# ETH strategy inventory and live-test order

This is a decision memo for what to shadow/live-test first. It does not place orders.

## Data boundary

The ETH/BTC 15m aligned local history currently covers about 2019-12-30 to 2026-04-29, roughly 6.3 years. Reports that say 10y are using the full available local history when 10 years is not present.

## Current strategy set

| Strategy | Execution dependency | Main result | Recent result | Status |
| --- | --- | --- | --- | --- |
| `nextgen + micro recent_regime_switch` | Taker/market-style signal portfolio, synthetic accounting | Full `+167.17%`, ann. `16.78%`, DD `8.03%`, Calmar `2.09` | 1y `+29.15%`, 6m `+5.33%`, 3m `+6.06%` | Best research candidate; shadow first, then smallest real test after live signal/accounting implementation is explicit. |
| `eth-btc-nextgen equal-2-c0003` | Taker/market-style synthetic 2-leg portfolio | Full `+152.19%`, ann. `15.72%`, DD `10.29%`, Calmar `1.53` | 1y `+25.86%`, 6m `+2.65%`, 3m `+6.06%` | Validated internally by independent replay; use as baseline. |
| `eth-btc-low-turnover` | Direct lower-frequency long-only signal | Taker/taker full `+29.64%`, ann. `4.19%`, DD `3.52%`, Calmar `1.19` | Taker/taker 1y `+3.07%`, 6m `+1.09%`, 3m `+0.05%` | Best real-money pilot candidate because it is sparse and cost-stressed. |
| Conservative ETH-focused portfolio | Mixed portfolio; primary version includes maker-dependent TWAP | Lowest-DD variant return `+57.47%`, ann. `7.43%`, DD `7.28%`, worst month `-4.44%` | Previously qualified across horizons | Shadow only until maker fill/miss and slippage are observed. |
| No-maker conservative portfolio | No maker-dependent TWAP | Return `+72.69%`, ann. `9.01%`, DD `10.46%`, worst month `-4.51%` | Previously qualified across horizons | Secondary baseline; less attractive than nextgen after latest search. |
| ETH microstructure ATR compression/US | Taker/market-style, ETH-only | Best full candidate `+59.4%`, ann. `7.62%`, DD `39.2%`; robust US candidate full weak | Robust candidate 3y/1y/6m/3m all positive but low return | Use only as regime-switch component, not standalone live strategy. |
| ETH robust price TWAP | Maker/post-only price ladder | Optimistic maker assumptions strong | Conservative fill/slippage stress failed | Do not trade standalone; only shadow maker fill quality. |
| BB squeeze risk candidate | Taker/market-style | High return, high DD, low robust trade count | Insufficient confidence | Watchlist only. |
| Regime router | Taker/market-style | Gross captures moves but net after cost fails | Full/3y/1y/6m/3m negative | Reject for live. |
| Taker-entry TWAP | Taker entry | No qualified candidate | Failed positive-horizon requirement | Reject. |

## Live-test priority

1. **Read-only shadow: `nextgen + micro recent_regime_switch`**

   This is the best current research candidate by risk-adjusted metrics. The blocker is not backtest math; it is execution definition. It combines independently compounded sub-strategies and a recent-regime switch, so the next implementation must produce a single explicit order intent stream before any real order.

2. **Tiny real pilot candidate: `eth-btc-low-turnover`**

   This is the cleanest candidate for real money first because it is direct, sparse, and survives `taker_taker=0.0030`. With a 100 USDT account, this is the only one I would consider for first real order testing after a read-only signal appears. Expect few trades: about `0.96` trades/month in the best stressed candidate.

3. **Read-only baseline: `eth-btc-nextgen equal-2-c0003`**

   Keep it running as the benchmark. It is validated and stronger than the conservative portfolio, but it is a synthetic 2-leg daily-equal portfolio, so direct live execution needs a deterministic portfolio-accounting translation.

4. **Read-only maker-quality monitor: conservative portfolio with TWAP leg**

   The strategy is not the first live allocation because maker fill assumptions decide whether it is real. The useful live test is to log post-only ladder fill/miss/slippage without relying on it for PnL.

## What to test with real orders first

First real-order test should be `eth-btc-low-turnover`, not the highest-return strategy. Reason: it has the smallest operational surface, low trade frequency, positive results under taker/taker cost, and no maker-fill dependency.

Minimum real test constraints:

- Only one ETH-USDT-SWAP position at a time.
- Use isolated margin.
- Use the smallest OKX-valid contract size from available balance.
- Do not pyramid.
- No TWAP ladder for the first live test.
- Log the signal snapshot, order response, fill price, fee, realized PnL, and whether it matched the backtest entry/exit candle assumption.

The current `eth-btc-nextgen` read-only signal report shows `no_signal` on the latest aligned candle available in local data. No order should be sent until the signal intent script produces a concrete entry intent and the live execution wrapper is reviewed separately.