okx-codex-trader/reports/eth-exploration/eth-robust-twap-validation-summary.md

ETH Robust Price TWAP 15m Validation

Candidate: rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 Candles: 222501 from 2019-12-25 00:00 to 2026-04-29 17:00 Params: trend=60, rsi=3, exit=50, stop=0.012, max_hold=48, offsets=(0.003, 0.006, 0.009), valid=4, fill_buffer=0

Main Runner

• Mark-to-market 10y return: -100.00%
• Mark-to-market 10y annualized: -100.00%
• Mark-to-market max drawdown: 100.00%
• Trades: 339
• Win rate: 79.94%
• Average trade return: 0.73%
• Payoff ratio: 0.6765
• Profit factor: 2.6961
• Max consecutive losses: 3
• Worst month: taker_taker 2025-12 -6.51%

Cost Scenarios

cost	return	annualized	max_dd	calmar
maker_maker	654.47%	37.48%	9.77%	3.84
maker_taker	459.02%	31.14%	10.21%	3.05
taker_taker	314.10%	25.09%	10.64%	2.36

Report Comparison

• Differences over 0.1%: 0
• First 50 independent trades match: True
• Independent full trade count matches: True
• Note: report CSV rows are closed-trade cost-adjusted equity, not the runner's open-position mark-to-market total_return.
• Finding: the runner's mark-to-market total_return collapses to -100.00% while the closed-trade cost equity used by the report is positive; this is a separate accounting-path issue from the CSV reproduction.

Generated Files

• reports/eth-exploration/eth-robust-twap-validation-summary.md
• reports/eth-exploration/eth-robust-twap-validation-metrics.csv
• reports/eth-exploration/eth-robust-twap-validation-costs.csv
• reports/eth-exploration/eth-robust-twap-validation-horizons.csv
• reports/eth-exploration/eth-robust-twap-validation-monthly.csv
• reports/eth-exploration/eth-robust-twap-validation-comparison.csv
• reports/eth-exploration/eth-robust-twap-validation-first50-trades.csv
• reports/eth-exploration/eth-robust-twap-validation-equity.csv