# Exploration Round Summary

Scope: index of this round's new research reports under `reports/eth-exploration` and `reports/long-short-fusion`. Research only; no live path or order path changed.

## Summary

| direction | status | conclusion |
| --- | --- | --- |
| staged entry | observe | Risk-shaping benefit exists, but not a general upgrade over next-open entry. |
| relative momentum | reject | Standalone and explicit regime-gated variants failed the full usable filter. |
| crash_follow | observe | Small overlay improves return, but no stable fusion improvement across return, Calmar, and drawdown. |
| calendar carry | include in portfolio search | Low-weight anomaly leg is justified; validated upper bound is 0.125. |
| bearish failure confirmation | reject | Recent windows are strong, but narrow validation showed no usable overlay or filter. |
| false breakout reversal | reject | Drawdown is low, but trade coverage is too sparse for a reliable strategy. |
| wick rejection | reject | Low correlation, but returns are negative across required windows. |

## Staged Entry

Conclusion: do not replace the current next-open entry. Staged entry lowers drawdown and raises profit factor, but the main zero-offset candidate gives up compounded return; pure offset variants skip too many trades.

Status: observe.

Key metrics:
- Baseline `market_next_open`: total return 338.84%, annualized 26.49%, max drawdown 10.89%, win rate 71.84%, PF 2.35, trades 277.
- Best period-breadth staged variant `staged_o0.0000-0.0015-0.0030_v4`: total return 290.70%, annualized 24.17%, max drawdown 10.16%, win rate 79.42%, PF 2.69, trades 277.
- Regime validation: return improved in 3/11 eligible slices; median return delta -1.92%, median drawdown delta -1.17%, median PF delta +0.67.
- Bull 90d slice improved return by +11.85%, but bear 90d slice underperformed by -29.92%.

Next step: keep staged entry as a separate read-only/live-intent variant only. Do not route default execution through it.

## Relative Momentum

Conclusion: reject as a standalone direction. No candidate passed positive full/3y/1y/6m/3m filtering. The later 4H-lb84 regime-gate validation also failed to produce a logically closed usable strategy.

Status: reject.

Key metrics:
- Initial selected candidates had positive full returns, but recent horizons broke: top row full return 62.23%, max drawdown 18.58%, PF 1.49, but 3y -3.93% and 6m -0.91%.
- Some lb84 4H variants had better recent behavior, but full sample was weak or negative before gating.
- Best gated row `eth_bear90_low_vol`: full return 64.47%, max drawdown 28.01%, PF 2.93, trades 35, but min year -7.83%, min market segment -3.04%, min vol segment -12.54%.
- No regime-gated candidate passed the stated usable filter.

Next step: stop this branch unless a new premise is introduced. Do not add it to combination search.

## Crash Follow

Conclusion: the crash-follow leg has useful convexity, but only as a constrained research overlay. It improves raw return at small weights, yet representative fusion overlay testing found no combination that improved return, Calmar, and drawdown across all required horizons.

Status: observe.

Key metrics:
- Conservative baseline plus crash_follow at 5%: full return 64.41%, max drawdown 7.55%, Calmar 1.08; delta return +6.94%, delta drawdown +0.27%.
- At 10%: full return 72.52%, max drawdown 9.27%, Calmar 0.97; return improves but drawdown expands.
- Crash-follow component alone: full return 101.14%, max drawdown 44.90%; 3y return 43.00%, 1y return 40.03%, 6m return 18.89%, 3m return 4.46%.
- Fusion overlay search: no stable improvement candidates; even 2% overlay improved returns but failed Calmar/drawdown stability on full horizon.

Next step: do not enter the next fusion main search now. If revisited, cap candidate weights at tiny overlay levels and require full-horizon Calmar not to deteriorate.

## Calendar Carry

Conclusion: include in portfolio search as a small low-weight calendar anomaly leg. It is all-window-positive and improves representative fusion/conservative portfolio drawdown/Calmar at low overlay weights, but parameter neighborhood and 2024 stability are not clean enough for standalone promotion.

Status: include in portfolio search.

Key metrics:
- Selected rule `eth-1h-long-h14-weekend-hold8-volcalm`: full return 63.89%, annualized 8.18%, max drawdown 12.25%, win rate 52.75%, PF 1.36, trades 345.
- Required horizons: 3y +7.23%, 1y +3.80%, 6m +5.04%, 3m +0.36%.
- Year stability: 2024 was negative at -4.77%; positive month rate only 33.33% in 2024.
- Overlay check: 2.5%-10% weights improved full-period Calmar versus baseline, with 10% full return 53.77%, max drawdown 6.28%, Calmar 1.13.
- Fusion-leg validation: weights 0.025-0.125 improved full return, full annualized return, full max drawdown, and full Calmar versus the representative fusion baseline.
- At weight 0.125: full return 449.68% vs 414.33%, annualized 31.16% vs 29.78%, max drawdown 9.42% vs 9.72%, Calmar 3.31 vs 3.06.
- Degradation check: only 2024 was worse than baseline by year; 31/77 months were worse, with worst monthly delta -1.57%.
- Main fusion search with calendar leg: selected candidates concentrate at calendar weight 0.100-0.125. Best selected row `fusion-cal-lr_riskoff00-l1.20-brs0.08-eth4hs0.00-btc4hs0.04-eg0.12-bg0.00-cal0.125` has full return 447.74%, annualized 31.09%, max drawdown 8.61%, Calmar 3.61.
- Main fusion caveat: top rows improve full/6m/3m versus no-calendar baselines, but 3y/1y generally fail the stricter "Calmar improves and DD does not increase" test.
- Observation shortlist: selected three read-only candidates covering low drawdown, high return, and lower calendar exposure. None should trade before live signal observation.
- Read-only intent generated for A/B/C. Current calendar leg has no entry signal and no theoretical active position as of the latest local candle in the report.
- Neighborhood is mixed: hold 8 is the only useful hold bucket; many adjacent hours/weekday/vol gate variants are weak.

Next step: deploy only the read-only intent builder if observation automation is needed. Do not promote standalone.

## Bearish Failure Confirmation

Conclusion: reject for combination search after narrow validation. Trend-exhaustion variants looked promising in recent windows, but the left tail cannot be reduced without destroying the edge.

Status: reject.

Key metrics:
- Selected `trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h72-none`: full return 75.77%, annualized 9.30%, max drawdown 36.15%, win rate 46.18%, PF 1.18, trades 275.
- Recent windows are strong: 3y +25.72%, 1y +29.58%, 6m +30.91%, 3m +5.19%.
- Stability issue: 2 losing years out of 7; 2022 -22.79%, 2023 -11.67%.
- Top-row alternative has lower drawdown, `th0.032`: full return 84.15%, max drawdown 24.77%, PF 1.50, but only 92 trades and 3m return 0.00%.
- Narrow validation: parameter neighborhood pass count was 0/17.
- Best structural filter reduced 2022 loss but full return fell to 3.93% and 3y return became -1.15%.
- Conservative portfolio overlay at 2.5%-10% lowered full Calmar and full return; 3y drawdown worsened.

Next step: stop this branch unless a new premise is introduced.

## False Breakout Reversal

Conclusion: reject as an independent direction. The idea is coherent, but the selected candidate trades too rarely for statistical confidence.

Status: reject.

Key metrics:
- Selected `false_breakout_reversal-btc-4H-bidir-rl36-cw240-cq0.25-sw0.002-hs80-hl6-sl0.025-tp0.035-h36`: full return 24.86%, annualized 3.62%, max drawdown 6.81%, win rate 66.67%, PF 1.95, trades 30.
- Recent windows are superficially clean: 3y +19.70%, 1y +9.64%, 6m +9.64%, 3m +3.55%.
- Sample problem: only 30 full-sample trades, 3 trades in the last year, 1 trade in the last 3 months, and only 22 active months out of 76.
- Short-only variants are also sparse, generally around 20-24 trades for the best rows.

Next step: stop this branch. Do not combine or live-test until a non-sparse formulation exists.

## Wick Rejection

Conclusion: reject. The single-candle upper-wick rejection signal has low monthly correlation to the current reference portfolio, but the edge is negative.

Status: reject.

Key metrics:
- Reference candidate: full return -6.40%, trades 157, PF 0.95, win rate 43.31%.
- Required windows are all negative: 3y -2.15%, 1y -3.43%, 6m -2.88%, 3m -3.83%.
- Monthly correlation to `equal-2-c0003` was low at 0.0424, but low correlation without positive expectancy is not useful.

Next step: stop this branch.

## Source Reports

- `reports/eth-exploration/eth-nextgen-staged-entry-evaluation.md`
- `reports/eth-exploration/eth-nextgen-staged-entry-regime-validation.md`
- `reports/eth-exploration/eth-relative-momentum-report.md`
- `reports/eth-exploration/eth-relmom-lb84-regime-gate-report.md`
- `reports/eth-exploration/eth-btc-calendar-carry-report.md`
- `reports/eth-exploration/eth-btc-calendar-carry-candidate-stress.md`
- `reports/long-short-fusion/calendar-carry-fusion-leg.md`
- `reports/long-short-fusion/fusion-calendar-report.md`
- `reports/long-short-fusion/calendar-fusion-observation-candidates.md`
- `reports/long-short-fusion/calendar-fusion-observation-intent.md`
- `reports/eth-exploration/eth-bearish-failure-confirmation-report.md`
- `reports/eth-exploration/trend-exhaustion-narrow-validation.md`
- `reports/eth-exploration/eth-btc-false-breakout-reversal-report.md`
- `reports/eth-exploration/eth-btc-wick-rejection-report.md`
- `reports/long-short-fusion/eth-crash-follow-overlay.md`
- `reports/long-short-fusion/eth-crash-follow-fusion-overlay-search.md`