# Recent Market Adaptation Exploration

Command: `rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/explore_recent_market_adaptation.py --output-dir reports/recent-market-adaptation`

Scope: local OKX ETH/BTC 15m candle cache only. No live executor changes, no deployment, no orders.

Cost model: 0.0021 roundtrip cost on margin, leverage 3x.

## Recent 90d/30d Style

| window | start | end | eth_return | btc_return | eth_annualized_vol | eth_btc_corr_15m |
| --- | --- | --- | --- | --- | --- | --- |
| 90d | 2026-02-18 07:45 | 2026-05-19 07:45 | 0.0609073 | 0.133805 | 0.572804 | 0.903771 |
| 30d | 2026-04-19 07:45 | 2026-05-19 07:45 | -0.0754671 | 0.0263767 | 0.403581 | 0.881614 |

## Fixed Strategy Set

| name | description | kind |
| --- | --- | --- |
| btc-lead-momentum | Trade ETH in the direction of BTC 2h momentum when ETH confirms over 1h; fixed stop, take-profit, or 4h max hold. | btc_lead |
| eth-compression-breakout | Trade ETH 15m close breakouts from a compressed 12h range; fixed stop, take-profit, or 6h max hold. | breakout |
| eth-btc-relative-weakness-short | Short ETH when BTC is rising over 6h while ETH/BTC keeps falling; fixed stop, take-profit, or 6h max hold. | relative_weak |
| recent-style-router | Use prior 30d ETH-vs-BTC relative return and prior 90d volatility: relative weakness routes short, trend/high-vol routes breakout, otherwise BTC lead momentum. | router |

## Summary

| strategy | total_return | annualized_return | max_drawdown | calmar | trades | trades_per_30d | win_rate | profit_factor | min_recent_return |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| eth-btc-relative-weakness-short | -0.987701 | -0.496836 | 0.988504 | -0.502614 | 1381 | 17.7255 | 0.362781 | 0.803357 | -0.0594292 |
| eth-compression-breakout | -0.964564 | -0.40642 | 0.983576 | -0.413207 | 2421 | 31.0742 | 0.389095 | 0.934415 | -0.118006 |
| recent-style-router | -0.984214 | -0.476837 | 0.993726 | -0.479848 | 3106 | 39.8663 | 0.400193 | 0.929745 | -0.534382 |
| btc-lead-momentum | -1 | -0.972461 | 1 | -0.972461 | 10024 | 128.661 | 0.393256 | 0.852771 | -0.630581 |

## Required Horizons

| strategy | horizon | total_return | annualized_return | max_drawdown | calmar | trades | trades_per_30d | win_rate | profit_factor |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| btc-lead-momentum | full | -1 | -0.972461 | 1 | -0.972461 | 10024 | 128.661 | 0.393256 | 0.852771 |
| btc-lead-momentum | 3y | -0.998987 | -0.899346 | 0.999209 | -0.900058 | 3381 | 92.5456 | 0.403431 | 0.865364 |
| btc-lead-momentum | 1y | -0.73913 | -0.73913 | 0.909946 | -0.812278 | 1103 | 90.6575 | 0.417044 | 0.929291 |
| btc-lead-momentum | 6m | -0.882988 | -0.986787 | 0.909946 | -1.08444 | 666 | 110.387 | 0.378378 | 0.784272 |
| btc-lead-momentum | 3m | -0.630581 | -0.98316 | 0.755634 | -1.30111 | 313 | 105.506 | 0.380192 | 0.782875 |
| btc-lead-momentum | 30d | -0.218277 | -0.950019 | 0.325273 | -2.92068 | 65 | 65 | 0.353846 | 0.716142 |
| btc-lead-momentum | 14d | 0.123449 | 19.7968 | 0.0675722 | 292.972 | 23 | 49.2857 | 0.521739 | 1.7148 |
| eth-btc-relative-weakness-short | full | -0.987701 | -0.496836 | 0.988504 | -0.502614 | 1381 | 17.7255 | 0.362781 | 0.803357 |
| eth-btc-relative-weakness-short | 3y | -0.80442 | -0.419249 | 0.81719 | -0.513037 | 502 | 13.7409 | 0.374502 | 0.792944 |
| eth-btc-relative-weakness-short | 1y | -0.230067 | -0.230067 | 0.33152 | -0.693976 | 82 | 6.73973 | 0.365854 | 0.80587 |
| eth-btc-relative-weakness-short | 6m | -0.227862 | -0.406353 | 0.278277 | -1.46025 | 34 | 5.63536 | 0.294118 | 0.551067 |
| eth-btc-relative-weakness-short | 3m | -0.0594292 | -0.222187 | 0.120842 | -1.83866 | 10 | 3.37079 | 0.3 | 0.641106 |
| eth-btc-relative-weakness-short | 30d | 0.0343372 | 0.507959 | 0 | 0 | 1 | 1 | 1 | 0 |
| eth-btc-relative-weakness-short | 14d | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
| eth-compression-breakout | full | -0.964564 | -0.40642 | 0.983576 | -0.413207 | 2421 | 31.0742 | 0.389095 | 0.934415 |
| eth-compression-breakout | 3y | -0.935489 | -0.598603 | 0.955744 | -0.626322 | 1055 | 28.8777 | 0.370616 | 0.839236 |
| eth-compression-breakout | 1y | -0.280402 | -0.280402 | 0.48275 | -0.580843 | 330 | 27.1233 | 0.4 | 0.957288 |
| eth-compression-breakout | 6m | -0.00459422 | -0.00924296 | 0.303046 | -0.0305001 | 162 | 26.8508 | 0.41358 | 1.02929 |
| eth-compression-breakout | 3m | 0.302412 | 1.95527 | 0.231692 | 8.4391 | 86 | 28.9888 | 0.453488 | 1.3238 |
| eth-compression-breakout | 30d | -0.108164 | -0.75161 | 0.231692 | -3.244 | 24 | 24 | 0.291667 | 0.597434 |
| eth-compression-breakout | 14d | -0.118006 | -0.962137 | 0.190244 | -5.0574 | 13 | 27.8571 | 0.230769 | 0.417558 |
| recent-style-router | full | -0.984214 | -0.476837 | 0.993726 | -0.479848 | 3106 | 39.8663 | 0.400193 | 0.929745 |
| recent-style-router | 3y | -0.975833 | -0.710556 | 0.981325 | -0.724078 | 1449 | 39.6624 | 0.389234 | 0.829114 |
| recent-style-router | 1y | -0.717535 | -0.717535 | 0.762582 | -0.940928 | 541 | 44.4658 | 0.397412 | 0.846596 |
| recent-style-router | 6m | -0.753109 | -0.940442 | 0.762582 | -1.23323 | 335 | 55.5249 | 0.361194 | 0.716265 |
| recent-style-router | 3m | -0.534382 | -0.956494 | 0.590076 | -1.62097 | 188 | 63.3708 | 0.356383 | 0.724072 |
| recent-style-router | 30d | -0.189946 | -0.922924 | 0.195932 | -4.71042 | 23 | 23 | 0.217391 | 0.37093 |
| recent-style-router | 14d | -0.0513333 | -0.746883 | 0.0513333 | -14.5497 | 2 | 4.28571 | 0 | 0 |

## Router Regime Split

| regime | routed_kind | trades | avg_trade_return | sum_trade_return |
| --- | --- | --- | --- | --- |
| btc_lead_momentum | btc_lead | 1422 | -0.0015164 | -2.15632 |
| relative_weakness_short | relative_weak | 228 | -0.00157439 | -0.358961 |
| trend_or_high_vol_breakout | breakout | 1456 | -0.000305147 | -0.444293 |

## Output Files

- `reports/recent-market-adaptation/recent-style.csv`
- `reports/recent-market-adaptation/strategy-summary.csv`
- `reports/recent-market-adaptation/strategy-horizons.csv`
- `reports/recent-market-adaptation/strategy-trades.csv`
- `reports/recent-market-adaptation/router-regime-split.csv`
- `reports/recent-market-adaptation/summary.json`
- `reports/recent-market-adaptation/report.md`