# ETH Robust Price TWAP 15m Validation

Candidate: `rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48`
Candles: 222501 from 2019-12-25 00:00 to 2026-04-29 17:00
Params: trend=60, rsi=3, exit=50, stop=0.012, max_hold=48, offsets=(0.003, 0.006, 0.009), valid=4, fill_buffer=0

## Main Runner

- Mark-to-market 10y return: -100.00%
- Mark-to-market 10y annualized: -100.00%
- Mark-to-market max drawdown: 100.00%
- Trades: 339
- Win rate: 79.94%
- Average trade return: 0.73%
- Payoff ratio: 0.6765
- Profit factor: 2.6961
- Max consecutive losses: 3
- Worst month: taker_taker 2025-12 -6.51%

## Cost Scenarios

| cost | return | annualized | max_dd | calmar |
| --- | --- | --- | --- | --- |
| maker_maker | 654.47% | 37.48% | 9.77% | 3.84 |
| maker_taker | 459.02% | 31.14% | 10.21% | 3.05 |
| taker_taker | 314.10% | 25.09% | 10.64% | 2.36 |

## Report Comparison

- Differences over 0.1%: 0
- First 50 independent trades match: True
- Independent full trade count matches: True
- Note: report CSV rows are closed-trade cost-adjusted equity, not the runner's open-position mark-to-market `total_return`.
- Finding: the runner's mark-to-market `total_return` collapses to -100.00% while the closed-trade cost equity used by the report is positive; this is a separate accounting-path issue from the CSV reproduction.

## Generated Files

- `reports/eth-exploration/eth-robust-twap-validation-summary.md`
- `reports/eth-exploration/eth-robust-twap-validation-metrics.csv`
- `reports/eth-exploration/eth-robust-twap-validation-costs.csv`
- `reports/eth-exploration/eth-robust-twap-validation-horizons.csv`
- `reports/eth-exploration/eth-robust-twap-validation-monthly.csv`
- `reports/eth-exploration/eth-robust-twap-validation-comparison.csv`
- `reports/eth-exploration/eth-robust-twap-validation-first50-trades.csv`
- `reports/eth-exploration/eth-robust-twap-validation-equity.csv`