# Robust Ultra-Short Validation Results

Command:

```bash
rtk uv run python scripts/explore_ultrashort.py --robust-all --history-limit 50000 --window-size 240
```

Scope:

- Symbols: `BTC-USDT-SWAP`, `ETH-USDT-SWAP`
- Bars: `1m`, `3m`, `5m`
- History: `50,000` candles per symbol/bar
- Evaluation windows: `240` report candles per window
- Windowing: complete non-overlapping windows
- Result file: `ultrashort-robust-all.csv`

Gross-return limitation:

These results exclude fees, slippage, and funding rates. They are not live-trading-ready profitability claims.

## Supported Current Candidate Family

RSI2 is the strongest current gross-return candidate family because multiple RSI2 parameter sets have positive `ci95_low` in the 50,000-candle robust run.

Top supported row by confidence interval lower bound:

- Symbol/bar: `BTC-USDT-SWAP 3m`
- Candidate: `rsi2-t50-l18.0-s82.0`
- Sample count: `208`
- Average return: `0.004964944867230226`
- 95% CI: `[0.0021465031908155787, 0.007783386543644873]`
- Median return: `0.005718299303763979`
- Positive-window rate: `0.6442307692307693`
- Worst return: `-0.09055481231134109`
- P10 return: `-0.019867937019411638`
- P90 return: `0.030006449668830256`
- Trade count: `3142`
- Average trades per window: `15.10576923076923`
- Win rate: `0.6750833353564286`
- Max drawdown: `0.10233260066528144`

## Rejected Prior Candidate

VWAP reversion is rejected as a supported gross-return candidate because robust validation did not produce a positive 95% confidence interval lower bound for the tested VWAP parameter set family.

Top VWAP robust row by confidence interval lower bound:

- Symbol/bar: `BTC-USDT-SWAP 3m`
- Candidate: `vwap-revert-w56-z2.4-sl0.006`
- Sample count: `207`
- Average return: `0.000949`
- 95% CI lower bound: `-0.003921`
- 95% CI upper bound: `0.005819`