# ETH nextgen + microstructure portfolio exploration

Run command: `rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_nextgen_micro_portfolio.py`

No order placement or exchange API path is used; this script reads local candle/report data only.

Output files:
- `reports/eth-exploration/eth-nextgen-micro-portfolio-summary.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-horizons.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-monthly.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-monthly-stability.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-worst-months.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-robust-survivors.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-equity.csv`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-top.json`
- `reports/eth-exploration/eth-nextgen-micro-portfolio-report.md`

Base nextgen: `equal-2-c0003` with the two documented maker_taker legs.
Micro candidates: ATR compression/expansion US-session robust candidates only.
Costs: maker_taker=0.0021 and taker_taker=0.0030 roundtrip on margin. Funding and slippage remain excluded.

## Conclusion

The best combination improves risk-adjusted return versus nextgen equal-2-c0003.
Strict robust survivors with positive full/3y/1y/6m/3m net return and Calmar: 142.

## Top maker_taker combinations

| name | cost_model | kind | micro_name | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_reward_ratio | worst_month | worst_month_return | min_recent_total_return | trades | win_rate | payoff_ratio | profit_factor |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| switch-l30-r96_q0.15_mf0.25_us | maker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 1.67172 | 0.167827 | 0.0802541 | 2.09119 | 1.80325 | 2025-01 | -0.061234 | 0.0533277 | 482 | 0.686722 | 1.01873 | 2.23312 |
| switch-l30-r96_q0.15_mf0.4_us | maker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.771 | 0.174573 | 0.0874887 | 1.99538 | 1.76604 | 2025-01 | -0.0686182 | 0.0491768 | 482 | 0.686722 | 0.981399 | 2.15128 |
| switch-l60-r48_q0.15_mf0.25_us | maker_taker | recent_regime_switch | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 1.77118 | 0.174585 | 0.0924603 | 1.88822 | 1.81511 | 2024-02 | -0.0383721 | 0.0220114 | 553 | 0.641953 | 1.07503 | 1.92745 |
| switch-l90-r96_q0.15_mf0.25_us | maker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 1.44092 | 0.151288 | 0.0804413 | 1.88072 | 1.74465 | 2022-01 | -0.0577181 | 0.00381865 | 483 | 0.677019 | 1.00717 | 2.11118 |
| switch-l90-r96_q0.15_mf0.4_us | maker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.55467 | 0.159596 | 0.0871187 | 1.83193 | 1.68241 | 2022-01 | -0.056094 | 0.00989529 | 483 | 0.677019 | 0.964776 | 2.02232 |
| switch-l60-r48_q0.15_mf0.4_us | maker_taker | recent_regime_switch | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 1.96711 | 0.187321 | 0.104985 | 1.78427 | 1.73718 | 2024-02 | -0.0441242 | 0.0392597 | 553 | 0.641953 | 1.0044 | 1.80082 |
| switch-l120-r96_q0.15_mf0.4_us | maker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.85147 | 0.179893 | 0.102913 | 1.74802 | 1.80346 | 2022-01 | -0.0644513 | -0.0443441 | 489 | 0.680982 | 1.01068 | 2.15741 |
| blend-ng0.70-r96_q0.15_mf0.4_us | maker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.00386 | 0.11598 | 0.0670848 | 1.72885 | 1.55294 | 2021-03 | -0.0379907 | 0.0218909 | 874 | 0.569794 | 1.18613 | 1.57099 |
| blend-ng0.75-r96_q0.15_mf0.4_us | maker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.08352 | 0.122869 | 0.0716259 | 1.71543 | 1.58857 | 2022-01 | -0.0413999 | 0.0227125 | 874 | 0.569794 | 1.23373 | 1.63404 |
| blend-ng0.70-r96_q0.15_mf0.25_us | maker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 0.973963 | 0.113335 | 0.0671521 | 1.68773 | 1.60811 | 2022-01 | -0.039803 | 0.0208283 | 874 | 0.569794 | 1.27393 | 1.68728 |
| blend-ng0.80-r96_q0.15_mf0.4_us | maker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.16578 | 0.129754 | 0.0770043 | 1.68502 | 1.61232 | 2022-01 | -0.0460193 | 0.0235112 | 874 | 0.569794 | 1.28622 | 1.70356 |
| riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us | maker_taker | riskoff_overlay | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.72057 | 0.171172 | 0.102913 | 1.66327 | 1.7284 | 2022-01 | -0.0644513 | 0.0227026 | 581 | 0.678141 | 0.977565 | 2.05968 |

## Taker/taker stress combinations

| name | cost_model | kind | micro_name | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_reward_ratio | worst_month | worst_month_return | min_recent_total_return | trades |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| switch-l30-r96_q0.15_mf0.25_us | taker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 1.26749 | 0.13797 | 0.084035 | 1.64181 | 1.59298 | 2025-01 | -0.0633904 | 0.0394823 | 477 |
| switch-l30-r96_q0.15_mf0.4_us | taker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.30526 | 0.140941 | 0.0914895 | 1.54052 | 1.52263 | 2025-01 | -0.071013 | 0.0352438 | 477 |
| switch-l90-r96_q0.15_mf0.25_us | taker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 1.16203 | 0.129445 | 0.085047 | 1.52204 | 1.53263 | 2022-01 | -0.0596789 | -0.0186827 | 492 |
| switch-l90-r96_q0.15_mf0.4_us | taker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.2941 | 0.140068 | 0.0929207 | 1.50739 | 1.4978 | 2022-01 | -0.0586931 | -0.0120874 | 492 |
| switch-l120-r96_q0.15_mf0.4_us | taker_taker | recent_regime_switch | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.24119 | 0.135875 | 0.106227 | 1.2791 | 1.36482 | 2022-01 | -0.0670336 | -0.0626744 | 496 |
| switch-l120-r48_q0.15_mf0.4_us | taker_taker | recent_regime_switch | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 1.18324 | 0.131187 | 0.108469 | 1.20944 | 1.2497 | 2022-01 | -0.0670336 | 0.0143063 | 540 |
| riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us | taker_taker | riskoff_overlay | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.13152 | 0.126914 | 0.106227 | 1.19474 | 1.32117 | 2022-01 | -0.0660408 | 0.0158067 | 598 |
| blend-ng0.75-r96_q0.15_mf0.4_us | taker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 0.694414 | 0.0868153 | 0.0737547 | 1.17708 | 1.16602 | 2022-01 | -0.0443186 | 0.00710307 | 874 |
| switch-l120-r48_q0.15_mf0.25_us | taker_taker | recent_regime_switch | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 1.09034 | 0.123449 | 0.106227 | 1.16212 | 1.31428 | 2022-01 | -0.0670336 | -0.0106515 | 534 |
| riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us | taker_taker | riskoff_overlay | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 1.08416 | 0.122923 | 0.106227 | 1.15717 | 1.29077 | 2022-01 | -0.0670336 | 0.0023315 | 597 |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us | taker_taker | riskoff_overlay | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 1.11261 | 0.12533 | 0.108324 | 1.15699 | 1.29101 | 2022-01 | -0.0762643 | 0.0227075 | 652 |
| blend-ng0.70-r96_q0.15_mf0.25_us | taker_taker | equity_blend | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 0.636719 | 0.0808876 | 0.0700528 | 1.15467 | 1.18935 | 2022-01 | -0.0423554 | 0.00663218 | 874 |

## Strict robust survivors

| name | cost_model | net_total_return | net_calmar | ret_3y | ret_1y | ret_6m | ret_3m | calmar_3y | calmar_1y | calmar_6m | calmar_3m |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| switch-l30-r96_q0.15_mf0.25_us | maker_taker | 1.67172 | 2.09119 | 0.512826 | 0.291521 | 0.0533277 | 0.0606172 | 1.84194 | 6.23993 | 2.35058 | 70.1442 |
| switch-l30-r96_q0.15_mf0.4_us | maker_taker | 1.771 | 1.99538 | 0.554207 | 0.286431 | 0.0491768 | 0.0606172 | 1.80806 | 6.13099 | 2.16321 | 70.1442 |
| switch-l60-r48_q0.15_mf0.25_us | maker_taker | 1.77118 | 1.88822 | 0.446638 | 0.253123 | 0.0220114 | 0.067871 | 1.41519 | 4.34545 | 0.889086 | 38.3477 |
| switch-l90-r96_q0.15_mf0.25_us | maker_taker | 1.44092 | 1.88072 | 0.444991 | 0.230816 | 0.00381865 | 0.0420235 | 2.19108 | 4.51477 | 0.15577 | 13.9681 |
| switch-l90-r96_q0.15_mf0.4_us | maker_taker | 1.55467 | 1.83193 | 0.478749 | 0.238267 | 0.00989529 | 0.0500143 | 1.85259 | 4.52587 | 0.392731 | 10.5374 |
| switch-l60-r48_q0.15_mf0.4_us | maker_taker | 1.96711 | 1.78427 | 0.52724 | 0.274272 | 0.0392597 | 0.091974 | 1.44263 | 4.28386 | 1.53548 | 33.7035 |
| blend-ng0.70-r96_q0.15_mf0.4_us | maker_taker | 1.00386 | 1.72885 | 0.289349 | 0.197818 | 0.0218909 | 0.0447982 | 1.97278 | 5.06585 | 1.14871 | 21.7156 |
| blend-ng0.75-r96_q0.15_mf0.4_us | maker_taker | 1.08352 | 1.71543 | 0.305384 | 0.207858 | 0.0227125 | 0.0474419 | 1.94284 | 4.9462 | 1.11314 | 28.0615 |
| blend-ng0.70-r96_q0.15_mf0.25_us | maker_taker | 0.973963 | 1.68773 | 0.278391 | 0.189607 | 0.0208283 | 0.0438388 | 1.82683 | 4.82006 | 1.09238 | 34.8751 |
| blend-ng0.80-r96_q0.15_mf0.4_us | maker_taker | 1.16578 | 1.68502 | 0.32147 | 0.217935 | 0.0235112 | 0.0500828 | 1.80435 | 4.84272 | 1.081 | 37.916 |
| riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us | maker_taker | 1.72057 | 1.66327 | 0.431868 | 0.253971 | 0.0227026 | 0.058524 | 1.93712 | 4.45875 | 0.835671 | 62.1248 |
| blend-ng0.75-r96_q0.15_mf0.25_us | maker_taker | 1.05717 | 1.64839 | 0.296022 | 0.200927 | 0.02181 | 0.0466312 | 1.70188 | 4.75346 | 1.06843 | 45.0284 |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us | maker_taker | 1.72515 | 1.64121 | 0.471599 | 0.281919 | 0.0454963 | 0.0866412 | 1.66075 | 4.59987 | 1.68169 | 95.9564 |
| switch-l90-r48_q0.15_mf0.25_us | maker_taker | 1.38252 | 1.64107 | 0.506314 | 0.270433 | 0.0361292 | 0.0716299 | 2.75143 | 5.56561 | 1.57909 | 16.654 |
| riskoff-overlay-l120-m0.40-r48_q0.15_mf0.4_us | maker_taker | 1.68046 | 1.63662 | 0.472855 | 0.284922 | 0.0479458 | 0.0821034 | 2.00756 | 5.16694 | 1.84805 | 90.3119 |
| blend-ng0.85-r96_q0.15_mf0.4_us | maker_taker | 1.25069 | 1.63586 | 0.337602 | 0.228048 | 0.0242869 | 0.0527209 | 1.63373 | 4.75241 | 1.05168 | 47.9893 |
| switch-l120-r48_q0.15_mf0.4_us | maker_taker | 1.75898 | 1.62998 | 0.574828 | 0.242292 | 0.0131784 | 0.0472996 | 3.07339 | 4.98646 | 0.569457 | 7.86527 |
| blend-ng0.85-r48_q0.15_mf0.4_us | maker_taker | 1.21684 | 1.62479 | 0.334067 | 0.245257 | 0.0330769 | 0.0600773 | 1.6716 | 5.13629 | 1.41234 | 46.4245 |
| riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us | maker_taker | 1.655 | 1.61953 | 0.423004 | 0.267244 | 0.0335279 | 0.0697285 | 1.53776 | 4.69178 | 1.24078 | 37.7199 |
| nonoverlap-m0.40-r96_q0.15_mf0.25_us | maker_taker | 1.53327 | 1.61908 | 0.408538 | 0.281521 | 0.0289051 | 0.0628192 | 1.57787 | 4.99913 | 1.06726 | 38.8038 |

## Best horizon metrics

| horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | worst_month | worst_month_return |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| full | 2019-12-30 | 2026-04-29 | 1.67172 | 0.167827 | 0.0802541 | 2.09119 | 482 | 0.686722 | 1.01873 | 2.23312 | 1.80325 | 2025-01 | -0.061234 |
| 3y | 2023-04-29 | 2026-04-29 | 0.512826 | 0.147823 | 0.0802541 | 1.84194 | 254 | 0.681102 | 1.00487 | 2.1462 | 1.75466 | 2025-01 | -0.061234 |
| 1y | 2025-04-29 | 2026-04-29 | 0.291521 | 0.291521 | 0.0467186 | 6.23993 | 104 | 0.778846 | 0.874647 | 3.08028 | 2.79173 | 2025-12 | -0.031875 |
| 6m | 2025-10-29 | 2026-04-29 | 0.0533277 | 0.109816 | 0.0467186 | 2.35058 | 38 | 0.710526 | 0.682086 | 1.67421 | 1.19034 | 2025-12 | -0.031875 |
| 3m | 2026-01-29 | 2026-04-29 | 0.0606172 | 0.269564 | 0.003843 | 70.1442 | 21 | 0.809524 | 0.904063 | 3.84227 | 3.26365 | 2026-01 | 0.01086 |

## Baseline horizon metrics

| horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | worst_month | worst_month_return |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| full | 2019-12-30 | 2026-04-29 | 1.52194 | 0.157238 | 0.102913 | 1.52788 | 531 | 0.693032 | 0.917455 | 2.07131 | 1.62475 | 2022-01 | -0.0644513 |
| 3y | 2023-04-29 | 2026-04-29 | 0.386245 | 0.114903 | 0.0875276 | 1.31276 | 287 | 0.662021 | 0.895221 | 1.75353 | 1.29789 | 2024-04 | -0.0556154 |
| 1y | 2025-04-29 | 2026-04-29 | 0.258596 | 0.258596 | 0.05696 | 4.53996 | 114 | 0.719298 | 0.955713 | 2.44901 | 2.40816 | 2025-12 | -0.031875 |
| 6m | 2025-10-29 | 2026-04-29 | 0.0264751 | 0.0538025 | 0.055105 | 0.976363 | 48 | 0.583333 | 0.87322 | 1.22251 | 0.577043 | 2025-12 | -0.031875 |
| 3m | 2026-01-29 | 2026-04-29 | 0.0606172 | 0.269564 | 0.003843 | 70.1442 | 21 | 0.809524 | 0.904063 | 3.84227 | 3.26365 | 2026-01 | 0.0019671 |

## Monthly stability

| cost_model | name | months | positive_month_rate | avg_month_return | median_month_return | worst_month_return | best_month_return |
| --- | --- | --- | --- | --- | --- | --- | --- |
| maker_taker | switch-l60-r48_q0.15_mf0.25_us | 77 | 0.74026 | 0.0137391 | 0.00996726 | -0.0383721 | 0.112458 |
| maker_taker | blend-ng0.75-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.00968636 | 0.00832198 | -0.0439155 | 0.0861843 |
| maker_taker | blend-ng0.85-r48_q0.15_mf0.25_us | 77 | 0.74026 | 0.0107152 | 0.00904709 | -0.0551053 | 0.100664 |
| maker_taker | switch-l90-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0126233 | 0.00990529 | -0.056094 | 0.102728 |
| maker_taker | switch-l90-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0120015 | 0.00990529 | -0.0577181 | 0.102728 |
| maker_taker | blend-ng0.90-r48_q0.15_mf0.25_us | 77 | 0.74026 | 0.0113303 | 0.00968028 | -0.0582146 | 0.107498 |
| maker_taker | blend-ng0.90-r48_q0.15_mf0.4_us | 77 | 0.74026 | 0.0113559 | 0.00956097 | -0.0584019 | 0.106734 |
| maker_taker | riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0132016 | 0.00996726 | -0.0627997 | 0.110734 |
| maker_taker | riskoff-overlay-l90-m0.25-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0129636 | 0.00990529 | -0.0634005 | 0.11468 |
| maker_taker | riskoff-overlay-l90-m0.40-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0129625 | 0.00990529 | -0.0634058 | 0.11468 |
| maker_taker | riskoff-overlay-l60-m0.40-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0128774 | 0.00990529 | -0.0636419 | 0.110734 |
| maker_taker | riskoff-overlay-l60-m0.40-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0127249 | 0.00990529 | -0.0639109 | 0.11468 |
| maker_taker | riskoff-overlay-l60-m0.25-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0127597 | 0.00990529 | -0.0639235 | 0.11468 |
| maker_taker | riskoff-overlay-l60-m0.25-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0126643 | 0.00996726 | -0.064105 | 0.117144 |
| maker_taker | riskoff-overlay-l120-m0.25-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0131718 | 0.00996726 | -0.0644513 | 0.121246 |
| maker_taker | riskoff-overlay-l120-m0.40-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0131707 | 0.00996726 | -0.0644513 | 0.121246 |
| maker_taker | riskoff-overlay-l120-m0.40-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0135354 | 0.0101741 | -0.0644513 | 0.121246 |
| maker_taker | switch-l120-r96_q0.15_mf0.4_us | 77 | 0.74026 | 0.0140889 | 0.00990529 | -0.0644513 | 0.102728 |
| maker_taker | switch-l120-r96_q0.15_mf0.25_us | 77 | 0.74026 | 0.0131681 | 0.00990529 | -0.0644513 | 0.102728 |
| maker_taker | nonoverlap-m0.25-r48_q0.15_mf0.25_us | 77 | 0.74026 | 0.0121713 | 0.00991616 | -0.0700842 | 0.121714 |

## Worst months

| name | cost_model | month | return |
| --- | --- | --- | --- |
| nonoverlap-m0.40-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0827378 |
| switch-l90-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0789155 |
| nonoverlap-m0.40-r48_q0.15_mf0.4_us | maker_taker | 2022-01 | -0.0788724 |
| nonoverlap-m0.25-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0768573 |
| nonoverlap-m0.40-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0768506 |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0762643 |
| switch-l90-r48_q0.15_mf0.4_us | maker_taker | 2022-01 | -0.0756999 |
| switch-l30-r48_q0.15_mf0.4_us | maker_taker | 2022-01 | -0.0756999 |
| riskoff-overlay-l90-m0.40-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0740928 |
| nonoverlap-m0.25-r48_q0.15_mf0.4_us | maker_taker | 2022-01 | -0.0734686 |
| nonoverlap-m0.40-r48_q0.15_mf0.25_us | maker_taker | 2022-01 | -0.0734615 |
| nonoverlap-m0.25-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0731725 |
| riskoff-overlay-l60-m0.25-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0727881 |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0727744 |
| switch-l90-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0723304 |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us | maker_taker | 2022-01 | -0.0722408 |
| switch-l30-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0718738 |
| riskoff-overlay-l90-m0.40-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0714338 |
| riskoff-overlay-l90-m0.25-r48_q0.15_mf0.4_us | taker_taker | 2022-01 | -0.0714295 |
| riskoff-overlay-l30-m0.40-r48_q0.15_mf0.25_us | taker_taker | 2022-01 | -0.0712244 |