eth-microstructure-report.md 9.9 KB
ETH microstructure non-RSI exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_microstructure_variants.py --bar 15m --years 10
Requested years: 10
Actual continuous local history: 2019-12-25 00:00 to 2026-04-29 17:00.
No order placement or exchange API path is used; this script only reads local candle CSV files.
Output files:
reports/eth-exploration/eth-microstructure-summary.csvreports/eth-exploration/eth-microstructure-horizons.csvreports/eth-exploration/eth-microstructure-top10.csvreports/eth-exploration/eth-microstructure-monthly.csvreports/eth-exploration/eth-microstructure-robust.csvreports/eth-exploration/eth-microstructure-best.jsonreports/eth-exploration/eth-microstructure-report.md
Primary ranking: maker_taker by net Calmar, annualized return, total return, then lower drawdown.
Top 10 maker_taker: | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | win_loss_ratio | profit_factor | risk_reward_ratio | worst_month | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-all | 807 | 0.593993 | 0.0761881 | 0.391639 | 0.194537 | 0.405204 | 1.88151 | 1.22373 | 1.51669 | 2020-06 | -0.0830986 | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-all | 807 | 0.360631 | 0.0496919 | 0.262742 | 0.189128 | 0.405204 | 1.88151 | 1.24473 | 1.37257 | 2020-06 | -0.0526192 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.25-all | 1166 | 0.288118 | 0.0406775 | 0.286215 | 0.142122 | 0.391081 | 1.91009 | 1.19097 | 1.00665 | 2020-06 | -0.0588009 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.4-all | 1166 | 0.443291 | 0.0594869 | 0.425347 | 0.139855 | 0.391081 | 1.91009 | 1.17073 | 1.04219 | 2020-06 | -0.092671 | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 340 | 0.0864982 | 0.0131505 | 0.157643 | 0.0834192 | 0.391176 | 1.92863 | 1.22658 | 0.548695 | 2022-09 | -0.0338295 | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 340 | 0.129541 | 0.0193685 | 0.241613 | 0.0801632 | 0.391176 | 1.92863 | 1.21911 | 0.536152 | 2022-09 | -0.053771 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.25-us | 507 | 0.0471019 | 0.0072747 | 0.154737 | 0.0470133 | 0.376726 | 1.96641 | 1.1762 | 0.3044 | 2020-09 | -0.0338295 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.4-us | 507 | 0.0589799 | 0.00906558 | 0.237253 | 0.0382105 | 0.376726 | 1.96641 | 1.16851 | 0.248594 | 2020-09 | -0.053771 | | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-all | 1446 | 0.0402275 | 0.00623037 | 0.379031 | 0.0164376 | 0.392808 | 1.81383 | 1.16178 | 0.106132 | 2021-01 | -0.0774482 | | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 621 | 0.0128096 | 0.0020065 | 0.155238 | 0.0129253 | 0.384863 | 1.87444 | 1.17053 | 0.0825161 | 2021-03 | -0.0434835 |
Family leaders: | family | best_calmar | best_annualized | best_drawdown | candidates | | --- | --- | --- | --- | --- | | atr_compression_expansion | 0.194537 | 0.0761881 | 0.154737 | 16 | | range_breakout_retest | 0.00207509 | 0.000288757 | 0.139154 | 36 | | opening_first_bars_split | 0.00127368 | 0.000197333 | 0.0759989 | 16 | | donchian_false_breakout | -0.264167 | -0.209087 | 0.791495 | 24 | | vwap_midline_deviation | -0.411691 | -0.39693 | 0.964144 | 16 |
Recent horizon leaders: | horizon | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_reward_ratio | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 3y | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 340 | 0.0466474 | 0.0152994 | 0.0608996 | 0.251223 | 0.765973 | | 3y | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 340 | 0.0717864 | 0.0233564 | 0.0958891 | 0.243578 | 0.74864 | | 3y | range_breakout_retest | range-retest-l192-pb0-sl0.008-tp0.014-mf0.25-us | 577 | 0.0551937 | 0.0180528 | 0.138046 | 0.130774 | 0.399822 | | 1y | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 621 | 0.160518 | 0.160518 | 0.0442837 | 3.62476 | 3.62476 | | 1y | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 621 | 0.0989967 | 0.0989967 | 0.0277275 | 3.57035 | 3.57035 | | 1y | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-all | 1446 | 0.338454 | 0.338454 | 0.11925 | 2.8382 | 2.8382 | | 6m | opening_first_bars_split | opening-split-f2-c1-r0.003-sl0.007-tp0.012-mf0.4 | 384 | 0.105115 | 0.221949 | 0.0183946 | 12.066 | 5.71443 | | 6m | opening_first_bars_split | opening-split-f2-c1-r0.003-sl0.007-tp0.012-mf0.25 | 384 | 0.0648315 | 0.134257 | 0.0115166 | 11.6577 | 5.62937 | | 6m | opening_first_bars_split | opening-split-f2-c1-r0.006-sl0.007-tp0.012-mf0.4 | 251 | 0.0759485 | 0.158131 | 0.0183946 | 8.59659 | 4.12884 | | 3m | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-all | 1446 | 0.139286 | 0.696983 | 0.0440086 | 15.8374 | 3.16498 | | 3m | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-all | 1446 | 0.0861906 | 0.39836 | 0.0274839 | 14.4943 | 3.13604 | | 3m | opening_first_bars_split | opening-split-f2-c1-r0.006-sl0.007-tp0.012-mf0.4 | 251 | 0.0447729 | 0.194385 | 0.0183946 | 10.5675 | 2.43402 |
Robust ranking by recent survival: | all_recent_positive | family | name | trades | net_total_return | net_max_drawdown | min_recent_return | max_recent_drawdown | net_total_return_3y | net_total_return_1y | net_total_return_6m | net_total_return_3m | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | True | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 621 | 0.00138783 | 0.237628 | 0.0443299 | 0.237628 | 0.0443299 | 0.160518 | 0.0651208 | 0.0544688 | | True | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 621 | 0.0128096 | 0.155238 | 0.0317784 | 0.155238 | 0.0317784 | 0.0989967 | 0.0409473 | 0.0341145 | | True | range_breakout_retest | range-retest-l192-pb0.0015-sl0.008-tp0.014-mf0.4-us | 720 | -0.150927 | 0.333465 | 0.0146791 | 0.259491 | 0.0741215 | 0.0782415 | 0.123831 | 0.0146791 | | True | range_breakout_retest | range-retest-l48-pb0.0015-sl0.008-tp0.014-mf0.25-us | 1650 | -0.285651 | 0.408127 | 0.0111738 | 0.257339 | 0.0111738 | 0.124282 | 0.0991803 | 0.0514147 | | True | range_breakout_retest | range-retest-l192-pb0.0015-sl0.008-tp0.014-mf0.25-us | 720 | -0.0851829 | 0.215155 | 0.00972751 | 0.169392 | 0.0525026 | 0.0508763 | 0.0771681 | 0.00972751 | | True | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 340 | 0.129541 | 0.241613 | 0.00752331 | 0.0958891 | 0.0717864 | 0.0613477 | 0.00804663 | 0.00752331 | | True | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 340 | 0.0864982 | 0.157643 | 0.00492964 | 0.0608996 | 0.0466474 | 0.038617 | 0.00544059 | 0.00492964 | | False | range_breakout_retest | range-retest-l48-pb0.0015-sl0.008-tp0.014-mf0.4-us | 1650 | -0.442743 | 0.583789 | -0.00461291 | 0.384099 | -0.00461291 | 0.196093 | 0.158432 | 0.0814211 | | False | range_breakout_retest | range-retest-l192-pb0-sl0.008-tp0.014-mf0.25-us | 577 | 0.00183499 | 0.139154 | -0.00882633 | 0.138046 | 0.0551937 | 0.0377978 | 0.0710829 | -0.00882633 | | False | range_breakout_retest | range-retest-l192-pb0-sl0.008-tp0.014-mf0.4-us | 577 | -0.0142303 | 0.222757 | -0.0148067 | 0.213387 | 0.080829 | 0.057629 | 0.114114 | -0.0148067 |
Low drawdown positive candidates: | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-all | 807 | 0.360631 | 0.0496919 | 0.262742 | 0.189128 | -0.0526192 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.25-all | 1166 | 0.288118 | 0.0406775 | 0.286215 | 0.142122 | -0.0588009 | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.25-us | 340 | 0.0864982 | 0.0131505 | 0.157643 | 0.0834192 | -0.0338295 | | atr_compression_expansion | atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-us | 340 | 0.129541 | 0.0193685 | 0.241613 | 0.0801632 | -0.053771 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.25-us | 507 | 0.0471019 | 0.0072747 | 0.154737 | 0.0470133 | -0.0338295 | | atr_compression_expansion | atr-compress-expand-r96-q0.25-sl0.008-tp0.016-mf0.4-us | 507 | 0.0589799 | 0.00906558 | 0.237253 | 0.0382105 | -0.053771 | | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.25-us | 621 | 0.0128096 | 0.0020065 | 0.155238 | 0.0129253 | -0.0434835 | | range_breakout_retest | range-retest-l192-pb0-sl0.008-tp0.014-mf0.25-us | 577 | 0.00183499 | 0.000288757 | 0.139154 | 0.00207509 | -0.032202 | | opening_first_bars_split | opening-split-f1-c2-r0.006-sl0.007-tp0.012-mf0.25 | 275 | 0.0012537 | 0.000197333 | 0.154931 | 0.00127368 | -0.0349717 | | atr_compression_expansion | atr-compress-expand-r48-q0.15-sl0.008-tp0.016-mf0.4-us | 621 | 0.00138783 | 0.000218432 | 0.237628 | 0.00091922 | -0.0690647 |
Worst months for best candidate atr-compress-expand-r96-q0.15-sl0.008-tp0.016-mf0.4-all:
| month | monthly_return |
| --- | --- |
| 2020-06 | -0.0830986 |
| 2022-09 | -0.0734251 |
| 2020-10 | -0.0623506 |
| 2025-02 | -0.0610277 |
| 2025-06 | -0.0610277 |
| 2023-04 | -0.046698 |
| 2022-10 | -0.0416628 |
| 2022-04 | -0.0411106 |
| 2021-12 | -0.0411106 |
| 2023-09 | -0.041105 |
| 2024-03 | -0.0353383 |
| 2020-09 | -0.0352098 |