# ETH conservative portfolio final decision report

This report only consolidates existing ETH exploration outputs. It does not run a new search.

## Topline

Watch the conservative portfolio layer next, not the standalone ETH TWAP. Use quasi-live/demo read-only intent first; real funds are not the minimum next step.

The next thing to watch is the portfolio layer: qualified ETH-focused conservative portfolios exist, while standalone ETH TWAP is not stable enough under conservative maker-fill assumptions and taker-entry TWAP is rejected.

## Recommended priority

| Priority | Candidate | Return | Ann. | MDD | Worst month | Risk | Real live now | Minimum next step |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 1 | Lowest-drawdown ETH-focused conservative portfolio | 57.47% | 7.43% | 7.28% | -4.44% | 1.020 | No | Run quasi-live read-only/order-intent tracking for all legs and record per-leg signal, fill/miss, slippage, and portfolio equity for at least the next signal cycle set. |
| 2 | Simpler no-maker-dependent conservative portfolio | 72.69% | 9.01% | 10.46% | -4.51% | 0.861 | No | Shadow the two legs side by side with the primary portfolio and compare realized signal overlap and drawdown path. |
| 3 | Highest-return qualified conservative portfolio | 119.91% | 13.25% | 16.13% | -5.66% | 0.821 | No | Keep as a benchmark portfolio in the same quasi-live tracker; do not allocate before it beats priority 1 on realized drawdown-adjusted behavior. |
| 4 | BB squeeze risk candidate | 513.30% | 33.06% | 22.18% | -10.65% | 1.490 | No | Run shadow/demo signal intent logging only; require fresh forward trades before any capital allocation because the acceptable-risk versions have few trades. |

## Candidate notes

### P1 Lowest-drawdown ETH-focused conservative portfolio

- Name: `all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap`
- Decision: Primary next item to watch in paper/demo. It is the cleanest qualified portfolio by conservative sort, but it contains a maker-dependent TWAP leg, so real funds should wait for live fill evidence.
- Needs live/quasi-live evidence: Yes
- Real funds now: No

Legs and weights:
- `eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0` at `0.48537471`
- `btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018` at `0.06171009`
- `eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25` at `0.45291520`

### P2 Simpler no-maker-dependent conservative portfolio

- Name: `no_maker_dependent-risk-2-c0250-eth_btc_rsi_filter+btc_lead_eth_lag_15m`
- Decision: Best fallback if maker-fill uncertainty is treated as disqualifying. It keeps qualified portfolio behavior without the robust TWAP maker-dependent leg.
- Needs live/quasi-live evidence: Yes
- Real funds now: No

Legs and weights:
- `eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0` at `0.89432334`
- `btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018` at `0.10567666`

### P3 Highest-return qualified conservative portfolio

- Name: `all_legs-risk-2-c0020-eth_btc_rsi_filter+btc_lead_eth_lag_15m`
- Decision: Return-oriented qualified variant. It is less conservative than priority 1 because drawdown is materially higher.
- Needs live/quasi-live evidence: Yes
- Real funds now: No

Legs and weights:
- `eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0` at `0.89038020`
- `btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018` at `0.10961980`

### P4 BB squeeze risk candidate

- Name: `bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-long-btc-up-momo-vc0.006-dd0.25-cd24`
- Decision: Keep as secondary watchlist, not primary allocation.
- Needs live/quasi-live evidence: Yes
- Real funds now: No

## Deprioritized or rejected

| Item | Status | Key reason | Minimum next step |
| --- | --- | --- | --- |
| ETH robust TWAP standalone under conservative maker assumptions | do_not_trade_standalone | Independent validation matched the closed-trade report, but conservative maker fill/slippage assumptions had no qualified candidate with all 3y/1y/6m/3m horizons positive. | Use only as a portfolio leg in shadow/demo tracking until actual maker fill and slippage data contradicts the conservative stress result. |
| ETH taker-entry TWAP | rejected | The taker-entry search produced no eligible taker_taker candidate with positive Calmar across 3y/1y/6m/3m. | No live work. Drop from the next real/paper-live shortlist. |

## Signal intent status

Readonly signal intent was completed. Latest confirmed candle was `2026-04-29 17:00:00 UTC`; signal was false and no order intent was produced.

## Source outputs

- `eth-focused-portfolio-conservative-qualified.csv`
- `eth-focused-portfolio-conservative-report.md`
- `eth-twap-conservative-summary.md`
- `eth-robust-twap-validation-summary.md`
- `eth-robust-twap-fill-slippage-summary.md`
- `eth-twap-taker-entry-summary.md`
- `eth-bb-squeeze-risk-10y-report.md`
- `eth-signal-intent-readonly.md`
- `eth-signal-intent-readonly.json`