# ETH Robust TWAP Accounting Audit

Candidate: `rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48`
Candles: 224510 from 2019-12-25 00:00 to 2026-05-20 15:15

## Accounting

- Legacy runner mark-to-market return: 132.33%
- Corrected gross mark-to-market return: 132.33%
- Corrected open position at end: False
- Corrected trades: 341
- Accounting status for corrected path: PASS

| check | legacy_mtm_total_return | legacy_closed_trade_total_return | absolute_gap | pass | reason | corrected_mtm_total_return | corrected_closed_trade_total_return | max_cost_weight | min_cost_weight | open_position |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| legacy_mtm_vs_legacy_closed_trade | 1.3232803910603863 | 1.323280750998948 | 3.5993856162264137e-07 | False | regular exit replaces account equity with margin equity and drops unused cash when partial TWAP fills occur |  |  |  |  |  |
| corrected_mtm_vs_corrected_closed_trade_gross |  |  | 4.884981308350689e-15 | True | all closed-trade returns are measured against account equity and weighted by margin_used/account_equity | 1.3232803910603863 | 1.3232803910603814 |  |  |  |
| position_sizing |  |  |  | True | TWAP sizing uses account_equity/number_of_offsets per filled slice; cost is charged only on filled margin |  |  | 1.0 | 0.33333333 | False |

## Base Candidate Horizons

| cost_model | horizon | total_return | annualized_return | max_drawdown | calmar |
| --- | --- | --- | --- | --- | --- |
| maker_taker | 1y | 0.080771968179987 | 0.080771968179987 | 0.12723894891738385 | 0.6348053710537342 |
| maker_taker | 21d | 0.0016015574748515782 | 0.028204756860404023 | 0.0007272974186812134 | 38.780224067819276 |
| maker_taker | 30d | 0.037900411395961564 | 0.5723919912799644 | 0.002195400629807118 | 260.7232518331988 |
| maker_taker | 3m | 0.07533020577650662 | 0.3469671543293662 | 0.002195400629807118 | 158.04275065724556 |
| maker_taker | 3y | 0.3191599637032767 | 0.096636173089371 | 0.12723894891738385 | 0.7594857856937878 |
| maker_taker | 6m | 0.057880079457953926 | 0.1201544336797622 | 0.08454287192004607 | 1.4212248880472704 |
| maker_taker | full | 0.48238568479308275 | 0.06338301602447949 | 0.12723894891738385 | 0.4981416190857882 |
| taker_taker | 1y | 0.04409247576007602 | 0.04409247576007602 | 0.13958998441800632 | 0.3158713423739615 |
| taker_taker | 21d | -0.00019907545237840552 | -0.003454484906283861 | 0.0016272974186812455 | -2.1228356086764766 |
| taker_taker | 30d | 0.03482545244229751 | 0.5166419863021743 | 0.002693979306176955 | 191.77652371626587 |
| taker_taker | 3m | 0.06927185681342074 | 0.3161156167066721 | 0.002693979306176955 | 117.3415163144939 |
| taker_taker | 3y | 0.2063205585096135 | 0.064460296684689 | 0.13958998441800632 | 0.4617831068141733 |
| taker_taker | 6m | 0.03963181655191206 | 0.08153080988042882 | 0.08791132650226653 | 0.9274209948171672 |
| taker_taker | full | 0.2224569424788001 | 0.03185464870630472 | 0.14650931754572022 | 0.21742404674272028 |

## Small Retest Top 5 Per Cost

| cost_model | name | trades | total_return_full | annualized_return_full | max_drawdown_full | total_return_3y | total_return_1y | total_return_6m | total_return_3m | total_return_30d | total_return_21d | min_recent_return |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| maker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t50-r2-l3.0-x50.0-sl0.012-mh48 | 272 | 0.37098463407455484 | 0.05049013269414693 | 0.11560342698578269 | 0.12150067838807987 | 0.04183824917658763 | 0.071292287733554 | 0.07685541846001476 | 0.041604968475719595 | 0.0035554457517399385 | 0.0035554457517399385 |
| maker_taker | rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48 | 280 | 0.7228184472018497 | 0.0886309658890092 | 0.13998063564653757 | 0.2891492199006671 | 0.015374585304855026 | 0.016150216092173375 | 0.05666134671847778 | 0.02634888472572361 | 0.002843172254200388 | 0.002843172254200388 |
| maker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh36 | 341 | 0.48238568479308275 | 0.06338301602447949 | 0.12723894891738385 | 0.3191599637032767 | 0.080771968179987 | 0.057880079457953926 | 0.07533020577650662 | 0.037900411395961564 | 0.0016015574748515782 | 0.0016015574748515782 |
| maker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48 | 341 | 0.48238568479308275 | 0.06338301602447949 | 0.12723894891738385 | 0.3191599637032767 | 0.080771968179987 | 0.057880079457953926 | 0.07533020577650662 | 0.037900411395961564 | 0.0016015574748515782 | 0.0016015574748515782 |
| maker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48 | 314 | 0.5152230103172482 | 0.06702652050594704 | 0.14857853685041786 | 0.23060263422867977 | 0.026438165481850184 | 0.02525805121432012 | 0.05499575684550284 | 0.024263950033786452 | 0.0016015574748515782 | 0.0016015574748515782 |
| taker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t50-r2-l3.0-x50.0-sl0.012-mh48 | 272 | 0.17348709316533584 | 0.025288695371210812 | 0.1442694569147211 | 0.04348781823606118 | 0.012828243786384919 | 0.055993224111632545 | 0.07175398004116373 | 0.03914427279830757 | 0.0023539167467445665 | 0.0023539167467445665 |
| taker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh36 | 341 | 0.2224569424788001 | 0.03185464870630472 | 0.14650931754572022 | 0.2063205585096135 | 0.04409247576007602 | 0.03963181655191206 | 0.06927185681342074 | 0.03482545244229751 | -0.00019907545237840552 | -0.00019907545237840552 |
| taker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48 | 341 | 0.2224569424788001 | 0.03185464870630472 | 0.14650931754572022 | 0.2063205585096135 | 0.04409247576007602 | 0.03963181655191206 | 0.06927185681342074 | 0.03482545244229751 | -0.00019907545237840552 | -0.00019907545237840552 |
| taker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x45.0-sl0.012-mh48 | 341 | 0.22033923889783313 | 0.03157538518171932 | 0.16051120034608776 | 0.16264604930548487 | 0.023933526654796644 | 0.020156618796274506 | 0.06770043544357418 | 0.03429923876550345 | -0.00019907545237907165 | -0.00019907545237907165 |
| taker_taker | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48 | 314 | 0.27618299799642076 | 0.03880652529963746 | 0.159130572943319 | 0.136152884631638 | -0.0045683763708872505 | 0.009659583715144304 | 0.05028749428819146 | 0.02182269514827162 | -0.0001990754523782945 | -0.0045683763708872505 |

## Files

- `reports/eth-exploration/eth-robust-twap-accounting-audit-accounting.csv`
- `reports/eth-exploration/eth-robust-twap-accounting-audit-horizons.csv`
- `reports/eth-exploration/eth-robust-twap-accounting-audit-ranked.csv`
- `reports/eth-exploration/eth-robust-twap-accounting-audit-summary.md`