# Strategy Expansion Summary

Date: 2026-05-08

This directory records the non-ultrashort strategy exploration round.

## Conclusion

The only branch worth continuing is the low-risk BTC/ETH rotation strategy:

- `trend_basket-1h-lb720-tr1440-bt2880-rb168-top2-mm0.000-bm0.000-vw336-vc0.0300-lev0.75-exp0.50-vt0.2000`
- Total return: `152.02%`
- Annualized return: `15.64%`
- Max drawdown: `7.72%`
- Calmar: `2.03`
- Trades: `45`
- Win rate: `57.78%`
- Profit factor: `7.38`
- 3y return: `54.98%`
- 1y return: `15.91%`
- 6m return: `-0.28%`
- 3m return: `-0.28%`

Audit status: passed. The equity curve uses next-bar execution and no same-row lookahead was found. Trade statistics were repaired to use the same executed turnover fee basis as the equity curve.

## Branch Decisions

- Rotation: keep. The raw rotation search had excessive drawdown, but the risk-refined variant is plausible and passed audit.
- Mean reversion: keep only as secondary research. ETH 4H RSI2 works historically, but recent 6m/3m were negative. The `eq_days30` self-disable rule avoided the recent drawdown but did not improve portfolio Calmar versus rotation alone.
- Trend swing: exclude for now. The attractive daily EMA candidates have only 12 trades; 4H variants have more samples but fail recent-window checks.
- Rotation + mean-reversion portfolio: exclude for now. `70/30` improves versus `50/50`, but still underperforms standalone rotation-risk by Calmar.

## Next Work

Promote rotation-risk to read-only signal observation before considering any live execution. Required checks:

- Build current signal intent for the selected rotation-risk strategy.
- Compare local and remote candle alignment for 1h aggregated BTC/ETH data.
- Observe live signals without orders for at least several rebalances.
- Add explicit execution design only after signal state and rebalance timing are proven.