# ETH BB squeeze fast-fail exit exploration

Run command: `rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_bb_squeeze_fast_fail_exit.py --bar 15m --years 10.0`
Actual continuous local history: `2019-12-25 00:00` to `2026-05-20 15:15`.

Baseline parameters: ETH 15m, band_length=96, bandwidth_lookback=960, bandwidth_quantile=0.25, stop_loss=1%, take_profit=3%, middle_exit_buffer=0.1%, middle_confirm=1, eth_vol_cap=0.006, cooldown=24, btc_up filter, weekday entry, us_open_exit skip, both sides.

Top 5 full-history maker_taker results:
| fast_fail_rule | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | avg_return_pct | payoff_ratio | profit_factor |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| entry-adverse-n6-x0.002 | 352 | 4.72176 | 0.312897 | 0.260244 | 1.20232 | 0.25 | 0.800738 | 5.00929 | 1.66976 |
| entry-adverse-n6-x0.003 | 345 | 3.92099 | 0.282364 | 0.268724 | 1.05076 | 0.269565 | 0.77525 | 4.25488 | 1.57025 |
| entry-adverse-n4-x0.001 | 352 | 4.00594 | 0.285794 | 0.312376 | 0.914905 | 0.232955 | 0.756666 | 5.53366 | 1.68059 |
| band-reclaim-n4 | 378 | 3.36562 | 0.258619 | 0.287148 | 0.900648 | 0.251323 | 0.690763 | 4.72496 | 1.58612 |
| band-reclaim-n6 | 384 | 3.63501 | 0.270437 | 0.313054 | 0.863868 | 0.255208 | 0.691218 | 4.87083 | 1.66903 |

Baseline full-history row:
| fast_fail_rule | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | avg_return_pct | payoff_ratio | profit_factor |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| baseline | 169 | 0.713466 | 0.0876818 | 0.298521 | 0.293721 | 0.319527 | 0.669453 | 2.84815 | 1.33739 |

Full/3y/1y/6m/3m/4w metrics for Top 5 plus baseline:
| fast_fail_rule | horizon | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | avg_return_pct | payoff_ratio | profit_factor |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| band-reclaim-n4 | full | 378 | 3.36562 | 0.258619 | 0.287148 | 0.900648 | 0.251323 | 0.690763 | 4.72496 | 1.58612 |
| band-reclaim-n4 | 3y | 95 | -0.12454 | -0.0433282 | 0.287148 | -0.150891 | 0.189474 | 0.126808 | 4.81134 | 1.12473 |
| band-reclaim-n4 | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n4 | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n4 | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n4 | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n6 | full | 384 | 3.63501 | 0.270437 | 0.313054 | 0.863868 | 0.255208 | 0.691218 | 4.87083 | 1.66903 |
| band-reclaim-n6 | 3y | 101 | -0.22625 | -0.0818774 | 0.303314 | -0.269943 | 0.178218 | -0.000446535 | 4.60876 | 0.999489 |
| band-reclaim-n6 | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n6 | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n6 | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| band-reclaim-n6 | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| baseline | full | 169 | 0.713466 | 0.0876818 | 0.298521 | 0.293721 | 0.319527 | 0.669453 | 2.84815 | 1.33739 |
| baseline | 3y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| baseline | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| baseline | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| baseline | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| baseline | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n4-x0.001 | full | 352 | 4.00594 | 0.285794 | 0.312376 | 0.914905 | 0.232955 | 0.756666 | 5.53366 | 1.68059 |
| entry-adverse-n4-x0.001 | 3y | 71 | -0.174402 | -0.06183 | 0.264888 | -0.23342 | 0.169014 | -0.00318732 | 4.90252 | 0.997122 |
| entry-adverse-n4-x0.001 | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n4-x0.001 | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n4-x0.001 | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n4-x0.001 | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.002 | full | 352 | 4.72176 | 0.312897 | 0.260244 | 1.20232 | 0.25 | 0.800738 | 5.00929 | 1.66976 |
| entry-adverse-n6-x0.002 | 3y | 73 | 0.0660829 | 0.0215396 | 0.260244 | 0.082767 | 0.205479 | 0.367118 | 5.18504 | 1.34096 |
| entry-adverse-n6-x0.002 | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.002 | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.002 | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.002 | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.003 | full | 345 | 3.92099 | 0.282364 | 0.268724 | 1.05076 | 0.269565 | 0.77525 | 4.25488 | 1.57025 |
| entry-adverse-n6-x0.003 | 3y | 69 | 0.0118044 | 0.00391585 | 0.263336 | 0.0148701 | 0.246377 | 0.305846 | 3.76751 | 1.23169 |
| entry-adverse-n6-x0.003 | 1y | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.003 | 6m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.003 | 3m | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| entry-adverse-n6-x0.003 | 4w | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |

Fast-fail exit reason contribution:
| fast_fail_rule | exit_reason | trades | win_rate | avg_return_pct | gross_return_sum_pct | profit_factor |
| --- | --- | --- | --- | --- | --- | --- |
| band-reclaim-n1 | fast_fail_band | 34 | 0 | -1.05842 | -35.9863 | 0 |
| band-reclaim-n2 | fast_fail_band | 47 | 0.0212766 | -1.0032 | -47.1506 | 0.00353145 |
| band-reclaim-n3 | fast_fail_band | 51 | 0.0196078 | -0.977441 | -49.8495 | 0.00334089 |
| band-reclaim-n4 | fast_fail_band | 181 | 0.0276243 | -0.85265 | -154.33 | 0.00536792 |
| band-reclaim-n6 | fast_fail_band | 222 | 0.0720721 | -0.808577 | -179.504 | 0.0354594 |
| entry-adverse-n1-x0 | fast_fail_price | 53 | 0 | -0.874766 | -46.3626 | 0 |
| entry-adverse-n1-x0.001 | fast_fail_price | 45 | 0 | -1.0721 | -48.2443 | 0 |
| entry-adverse-n1-x0.002 | fast_fail_price | 37 | 0 | -1.18485 | -43.8393 | 0 |
| entry-adverse-n1-x0.003 | fast_fail_price | 22 | 0 | -1.33572 | -29.3859 | 0 |
| entry-adverse-n2-x0 | fast_fail_price | 123 | 0 | -0.787646 | -96.8804 | 0 |
| entry-adverse-n2-x0.001 | fast_fail_price | 60 | 0 | -0.955067 | -57.304 | 0 |
| entry-adverse-n2-x0.002 | fast_fail_price | 42 | 0 | -1.16699 | -49.0134 | 0 |
| entry-adverse-n2-x0.003 | fast_fail_price | 30 | 0 | -1.30772 | -39.2317 | 0 |
| entry-adverse-n3-x0 | fast_fail_price | 217 | 0 | -0.710773 | -154.238 | 0 |
| entry-adverse-n3-x0.001 | fast_fail_price | 61 | 0 | -0.950377 | -57.973 | 0 |
| entry-adverse-n3-x0.002 | fast_fail_price | 47 | 0 | -1.18444 | -55.6687 | 0 |
| entry-adverse-n3-x0.003 | fast_fail_price | 37 | 0 | -1.39343 | -51.5569 | 0 |
| entry-adverse-n4-x0 | fast_fail_price | 243 | 0 | -0.693041 | -168.409 | 0 |
| entry-adverse-n4-x0.001 | fast_fail_price | 182 | 0 | -0.887544 | -161.533 | 0 |
| entry-adverse-n4-x0.002 | fast_fail_price | 154 | 0 | -1.0959 | -168.769 | 0 |