "",
+            f"Run command: `{command}`",
+            "",
+            "Scope: offline reconstruction from local cached candles and existing reports only. No live executor, deployment, credentials, or order submission path was touched.",
+            "",
+            "Objective: check whether the previous long-short fusion near-miss rows truly had no recent trades, or whether `scripts/explore_eth_bidir_fusion_candidates.py` only filled 30d/14d trigger fields with zero because fusion outputs lacked those fields.",
+            "",
+            "Output files:",
+            *[f"- `{path}`" for path in paths],
+            "",
+            f"Conclusion: {verdict}",
+            f"Observer decision: {observer}",
+            "",
+            "## Candidate Summary",
+            "",
+            markdown_table(summary[display_cols]),
+            "",
+            "## Component Evidence",
+            "",
+            markdown_table(components.head(120)),
+            "",
+            "## Recent Daily Evidence",
+            "",
+            markdown_table(recent_daily),
+            "",
+        ]
+    )
+
+
+def main() -> int:
+    parser = argparse.ArgumentParser()
+    parser.add_argument("--years", type=float, default=8.0)
+    parser.add_argument("--limit", type=int, default=12)
+    parser.add_argument("--output-dir", type=Path, default=OUTPUT_DIR)
+    args = parser.parse_args()
+
+    fusion.overlay.SYMBOLS = ("BTC-USDT-SWAP", "ETH-USDT-SWAP")
+    candidates = load_near_miss_candidates(args.limit)
+    components = fusion.build_components(args.years)
+    component_series = {key: value[1] for key, value in components.items()}
+    daily_index = next(iter(component_series.values())).index
+    activity = component_activity(args.years, daily_index)
+
+    summary_rows: list[dict[str, object]] = []
+    component_rows: list[dict[str, object]] = []
+    daily_frames: list[pd.DataFrame] = []
+    full_rows = pd.read_csv(FUSION_TOTAL_PATH).set_index("name")
+    for _, source_row in candidates.iterrows():
+        row = full_rows.loc[str(source_row["name"])].copy()
+        row["name"] = str(source_row["name"])
+        for key in ("trades_30d", "trades_14d", "return_30d", "return_14d"):
+            row[key] = source_row.get(key, 0)
+        summary, rows, daily = summarize_candidate(row, component_series, activity)
+        summary_rows.append(summary)
+        component_rows.extend(rows)
+        daily_frames.append(daily)
+
+    summary_frame = pd.DataFrame(summary_rows)
+    component_frame = pd.DataFrame(component_rows)
+    daily_frame = pd.concat(daily_frames, ignore_index=True) if daily_frames else pd.DataFrame()
+
+    args.output_dir.mkdir(parents=True, exist_ok=True)
+    summary_path = args.output_dir / f"{PREFIX}.csv"
+    component_path = args.output_dir / f"{PREFIX}-components.csv"
+    daily_path = args.output_dir / f"{PREFIX}-daily.csv"
+    report_path = args.output_dir / f"{PREFIX}.md"
+    paths = [summary_path, component_path, daily_path, report_path]
+    summary_frame.to_csv(summary_path, index=False)
+    component_frame.to_csv(component_path, index=False)
+    daily_frame.to_csv(daily_path, index=False)
+    command = f"rtk .venv/bin/python scripts/diagnose_long_short_fusion_recent_triggers.py --years {args.years} --limit {args.limit}"
+    report_path.write_text(report_text(command, paths, summary_frame, component_frame, daily_frame), encoding="utf-8")
+    print(report_path)
+    print(summary_frame.to_string(index=False))
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())

scripts/revalidate_eth_high_freq_short_bidir_candidates.py

@@ -0,0 +1,409 @@
+from __future__ import annotations
+
+import argparse
+import json
+from dataclasses import dataclass
+from pathlib import Path
+
+import pandas as pd
+
+
+DATA_DIR = Path("data/okx-candles")
+OUT_DIR = Path("reports/ultrashort")
+SYMBOL = "ETH-USDT-SWAP"
+INITIAL_EQUITY = 10_000.0
+LEVERAGE = 3.0
+TAKER_FEE = 0.0004
+HORIZONS = (
+    ("full", None),
+    ("3y", pd.DateOffset(years=3)),
+    ("1y", pd.DateOffset(years=1)),
+    ("6m", pd.DateOffset(months=6)),
+    ("3m", pd.DateOffset(months=3)),
+    ("30d", pd.DateOffset(days=30)),
+    ("14d", pd.DateOffset(days=14)),
+)
+
+
+@dataclass(frozen=True)
+class Candidate:
+    family: str
+    bar: str
+    params: dict[str, float | int | str]
+
+    @property
+    def name(self) -> str:
+        body = "-".join(f"{key}{value:g}" if isinstance(value, float) else f"{key}{value}" for key, value in self.params.items())
+        return f"{self.family}-{self.bar}-{body}"
+
+
+def load_frame(bar: str) -> pd.DataFrame:
+    frame = pd.read_csv(DATA_DIR / SYMBOL / f"{bar}.csv")
+    frame["dt"] = pd.to_datetime(frame["ts"], unit="ms", utc=True)
+    return frame.sort_values("ts").drop_duplicates("ts", keep="last").reset_index(drop=True)
+
+
+def load_cache_summary(bars: list[str]) -> pd.DataFrame:
+    rows = []
+    for bar in bars:
+        meta_path = DATA_DIR / SYMBOL / f"{bar}.meta.json"
+        meta = json.loads(meta_path.read_text(encoding="utf-8"))
+        rows.append(
+            {
+                "bar": bar,
+                "rows": int(meta["rows"]),
+                "first_time": pd.to_datetime(int(meta["first_ts"]), unit="ms", utc=True).strftime("%Y-%m-%d %H:%M"),
+                "last_time": pd.to_datetime(int(meta["last_ts"]), unit="ms", utc=True).strftime("%Y-%m-%d %H:%M"),
+                "history_exhausted": bool(meta["history_exhausted"]),
+            }
+        )
+    return pd.DataFrame(rows)
+
+
+def rsi(close: pd.Series, length: int) -> pd.Series:
+    delta = close.diff()
+    gain = delta.clip(lower=0.0).rolling(length).mean()
+    loss = (-delta.clip(upper=0.0)).rolling(length).mean()
+    return 100.0 - 100.0 / (1.0 + gain / loss)
+
+
+def build_candidates(bars: list[str]) -> list[Candidate]:
+    candidates: list[Candidate] = []
+    for bar in bars:
+        for window in (48, 96):
+            base = {"window": window, "entry_z": 1.5, "exit_z": 0.20, "stop": 0.006, "take": 0.009, "hold": 12}
+            candidates.append(Candidate("vwap_bidir", bar, base))
+            candidates.append(Candidate("vwap_short", bar, base))
+        for trend in (96, 192):
+            candidates.append(
+                Candidate(
+                    "rsi_short",
+                    bar,
+                    {"trend": trend, "entry": 90, "exit": 45, "stop": 0.0075, "take": 0.010, "hold": 12},
+                )
+            )
+            candidates.append(
+                Candidate(
+                    "rsi_bidir",
+                    bar,
+                    {"trend": trend, "entry": 10, "exit": 55, "stop": 0.0075, "take": 0.010, "hold": 12},
+                )
+            )
+        for lookback in (48, 96):
+            candidates.append(
+                Candidate(
+                    "breakdown_short",
+                    bar,
+                    {"lookback": lookback, "stop": 0.006, "take": 0.012, "hold": 12},
+                )
+            )
+    return candidates
+
+
+def signal_columns(frame: pd.DataFrame, candidate: Candidate) -> tuple[pd.Series, pd.Series]:
+    close = frame["close"]
+    params = candidate.params
+    if candidate.family in ("vwap_bidir", "vwap_short"):
+        window = int(params["window"])
+        volume = frame["volume"]
+        vwap = (close * volume).rolling(window).sum() / volume.rolling(window).sum()
+        stdev = close.rolling(window).std(ddof=0)
+        zscore = (close - vwap) / stdev
+        entry = pd.Series("", index=frame.index, dtype=object)
+        entry.loc[zscore >= float(params["entry_z"])] = "short"
+        if candidate.family == "vwap_bidir":
+            entry.loc[zscore <= -float(params["entry_z"])] = "long"
+        return entry, zscore.abs() <= float(params["exit_z"])
+    if candidate.family in ("rsi_short", "rsi_bidir"):
+        trend = close.rolling(int(params["trend"])).mean()
+        value = rsi(close, 2)
+        entry = pd.Series("", index=frame.index, dtype=object)
+        entry.loc[(close < trend) & (value >= float(params["entry"]))] = "short"
+        if candidate.family == "rsi_bidir":
+            entry.loc[(close > trend) & (value <= float(params["entry"]))] = "long"
+        return entry, (value <= 100.0 - float(params["exit"])) | (value >= float(params["exit"]))
+    lookback = int(params["lookback"])
+    prior_low = frame["low"].shift(1).rolling(lookback).min()
+    entry = pd.Series("", index=frame.index, dtype=object)
+    entry.loc[close < prior_low] = "short"
+    return entry, pd.Series(False, index=frame.index)
+
+
+def close_return(side: str, entry: float, exit_price: float) -> float:
+    price_return = exit_price / entry - 1.0 if side == "long" else entry / exit_price - 1.0
+    return LEVERAGE * price_return - LEVERAGE * TAKER_FEE * (1.0 + exit_price / entry)
+
+
+def mark_return(side: str, entry: float, close: float) -> float:
+    price_return = close / entry - 1.0 if side == "long" else entry / close - 1.0
+    return LEVERAGE * price_return - LEVERAGE * TAKER_FEE
+
+
+def backtest(frame: pd.DataFrame, candidate: Candidate) -> tuple[pd.Series, pd.DataFrame]:
+    entry_signal, exit_signal = signal_columns(frame, candidate)
+    warmup = max(int(value) for key, value in candidate.params.items() if key in {"window", "trend", "lookback"}) + 2
+    equity = INITIAL_EQUITY
+    position: dict[str, object] | None = None
+    pending_entry = ""
+    pending_exit = False
+    curve: list[tuple[pd.Timestamp, float]] = []
+    trades: list[dict[str, object]] = []
+
+    rows = list(frame.itertuples(index=False))
+    for index in range(warmup, len(rows)):
+        candle = rows[index]
+        if pending_exit and position is not None:
+            net = close_return(str(position["side"]), float(position["entry"]), float(candle.open))
+            equity *= 1.0 + net
+            trades.append({"entry_time": position["entry_time"], "exit_time": candle.dt, "side": position["side"], "return": net})
+            position = None
+            pending_exit = False
+        if pending_entry and position is None and equity > 0.0:
+            position = {"side": pending_entry, "entry": float(candle.open), "entry_index": index, "entry_time": candle.dt}
+            pending_entry = ""
+
+        mark = equity
+        if position is not None:
+            side = str(position["side"])
+            entry = float(position["entry"])
+            stop = float(candidate.params["stop"])
+            take = float(candidate.params["take"])
+            stop_price = entry * (1.0 - stop if side == "long" else 1.0 + stop)
+            take_price = entry * (1.0 + take if side == "long" else 1.0 - take)
+            stop_hit = candle.low <= stop_price if side == "long" else candle.high >= stop_price
+            take_hit = candle.high >= take_price if side == "long" else candle.low <= take_price
+            if stop_hit or take_hit:
+                exit_price = stop_price if stop_hit else take_price
+                net = close_return(side, entry, exit_price)
+                equity *= 1.0 + net
+                trades.append({"entry_time": position["entry_time"], "exit_time": candle.dt, "side": side, "return": net})
+                position = None
+                mark = equity
+            else:
+                mark = equity * (1.0 + mark_return(side, entry, float(candle.close)))
+
+        curve.append((candle.dt, mark))
+        if index == len(rows) - 1 or equity <= 0.0:
+            continue
+        next_entry = str(entry_signal.iloc[index])
+        if position is not None:
+            reverse = bool(next_entry) and next_entry != position["side"]
+            stale = index - int(position["entry_index"]) >= int(candidate.params["hold"])
+            if bool(exit_signal.iloc[index]) or reverse or stale:
+                pending_exit = True
+                pending_entry = next_entry if reverse else ""
+        elif next_entry:
+            pending_entry = next_entry
+
+    if position is not None:
+        final = rows[-1]
+        net = close_return(str(position["side"]), float(position["entry"]), float(final.close))
+        equity *= 1.0 + net
+        trades.append({"entry_time": position["entry_time"], "exit_time": final.dt, "side": position["side"], "return": net})
+        curve.append((final.dt, equity))
+
+    return pd.Series(dict(curve)).sort_index(), pd.DataFrame(trades)
+
+
+def scoped(equity: pd.Series, trades: pd.DataFrame, offset: pd.DateOffset | None) -> tuple[pd.Series, pd.DataFrame]:
+    if offset is None:
+        return equity, trades
+    start = equity.index[-1] - offset
+    scoped_equity = equity[equity.index >= start]
+    scoped_trades = trades[trades["entry_time"] >= scoped_equity.index[0]] if len(trades) else trades
+    return scoped_equity, scoped_trades
+
+
+def metrics(equity: pd.Series, trades: pd.DataFrame) -> dict[str, float | int]:
+    total = float(equity.iloc[-1] / equity.iloc[0] - 1.0)
+    years = (equity.index[-1] - equity.index[0]).total_seconds() / 31_536_000
+    annual = (1.0 + total) ** (1.0 / years) - 1.0 if total > -1.0 and years > 0 else 0.0
+    drawdown = float(((equity.cummax() - equity) / equity.cummax()).max())
+    returns = trades["return"] if len(trades) else pd.Series(dtype=float)
+    wins = returns[returns > 0.0]
+    losses = returns[returns < 0.0]
+    return {
+        "total_return": total,
+        "annualized_return": annual,
+        "max_drawdown": drawdown,
+        "calmar": annual / drawdown if drawdown else 0.0,
+        "trades": int(len(trades)),
+        "short_trades": int((trades["side"] == "short").sum()) if len(trades) else 0,
+        "long_trades": int((trades["side"] == "long").sum()) if len(trades) else 0,
+        "profit_factor": float(wins.sum() / abs(losses.sum())) if len(losses) else (999.0 if len(wins) else 0.0),
+        "win_rate": float(len(wins) / len(returns)) if len(returns) else 0.0,
+    }
+
+
+def summarize(candidate: Candidate, equity: pd.Series, trades: pd.DataFrame) -> dict[str, object]:
+    row: dict[str, object] = {
+        "symbol": SYMBOL,
+        "bar": candidate.bar,
+        "family": candidate.family,
+        "name": candidate.name,
+        "params_json": json.dumps(candidate.params, separators=(",", ":")),
+        "first_time": equity.index[0].strftime("%Y-%m-%d %H:%M"),
+        "last_time": equity.index[-1].strftime("%Y-%m-%d %H:%M"),
+    }
+    for label, offset in HORIZONS:
+        part_equity, part_trades = scoped(equity, trades, offset)
+        for key, value in metrics(part_equity, part_trades).items():
+            row[f"{label}_{key}"] = value
+    row["recent_trigger_score"] = int(row["3m_trades"]) + int(row["30d_trades"]) * 2 + int(row["14d_trades"]) * 4
+    observe = (
+        int(row["3m_trades"]) >= 12
+        and int(row["30d_trades"]) >= 4
+        and int(row["14d_trades"]) >= 1
+        and float(row["full_total_return"]) > 0.0
+        and float(row["3y_total_return"]) > 0.0
+        and float(row["1y_total_return"]) > 0.0
+        and float(row["3y_max_drawdown"]) <= 0.35
+        and float(row["1y_max_drawdown"]) <= 0.25
+        and float(row["1y_profit_factor"]) >= 1.05
+    )
+    row["readonly_observe"] = "yes" if observe else "no"
+    return row
+
+
+def horizon_summary(totals: pd.DataFrame) -> pd.DataFrame:
+    rows = []
+    for label, _ in HORIZONS:
+        returns = totals[f"{label}_total_return"]
+        drawdowns = totals[f"{label}_max_drawdown"]
+        trades = totals[f"{label}_trades"]
+        best_index = returns.idxmax()
+        rows.append(
+            {
+                "horizon": label,
+                "positive_candidates": int((returns > 0.0).sum()),
+                "non_disaster_candidates": int(((returns > -0.50) & (drawdowns < 0.60)).sum()),
+                "best_total_return": float(returns.max()),
+                "median_total_return": float(returns.median()),
+                "worst_total_return": float(returns.min()),
+                "median_max_drawdown": float(drawdowns.median()),
+                "max_trades": int(trades.max()),
+                "best_name": str(totals.loc[best_index, "name"]),
+            }
+        )
+    return pd.DataFrame(rows)
+
+
+def markdown_table(frame: pd.DataFrame) -> str:
+    def cell(value: object) -> str:
+        if isinstance(value, float):
+            return f"{value:.4f}"
+        return str(value).replace("|", "\\|")
+
+    rows = [list(frame.columns), ["---" for _ in frame.columns]]
+    rows.extend(frame.astype(object).where(pd.notna(frame), "").values.tolist())
+    return "\n".join("| " + " | ".join(cell(value) for value in row) + " |" for row in rows)
+
+
+def write_report(totals: pd.DataFrame, summary: pd.DataFrame, cache: pd.DataFrame, paths: list[Path], command: str) -> str:
+    selected = totals[totals["readonly_observe"] == "yes"].head(12)
+    least_bad = totals.sort_values(
+        ["full_total_return", "3y_total_return", "1y_total_return", "6m_total_return", "3m_total_return"],
+        ascending=[False, False, False, False, False],
+    ).head(12)
+    recent = totals.sort_values(["recent_trigger_score", "3y_calmar", "1y_calmar"], ascending=[False, False, False]).head(12)
+    cols = [
+        "family",
+        "bar",
+        "name",
+        "full_total_return",
+        "full_max_drawdown",
+        "full_trades",
+        "3y_total_return",
+        "1y_total_return",
+        "6m_total_return",
+        "3m_total_return",
+        "30d_total_return",
+        "14d_total_return",
+        "3m_trades",
+        "30d_trades",
+        "14d_trades",
+        "readonly_observe",
+    ]
+    observation = (
+        "No read-only observation candidates passed the rule."
+        if not len(selected)
+        else "At least one read-only observation candidate passed the rule."
+    )
+    disaster = (
+        "Long-term status: still disastrous. The full, 3y, and 1y windows have zero positive candidates under the original high-frequency short/bidir candidate set."
+        if all(int(summary.loc[summary["horizon"] == label, "positive_candidates"].iloc[0]) == 0 for label in ("full", "3y", "1y"))
+        else "Long-term status: not uniformly disastrous; at least one of full/3y/1y has a positive candidate."
+    )
+    return "\n".join(
+        [
+            "# ETH high-frequency short/bidirectional revalidation",
+            "",
+            f"Run command: `{command}`",
+            "Scope: offline only; local refreshed 3m/5m/15m OKX ETH candle cache; no live executor, deployment, private API, or order path touched.",
+            f"Cost model: taker fee `{TAKER_FEE}` each side on `{LEVERAGE:g}x` notional; entries execute on next open.",
+            "",
+            "Output files:",
+            *[f"- `{path}`" for path in paths],
+            "",
+            "Cache used:",
+            "",
+            markdown_table(cache),
+            "",
+            "Windows compared: full, 3y, 1y, 6m, 3m, 30d, 14d.",
+            "Read-only observation rule: 3m >= 12 trades, 30d >= 4 trades, 14d >= 1 trade, positive full/3y/1y return, 3y MDD <= 35%, 1y MDD <= 25%, and 1y profit factor >= 1.05.",
+            "",
+            f"Conclusion: {disaster} {observation}",
+            "",
+            "## Horizon Summary",
+            "",
+            markdown_table(summary),
+            "",
+            "## Read-only Observation Candidates",
+            "",
+            markdown_table(selected[cols]) if len(selected) else "No candidates passed the read-only observation rule.",
+            "",
+            "## Least-bad Long-term Rows",
+            "",
+            markdown_table(least_bad[cols]),
+            "",
+            "## Most Recently Active Rows",
+            "",
+            markdown_table(recent[cols]),
+        ]
+    ) + "\n"
+
+
+def main() -> int:
+    parser = argparse.ArgumentParser()
+    parser.add_argument("--bars", nargs="+", default=["3m", "5m", "15m"])
+    parser.add_argument("--output-dir", type=Path, default=OUT_DIR)
+    args = parser.parse_args()
+
+    rows: list[dict[str, object]] = []
+    frames = {bar: load_frame(bar) for bar in args.bars}
+    for candidate in build_candidates(args.bars):
+        equity, trades = backtest(frames[candidate.bar], candidate)
+        if len(equity) >= 2:
+            rows.append(summarize(candidate, equity, trades))
+
+    totals = pd.DataFrame(rows).sort_values(
+        ["readonly_observe", "full_total_return", "3y_total_return", "1y_total_return", "recent_trigger_score"],
+        ascending=[False, False, False, False, False],
+    )
+    summary = horizon_summary(totals)
+    cache = load_cache_summary(args.bars)
+    args.output_dir.mkdir(parents=True, exist_ok=True)
+    totals_path = args.output_dir / "eth-highfreq-short-bidir-revalidation-candidates.csv"
+    summary_path = args.output_dir / "eth-highfreq-short-bidir-revalidation-summary.csv"
+    report_path = args.output_dir / "eth-highfreq-short-bidir-revalidation-report.md"
+    paths = [totals_path, summary_path, report_path]
+    totals.to_csv(totals_path, index=False)
+    summary.to_csv(summary_path, index=False)
+    command = f"rtk .venv/bin/python {Path(__file__).as_posix()} --bars {' '.join(args.bars)}"
+    report_path.write_text(write_report(totals, summary, cache, paths, command), encoding="utf-8")
+    print(summary.to_string(index=False))
+    return 0
+
+
+if __name__ == "__main__":
+    raise SystemExit(main())