# Recent Regime False Breakout Mean Reversion

Scope: ETH/BTC perpetual swap local OKX candles, 3m/5m/15m, most recent 36 months only. No network and no live executor changes.

Signal definition: compressed rolling range, sweep beyond the prior range, close back inside, enter the opposite side on next open, exit at range midpoint, stop, take-profit, or max hold.

Selected by Calmar then annualized return among candidates with at least 30 trades: `eth-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18`.

## Selected Horizons

| horizon | total_return | annualized | max_drawdown | calmar | trades | win_rate | profit_factor | payoff_ratio |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| 7d | 0.0014 | 0.0749 | 0.0000 | 0.0000 | 1 | 1.0000 | 0.0000 | 0.0000 |
| 14d | 0.0014 | 0.0368 | 0.0000 | 0.0000 | 1 | 1.0000 | 0.0000 | 0.0000 |
| 30d | -0.0095 | -0.1094 | 0.0152 | -7.2184 | 6 | 0.5000 | 0.3781 | 0.3781 |
| 90d | -0.0073 | -0.0294 | 0.0152 | -1.9425 | 9 | 0.4444 | 0.6000 | 0.7501 |
| 6m | 0.0097 | 0.0197 | 0.0152 | 1.2985 | 17 | 0.5294 | 1.3110 | 1.1653 |
| 1y | 0.0242 | 0.0242 | 0.0152 | 1.5948 | 28 | 0.6071 | 1.6924 | 1.0951 |
| 3y | 0.0046 | 0.0015 | 0.0365 | 0.0416 | 80 | 0.5625 | 1.0358 | 0.8056 |

## Selected Monthly Summary

Months: 37, active months: 32, positive active months: 16.

Worst active months:

| month | total_return | trades |
| --- | --- | --- |
| 2025-05 | -0.0293 | 6 |
| 2023-12 | -0.0135 | 2 |
| 2026-04 | -0.0120 | 6 |
| 2025-11 | -0.0078 | 3 |
| 2024-09 | -0.0075 | 3 |
| 2024-04 | -0.0068 | 1 |
| 2024-02 | -0.0068 | 1 |
| 2025-12 | -0.0051 | 2 |
| 2023-05 | -0.0025 | 2 |
| 2023-10 | -0.0024 | 1 |

## Top Candidates

| name | symbol | bar | side_mode | total_return | annualized | max_drawdown | calmar | trades | win_rate | profit_factor | payoff_ratio |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| eth-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | short | 0.0046 | 0.0015 | 0.0365 | 0.0416 | 80 | 0.5625 | 1.0358 | 0.8056 |
| eth-5m-fbmr-bidir-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | bidir | -0.0037 | -0.0012 | 0.0678 | -0.0182 | 153 | 0.5752 | 0.9937 | 0.7340 |
| eth-5m-fbmr-long-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | long | -0.0071 | -0.0024 | 0.0491 | -0.0482 | 146 | 0.5753 | 0.9843 | 0.7265 |
| eth-5m-fbmr-long-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | long | -0.0082 | -0.0027 | 0.0526 | -0.0521 | 73 | 0.5890 | 0.9541 | 0.6657 |
| btc-5m-fbmr-long-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | BTC-USDT-SWAP | 5m | long | -0.0154 | -0.0051 | 0.0404 | -0.1275 | 37 | 0.5946 | 0.7615 | 0.5192 |
| eth-5m-fbmr-bidir-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | bidir | -0.0501 | -0.0170 | 0.1214 | -0.1398 | 284 | 0.5528 | 0.9290 | 0.7515 |
| btc-5m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | BTC-USDT-SWAP | 5m | long | -0.0268 | -0.0090 | 0.0634 | -0.1424 | 81 | 0.6049 | 0.8218 | 0.5367 |
| eth-5m-fbmr-short-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | short | -0.0433 | -0.0146 | 0.0898 | -0.1630 | 138 | 0.5290 | 0.8755 | 0.7795 |
| btc-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | BTC-USDT-SWAP | 5m | short | -0.0134 | -0.0045 | 0.0267 | -0.1681 | 42 | 0.5000 | 0.8076 | 0.8076 |
| eth-3m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h30 | ETH-USDT-SWAP | 3m | short | -0.0309 | -0.0104 | 0.0562 | -0.1848 | 71 | 0.5775 | 0.8051 | 0.5891 |
| btc-3m-fbmr-long-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h30 | BTC-USDT-SWAP | 3m | long | -0.0118 | -0.0039 | 0.0207 | -0.1904 | 38 | 0.6316 | 0.7959 | 0.4643 |
| btc-3m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h30 | BTC-USDT-SWAP | 3m | long | -0.0325 | -0.0109 | 0.0556 | -0.1969 | 85 | 0.6235 | 0.7781 | 0.4698 |
| eth-5m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | long | -0.0869 | -0.0298 | 0.1475 | -0.2021 | 200 | 0.5900 | 0.7869 | 0.5468 |
| btc-15m-fbmr-short-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h10 | BTC-USDT-SWAP | 15m | short | -0.0365 | -0.0123 | 0.0604 | -0.2037 | 85 | 0.5412 | 0.7679 | 0.6510 |
| eth-3m-fbmr-short-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h30 | ETH-USDT-SWAP | 3m | short | -0.0540 | -0.0183 | 0.0860 | -0.2129 | 115 | 0.5565 | 0.8010 | 0.6383 |

## Output Files

- `recent-regime-mean-reversion-total.csv`
- `recent-regime-mean-reversion-horizons.csv`
- `recent-regime-mean-reversion-monthly.csv`
- `recent-regime-mean-reversion-report.md`