okx-codex-trader/reports/eth-exploration

ETH Exploration Summary

This directory contains three completed ETH exploration worker outputs.

Worker outputs

1. Risk/exit variants

Script:

• scripts/search_eth_risk_exit_variants.py

Reports:

• reports/eth-exploration/eth-risk-exit-summary.md
• reports/eth-exploration/eth-risk-exit-total.csv
• reports/eth-exploration/eth-risk-exit-horizon.csv
• reports/eth-exploration/eth-risk-exit-top10.csv

Core conclusion: negative. The best maker_taker result is the unchanged market baseline (market-t50-r3.0-x45.0-stop-none-mh10000). Tested stop, max-hold, and risk-filter variants did not reduce drawdown while preserving return.

2. BTC regime variants

Script:

• scripts/search_eth_btc_regime_variants.py

Reports:

• reports/eth-exploration/eth-btc-regime-report.md
• reports/eth-exploration/eth-btc-regime-summary.csv
• reports/eth-exploration/eth-btc-regime-total.csv
• reports/eth-exploration/eth-btc-regime-horizon.csv
• reports/eth-exploration/eth-btc-regime-top10.csv

Core conclusion: effective. BTC trend plus momentum gating on the ETH RSI2 entry produced the strongest robust sampled-window result. The best maker_taker candidate was eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0, with positive net_ci95_low and improved full-period Calmar versus baseline.

3. Price-TWAP variants

Script:

• scripts/search_eth_price_twap_variants.py

Reports:

• reports/eth-exploration/eth-price-twap-summary.md
• reports/eth-exploration/eth-price-twap-search.csv
• reports/eth-exploration/eth-price-twap-horizons.csv
• reports/eth-exploration/eth-price-twap-top10.csv

Core conclusion: search methodology needs review. The standalone price-TWAP search ranks maker_taker candidates with negative annualized return and Calmar, while the BTC regime report shows strong recent horizon returns for baseline price-TWAP rows. The price-TWAP comparison/search口径 should be reconciled before promoting any price-TWAP result.

Second round followups

Scripts:

• scripts/compare_eth_twap_evaluation.py
• scripts/search_eth_regime_price_twap_variants.py

Reports:

• reports/eth-exploration/eth-twap-evaluation-diff.csv
• reports/eth-exploration/eth-twap-evaluation-diff.md
• reports/eth-exploration/eth-regime-price-twap-summary.csv
• reports/eth-exploration/eth-regime-price-twap-total.csv
• reports/eth-exploration/eth-regime-price-twap-horizon.csv
• reports/eth-exploration/eth-regime-price-twap-top10.csv
• reports/eth-exploration/eth-regime-price-twap-report.md

Core conclusion: negative for promotion. The price-TWAP search versus main-report mismatch came from two direct causes: the earlier search grid did not include the main-report ETH deep parameter set, and it evaluated a 3-year search sample while the main report used a 10-year total evaluation with recent horizons cut from that continuous equity curve.

Reporting rule going forward: evaluate selected strategies with the shared runner over the 10-year continuous cached history, then cut 3y/1y/6m/3m horizons from the same run.

BTC regime plus ETH price-TWAP did not exceed the ETH/BTC RSI filter. Its best maker_taker window robustness and full-period Calmar both remained below the standalone baselines, so the ETH/BTC RSI filter remains the stronger candidate.

Third round followups

Scripts:

• scripts/search_eth_twap_10y_refine.py
• scripts/search_eth_strategy_portfolio_10y.py
• scripts/search_eth_non_rsi_10y.py

Reports:

• reports/eth-exploration/eth-twap-10y-refine-summary.md
• reports/eth-exploration/eth-twap-10y-refine-all.csv
• reports/eth-exploration/eth-twap-10y-refine-horizons.csv
• reports/eth-exploration/eth-twap-10y-refine-top15.csv
• reports/eth-exploration/eth-twap-10y-refine-run.log
• reports/eth-exploration/eth-strategy-portfolio-10y-report.md
• reports/eth-exploration/eth-strategy-portfolio-10y-strategies.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-total.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-top10.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-horizon.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-correlation.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-worst-months.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-equity.csv
• reports/eth-exploration/eth-non-rsi-10y-report.md
• reports/eth-exploration/eth-non-rsi-10y-summary.csv
• reports/eth-exploration/eth-non-rsi-10y-horizon.csv
• reports/eth-exploration/eth-non-rsi-10y-top10.csv

Core conclusion: ETH TWAP refined toward the t60/r5/x45 direction, with rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 ranking first by eligible maker_taker 3y Calmar. The ETH-focused portfolio is the most stable live-allocation candidate in this round: the best maker_taker portfolio combines eth_btc_rsi_filter with btc_lead_eth_lag_5m, producing lower drawdown than ETH price-TWAP deep. Non-RSI exploration found BB squeeze breakout as the high-return but high-drawdown branch, led by bb-squeeze-l96-bw480-q0.15-sl0.008.

Fourth round followups

Scripts:

• scripts/search_eth_twap_robustness_10y.py
• scripts/search_eth_bb_squeeze_risk_10y.py

Reports:

• reports/eth-exploration/eth-twap-robustness-10y-summary.md
• reports/eth-exploration/eth-twap-robustness-10y-ranked.csv
• reports/eth-exploration/eth-twap-robustness-10y-totals.csv
• reports/eth-exploration/eth-twap-robustness-10y-horizons.csv
• reports/eth-exploration/eth-twap-robustness-10y-rolling.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-report.md
• reports/eth-exploration/eth-bb-squeeze-risk-10y-summary.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-horizon.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-top10-calmar.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-top10-worst-month.csv

Core conclusion: ETH robust TWAP recommends t60/r3/x50/sl0.012/offsets 0.003-0.006-0.009/valid4. BB squeeze has a low-drawdown version, but trade count is low and it should be treated cautiously.