{ "report": "eth-recent-regime-router-v3", "command": "rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_recent_regime_router_v3.py --years 10.0", "primary_cost": "maker_taker", "candidate_count": 12, "horizons": [ "full", "3y", "1y", "6m", "3m", "30d" ], "top_maker_taker": [ { "name": "eth-recent-regime-router-v3-l96-bw1440-q0.25-tr672-m192-hv0.0075-xv0.0125-bm-0.014-um0.006-rz3", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-09 00:00", "last_candle": "2026-05-19 08:30", "years": 6.3626141552511415, "total_return": -0.09653292696425853, "annualized_return": -0.01582840939177088, "max_drawdown": 0.8771204544954282, "calmar": -0.018045878773715662, "min_recent_total_return": -0.7191427609535044, "trades": 774, "win_rate": 0.24289405684754523, "profit_factor": 1.1131436484524848, "payoff_ratio": 3.4696924361338093, "baseline_bb": 70568, "protected_bb": 104586, "short_bias": 39515, "cash": 8278, "baseline_bb_entries": 330, "protected_bb_entries": 288, "short_bias_entries": 156, "stop_exits": 325, "protect_exits": 172, "giveback_exits": 0, "route_exits": 277, "middle_exits": 206, "band_length": 96, "bandwidth_lookback": 1440, "bandwidth_quantile": 0.25, "trend_lookback": 672, "momentum_lookback": 192, "vol_lookback": 96, "btc_bear_momentum": -0.014, "btc_bull_momentum": 0.006, "eth_bear_momentum": -0.0098, "high_vol": 0.0075, "extreme_vol": 0.0125, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.0, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l96-bw1440-q0.2-tr672-m192-hv0.006-xv0.011-bm-0.01-um0.006-rz2.5", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-09 00:00", "last_candle": "2026-05-19 08:30", "years": 6.3626141552511415, "total_return": 0.4678420206018725, "annualized_return": 0.06217645925499071, "max_drawdown": 0.9042535135427835, "calmar": 0.06875998635757462, "min_recent_total_return": -0.7697650312869975, "trades": 653, "win_rate": 0.2664624808575804, "profit_factor": 1.1520089132859332, "payoff_ratio": 3.171334881976793, "baseline_bb": 65075, "protected_bb": 98150, "short_bias": 41663, "cash": 18059, "baseline_bb_entries": 270, "protected_bb_entries": 249, "short_bias_entries": 134, "stop_exits": 252, "protect_exits": 143, "giveback_exits": 0, "route_exits": 258, "middle_exits": 180, "band_length": 96, "bandwidth_lookback": 1440, "bandwidth_quantile": 0.2, "trend_lookback": 672, "momentum_lookback": 192, "vol_lookback": 96, "btc_bear_momentum": -0.01, "btc_bull_momentum": 0.006, "eth_bear_momentum": -0.006999999999999999, "high_vol": 0.006, "extreme_vol": 0.011, "ratio_z_lookback": 672, "ratio_z_abs_max": 2.5, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l96-bw1440-q0.25-tr672-m192-hv0.0075-xv0.014-bm-0.018-um0.008-rz3.5", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-09 00:00", "last_candle": "2026-05-19 08:30", "years": 6.3626141552511415, "total_return": -0.737201836094431, "annualized_return": -0.18944378192497247, "max_drawdown": 0.9271274763804449, "calmar": -0.20433412529695602, "min_recent_total_return": -0.8245230864723656, "trades": 760, "win_rate": 0.22763157894736843, "profit_factor": 1.0278726993209308, "payoff_ratio": 3.487637424863505, "baseline_bb": 67891, "protected_bb": 114003, "short_bias": 36834, "cash": 4219, "baseline_bb_entries": 307, "protected_bb_entries": 319, "short_bias_entries": 134, "stop_exits": 319, "protect_exits": 200, "giveback_exits": 0, "route_exits": 241, "middle_exits": 208, "band_length": 96, "bandwidth_lookback": 1440, "bandwidth_quantile": 0.25, "trend_lookback": 672, "momentum_lookback": 192, "vol_lookback": 96, "btc_bear_momentum": -0.018, "btc_bull_momentum": 0.008, "eth_bear_momentum": -0.012599999999999998, "high_vol": 0.0075, "extreme_vol": 0.014, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.5, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l96-bw1440-q0.2-tr672-m192-hv0.006-xv0.0125-bm-0.014-um0.008-rz3", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-09 00:00", "last_candle": "2026-05-19 08:30", "years": 6.3626141552511415, "total_return": -0.23233983377714484, "annualized_return": -0.040704890566084395, "max_drawdown": 0.9208133101895788, "calmar": -0.04420536727222589, "min_recent_total_return": -0.8298605420192777, "trades": 654, "win_rate": 0.23700305810397554, "profit_factor": 1.099332574662948, "payoff_ratio": 3.5391416435923295, "baseline_bb": 65198, "protected_bb": 109498, "short_bias": 39889, "cash": 8362, "baseline_bb_entries": 254, "protected_bb_entries": 282, "short_bias_entries": 118, "stop_exits": 252, "protect_exits": 173, "giveback_exits": 0, "route_exits": 229, "middle_exits": 178, "band_length": 96, "bandwidth_lookback": 1440, "bandwidth_quantile": 0.2, "trend_lookback": 672, "momentum_lookback": 192, "vol_lookback": 96, "btc_bear_momentum": -0.014, "btc_bull_momentum": 0.008, "eth_bear_momentum": -0.0098, "high_vol": 0.006, "extreme_vol": 0.0125, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.0, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l48-bw960-q0.2-tr480-m96-hv0.006-xv0.0125-bm-0.014-um0.008-rz3", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.862478034795973, "annualized_return": -0.2673939438935503, "max_drawdown": 0.9487867542536299, "calmar": -0.28182723113993907, "min_recent_total_return": -0.8382662889297351, "trades": 980, "win_rate": 0.25204081632653064, "profit_factor": 0.9696306875256363, "payoff_ratio": 2.8774870200659572, "baseline_bb": 53958, "protected_bb": 129077, "short_bias": 31783, "cash": 8609, "baseline_bb_entries": 308, "protected_bb_entries": 510, "short_bias_entries": 162, "stop_exits": 272, "protect_exits": 316, "giveback_exits": 0, "route_exits": 392, "middle_exits": 345, "band_length": 48, "bandwidth_lookback": 960, "bandwidth_quantile": 0.2, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.014, "btc_bull_momentum": 0.008, "eth_bear_momentum": -0.0098, "high_vol": 0.006, "extreme_vol": 0.0125, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.0, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l48-bw960-q0.2-tr480-m96-hv0.006-xv0.011-bm-0.01-um0.006-rz2.5", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.9211286710623585, "annualized_return": -0.32856598976739515, "max_drawdown": 0.9751225967100486, "calmar": -0.33694839077254385, "min_recent_total_return": -0.868598612864558, "trades": 976, "win_rate": 0.2540983606557377, "profit_factor": 0.9263308412143879, "payoff_ratio": 2.719229243564816, "baseline_bb": 55706, "protected_bb": 114382, "short_bias": 34972, "cash": 18367, "baseline_bb_entries": 320, "protected_bb_entries": 463, "short_bias_entries": 193, "stop_exits": 279, "protect_exits": 272, "giveback_exits": 0, "route_exits": 425, "middle_exits": 354, "band_length": 48, "bandwidth_lookback": 960, "bandwidth_quantile": 0.2, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.01, "btc_bull_momentum": 0.006, "eth_bear_momentum": -0.006999999999999999, "high_vol": 0.006, "extreme_vol": 0.011, "ratio_z_lookback": 672, "ratio_z_abs_max": 2.5, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l48-bw960-q0.25-tr480-m96-hv0.0075-xv0.0125-bm-0.014-um0.006-rz3", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.9845717873212064, "annualized_return": -0.4801563732181421, "max_drawdown": 0.9913732271482719, "calmar": -0.4843346179514376, "min_recent_total_return": -0.9111588345596107, "trades": 1166, "win_rate": 0.24528301886792453, "profit_factor": 0.8685906661412957, "payoff_ratio": 2.67258666505014, "baseline_bb": 60532, "protected_bb": 122901, "short_bias": 31386, "cash": 8608, "baseline_bb_entries": 407, "protected_bb_entries": 553, "short_bias_entries": 206, "stop_exits": 349, "protect_exits": 340, "giveback_exits": 0, "route_exits": 477, "middle_exits": 425, "band_length": 48, "bandwidth_lookback": 960, "bandwidth_quantile": 0.25, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.014, "btc_bull_momentum": 0.006, "eth_bear_momentum": -0.0098, "high_vol": 0.0075, "extreme_vol": 0.0125, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.0, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l48-bw960-q0.25-tr480-m96-hv0.0075-xv0.014-bm-0.018-um0.008-rz3.5", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.987328498373867, "annualized_return": -0.49595921918432917, "max_drawdown": 0.9927823218095132, "calmar": -0.4995649179976934, "min_recent_total_return": -0.9206690559736669, "trades": 1143, "win_rate": 0.2379702537182852, "profit_factor": 0.8554636548016674, "payoff_ratio": 2.7393707475450455, "baseline_bb": 56993, "protected_bb": 134075, "short_bias": 27954, "cash": 4405, "baseline_bb_entries": 383, "protected_bb_entries": 590, "short_bias_entries": 170, "stop_exits": 341, "protect_exits": 371, "giveback_exits": 0, "route_exits": 431, "middle_exits": 406, "band_length": 48, "bandwidth_lookback": 960, "bandwidth_quantile": 0.25, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.018, "btc_bull_momentum": 0.008, "eth_bear_momentum": -0.012599999999999998, "high_vol": 0.0075, "extreme_vol": 0.014, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.5, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l72-bw960-q0.2-tr480-m96-hv0.006-xv0.0125-bm-0.014-um0.008-rz3", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.8581929813432401, "annualized_return": -0.26386007401580536, "max_drawdown": 0.9824527801103247, "calmar": -0.26857277963646775, "min_recent_total_return": -0.9475415060918796, "trades": 801, "win_rate": 0.22347066167290885, "profit_factor": 0.9625378051752593, "payoff_ratio": 3.3446844403296723, "baseline_bb": 53638, "protected_bb": 129852, "short_bias": 31342, "cash": 8595, "baseline_bb_entries": 247, "protected_bb_entries": 413, "short_bias_entries": 141, "stop_exits": 266, "protect_exits": 256, "giveback_exits": 0, "route_exits": 279, "middle_exits": 241, "band_length": 72, "bandwidth_lookback": 960, "bandwidth_quantile": 0.2, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.014, "btc_bull_momentum": 0.008, "eth_bear_momentum": -0.0098, "high_vol": 0.006, "extreme_vol": 0.0125, "ratio_z_lookback": 672, "ratio_z_abs_max": 3.0, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 }, { "name": "eth-recent-regime-router-v3-l72-bw960-q0.2-tr480-m96-hv0.006-xv0.011-bm-0.01-um0.006-rz2.5", "cost_model": "maker_taker", "symbol": "ETH-USDT-SWAP", "signal_symbol": "BTC-USDT-SWAP", "bar": "15m", "first_candle": "2020-01-04 00:00", "last_candle": "2026-05-19 08:30", "years": 6.376312785388127, "total_return": -0.8694566139593523, "annualized_return": -0.2733530761962043, "max_drawdown": 0.9865032013443981, "calmar": -0.27709294386848526, "min_recent_total_return": -0.9491954121786182, "trades": 811, "win_rate": 0.2342786683107275, "profit_factor": 0.9641746949858802, "payoff_ratio": 3.1513288715064824, "baseline_bb": 55168, "protected_bb": 115519, "short_bias": 34362, "cash": 18378, "baseline_bb_entries": 275, "protected_bb_entries": 372, "short_bias_entries": 164, "stop_exits": 279, "protect_exits": 221, "giveback_exits": 0, "route_exits": 311, "middle_exits": 254, "band_length": 72, "bandwidth_lookback": 960, "bandwidth_quantile": 0.2, "trend_lookback": 480, "momentum_lookback": 96, "vol_lookback": 96, "btc_bear_momentum": -0.01, "btc_bull_momentum": 0.006, "eth_bear_momentum": -0.006999999999999999, "high_vol": 0.006, "extreme_vol": 0.011, "ratio_z_lookback": 672, "ratio_z_abs_max": 2.5, "stop_loss_pct": 0.012, "middle_exit_buffer_pct": 0.001, "middle_exit_confirm_bars": 2, "breakeven_trigger_pct": 0.006, "breakeven_lock_pct": 0.0, "trail_trigger_pct": 0.012, "trail_giveback_pct": 0.006, "max_giveback_trigger_pct": 0.014, "max_giveback_pct": 0.009, "cooldown_bars": 24 } ], "output_files": [ "reports/eth-exploration/eth-recent-regime-router-v3-total.csv", "reports/eth-exploration/eth-recent-regime-router-v3-horizons.csv", "reports/eth-exploration/eth-recent-regime-router-v3-states.csv", "reports/eth-exploration/eth-recent-regime-router-v3-top10.csv", "reports/eth-exploration/eth-recent-regime-router-v3-summary.json", "reports/eth-exploration/eth-recent-regime-router-v3-report.md" ] }