okx-codex-trader/reports/eth-exploration/bb-squeeze-15m-signal-3m-execution-report.md

BB squeeze 15m signal plus 3m execution test

name	cost	horizon	trades	win_rate	avg_return_pct	payoff_ratio	profit_factor	net_total_return	net_annualized_return	net_max_drawdown	net_calmar
15m_baseline	maker_taker	full	469	0.5671641791044776	0.449518976545844	1.0419863593083474	1.3653614363350761	1.0853994901297037	0.12209868288044623	0.5387165125309512	0.2266473739719111
15m_baseline	maker_taker	1y	64	0.640625	0.8205531249999999	0.9953721118091741	1.7743589819207015	0.4006282488645856	0.4006282488645856	0.17704966113189047	2.262801556937992
15m_baseline	maker_taker	6m	33	0.6363636363636364	1.0381757575757575	1.133697650592696	1.9839708885372176	0.2732632730161042	0.6277038853901278	0.092425763822545	6.791438441291137
15m_baseline	maker_taker	3m	18	0.7222222222222222	1.9381000000000002	1.3169186513567728	3.423988493527609	0.3366409931942098	2.2870186819108653	0.09160894700998565	24.96501440696151
15m_baseline	maker_taker	30d	6	0.6666666666666666	1.0643	1.092166026818005	2.18433205363601	0.04764453883877828	0.7617181698475293	0.03210000000000009	23.7295380014806
15m_baseline	maker_taker	21d	4	0.75	0.09644999999999997	0.38709812283122197	1.161294368493666	-0.005065508571274191	-0.08448370076822953	0.026019000000000066	-3.2470002985598723
15m_signal_3m_risk	maker_taker	full	469	0.582089552238806	0.4691575692963772	0.99521360104808	1.386190372888397	1.288474917829618	0.1385621966818804	0.528041049164097	0.2624080019938375
15m_signal_3m_risk	maker_taker	1y	64	0.640625	0.8205531249999999	0.9953721118091741	1.7743589819207015	0.4006282488645867	0.4006282488645867	0.17704966113189055	2.262801556937997
15m_signal_3m_risk	maker_taker	6m	33	0.6363636363636364	1.0381757575757575	1.133697650592696	1.9839708885372176	0.27326327301610487	0.6277038853901296	0.09242576382254505	6.791438441291152
15m_signal_3m_risk	maker_taker	3m	18	0.7222222222222222	1.9381000000000002	1.3169186513567728	3.423988493527609	0.3366409931942109	2.2870186819108764	0.09160894700998533	24.965014406961718
15m_signal_3m_risk	maker_taker	30d	6	0.6666666666666666	1.0643	1.092166026818005	2.18433205363601	0.047644538838778505	0.7617181698475337	0.03210000000000001	23.729538001480794
15m_signal_3m_risk	maker_taker	21d	4	0.75	0.09644999999999997	0.38709812283122197	1.161294368493666	-0.005065508571274191	-0.08448370076822953	0.026019000000000053	-3.247000298559874
15m_signal_3m_confirm_1	maker_taker	full	372	0.5860215053763441	0.3967163978494625	0.9402197546505899	1.330960431907978	0.49110417458991296	0.06462427219584455	0.4655024939913962	0.1388269086202554
15m_signal_3m_confirm_1	maker_taker	1y	53	0.6037735849056604	0.44270566037735865	0.9006604166666664	1.3724349206349202	0.08500184175787528	0.08500184175787528	0.22764673532090987	0.3733936339480098
15m_signal_3m_confirm_1	maker_taker	6m	26	0.6538461538461539	0.9251346153846154	1.001049019607843	1.8908703703703702	0.1765896151504811	0.3880995136726073	0.1215588968038413	3.1926870338325024
15m_signal_3m_confirm_1	maker_taker	3m	16	0.75	1.8033437500000002	1.1348194444444444	3.404458333333333	0.26858866861046216	1.6529647830853627	0.06316958999999997	26.16709690668189
15m_signal_3m_confirm_1	maker_taker	30d	5	1.0	2.5307000000000004	0.0	0.0	0.11858548913869082	2.9096844219917313	0.0	0.0
15m_signal_3m_confirm_1	maker_taker	21d	4	1.0	0.9133749999999999	0.0	0.0	0.02820616705459189	0.6216811071940949	0.0	0.0
15m_signal_3m_pullback_0005	maker_taker	full	446	0.5515695067264574	0.31334551569506647	1.013951043300488	1.2471597832596002	0.11245591911628217	0.016844538372218	0.6267308215121823	0.026876830999910506
15m_signal_3m_pullback_0005	maker_taker	1y	64	0.65625	1.0175999999999998	1.047576423359644	1.999918626413866	0.5833945608702031	0.5833945608702031	0.14975685621643806	3.89561169758428
15m_signal_3m_pullback_0005	maker_taker	6m	33	0.6363636363636364	1.2977363636363635	1.267996058911386	2.2189931030949253	0.38187974008345726	0.919856353849303	0.09242576382254508	9.952380329962994
15m_signal_3m_pullback_0005	maker_taker	3m	18	0.7777777777777778	2.629183333333333	1.5003997592461167	5.2513991573614085	0.5090197748702641	4.405675826927267	0.03210000000000009	137.24846812857493
15m_signal_3m_pullback_0005	maker_taker	30d	6	0.6666666666666666	1.13755	1.1650135432702613	2.3300270865405226	0.05229043123742283	0.8591598218716903	0.03210000000000007	26.765103485099324
15m_signal_3m_pullback_0005	maker_taker	21d	4	0.75	0.2063250000000001	0.4623852637175337	1.3871557911526011	-0.0006533645476901606	-0.011295530536360787	0.02341700000000002	-0.48236454440623383
15m_signal_3m_pullback_001	maker_taker	full	438	0.5639269406392694	0.39869657534246516	1.0249690353319172	1.325483516895202	0.6065078502004742	0.07713697569288214	0.5217879322665718	0.14783204233530314
15m_signal_3m_pullback_001	maker_taker	1y	64	0.671875	1.0725296875	1.0312644446122499	2.1116367199203214	0.6410261906972337	0.6410261906972337	0.14975685621643817	4.280446364143634
15m_signal_3m_pullback_001	maker_taker	6m	33	0.6666666666666666	1.4234272727272728	1.23976880797518	2.47953761595036	0.441162194513254	1.0895670999685145	0.09242576382254504	11.78856473461722
15m_signal_3m_pullback_001	maker_taker	3m	18	0.7777777777777778	2.6634611111111113	1.5333165918722373	5.366608071552831	0.5182489218912738	4.542554597984499	0.03210000000000006	141.51260429858226
15m_signal_3m_pullback_001	maker_taker	30d	6	0.6666666666666666	1.2403833333333332	1.247323921033077	2.494647842066154	0.05872622701718799	1.002325470625618	0.03209999999999997	31.22509254285417
15m_signal_3m_pullback_001	maker_taker	21d	4	0.75	0.36057500000000003	0.5762306539348927	1.7286919618046783	0.005458627605847921	0.09923901757551334	0.02189299999999989	4.5329108653685575
15m_signal_3m_pullback_002	maker_taker	full	388	0.5412371134020618	0.2643685567010309	1.0191770000914908	1.2023998315686126	-0.09438904919179036	-0.015420344688567678	0.69398421553518	-0.022220022218626352
15m_signal_3m_pullback_002	maker_taker	1y	57	0.6491228070175439	1.4627087719298242	1.322052977410402	2.4457980082092434	0.9188204530469628	0.9188204530469628	0.12234878289923186	7.509845470254624
15m_signal_3m_pullback_002	maker_taker	6m	32	0.6875	1.85664375	1.4187257991749405	3.121196758184869	0.6307096916121666	1.6808552146785027	0.09242576382254501	18.18600296239585
15m_signal_3m_pullback_002	maker_taker	3m	18	0.7777777777777778	2.6728388888888883	1.5572584854671716	5.4504046991351	0.5208690893986654	4.581887945135752	0.03210000000000008	142.73794221606667
15m_signal_3m_pullback_002	maker_taker	30d	6	0.6666666666666666	1.2685166666666665	1.2910924020372103	2.5821848040744206	0.06055335827297581	1.0447758285766175	0.03210000000000002	32.54753360051766
15m_signal_3m_pullback_002	maker_taker	21d	4	0.75	0.40277500000000005	0.6299548927552241	1.8898646782656723	0.007193830567690185	0.1326817252752024	0.02020500000000012	6.566776801544252
15m_signal_3m_pullback_003	maker_taker	full	311	0.5369774919614148	0.3830488745980704	1.11140107634774	1.2889165260421707	0.3094343749629527	0.04316304168541696	0.46570662182788325	0.09268290306030744
15m_signal_3m_pullback_003	maker_taker	1y	44	0.6590909090909091	1.2137863636363635	1.1751633370704044	2.271982451669449	0.4922085439822532	0.4922085439822532	0.11686477022609308	4.211778648347138
15m_signal_3m_pullback_003	maker_taker	6m	25	0.68	1.220148	1.1266433329363426	2.394117082489728	0.25887268800692786	0.590819038379325	0.09324184616099997	6.336415061528945
15m_signal_3m_pullback_003	maker_taker	3m	14	0.7857142857142857	1.7846285714285715	1.103788396207169	4.047224119426287	0.23086588549252784	1.344041918531227	0.03209999999999999	41.87046475175163
15m_signal_3m_pullback_003	maker_taker	30d	3	0.6666666666666666	0.7282666666666667	0.9967260822117135	1.993452164423427	0.014936075309637031	0.19767060124261326	0.024091999999999947	8.204823229396219
15m_signal_3m_pullback_003	maker_taker	21d	1	1.0	2.8345	0.0	0.0	0.026245000000000074	0.5687510776592075	0.0	0.0
15m_signal_3m_twap_2x3m	maker_taker	full	468	0.5683760683760684	0.36948098290598347	0.9863722871011938	1.2988862790540472	0.45112293419873617	0.060098426204890476	0.5908398720405504	0.10171694404667024
15m_signal_3m_twap_2x3m	maker_taker	1y	64	0.640625	0.7021734374999999	0.9302852239823592	1.658334529707684	0.30282008427182205	0.30282008427182205	0.17704966113189022	1.7103680534369463
15m_signal_3m_twap_2x3m	maker_taker	6m	33	0.6363636363636364	1.0274424242424243	1.120879494847925	1.9615391159838689	0.26856257562635055	0.6156085459646821	0.09242576382254497	6.660572988573124
15m_signal_3m_twap_2x3m	maker_taker	3m	18	0.7222222222222222	1.9503111111111113	1.3313509892483093	3.4615125720456037	0.339603818878748	2.3170026273838866	0.09160894700998544	25.292318086914936
15m_signal_3m_twap_2x3m	maker_taker	30d	6	0.6666666666666666	1.1009333333333333	1.1276939450378198	2.2553878900756397	0.04996676908889164	0.8098221872779985	0.03210000000000002	25.228105522679066
15m_signal_3m_twap_2x3m	maker_taker	21d	4	0.75	0.15139999999999998	0.42258378282783615	1.2677513484835086	-0.002860116487201636	-0.048563921977202384	0.024717999999999962	-1.9647189083745635
15m_signal_3m_twap_3x3m	maker_taker	full	466	0.555793991416309	0.3211135193133044	0.9998645403736078	1.2510382413370262	0.15414466982615238	0.022725137455340105	0.5345631917225814	0.04251160163517883
15m_signal_3m_twap_3x3m	maker_taker	1y	64	0.625	0.7692046874999999	1.015040833188136	1.6917347219802266	0.3543569390320882	0.3543569390320882	0.14975685621643806	2.3662151302104606
15m_signal_3m_twap_3x3m	maker_taker	6m	33	0.6060606060606061	0.9359030303030303	1.1759728146385937	1.8091889455978367	0.23014838945611427	0.5184692900544476	0.0924257638225451	5.609575389064616
15m_signal_3m_twap_3x3m	maker_taker	3m	18	0.7222222222222222	1.9658222222222221	1.3452254005346975	3.4975860413902136	0.3433283605431343	2.3549880548363027	0.09160894700998541	25.706965658928578
15m_signal_3m_twap_3x3m	maker_taker	30d	6	0.6666666666666666	1.1474666666666666	1.1661506308537815	2.332301261707563	0.052886023963042206	0.8720030736543656	0.03210000000000008	27.165204786740293
15m_signal_3m_twap_3x3m	maker_taker	21d	4	0.75	0.22119999999999995	0.46939779787168595	1.408193393615058	-8.7737826417-05	-0.001523871612260308	0.023776000000000016	-0.06409285044836419
15m_signal_3m_twap_4x3m	maker_taker	full	467	0.5460385438972163	0.3414967880085646	1.0514819122842807	1.264754186945715	0.2601922573353108	0.036914345369480905	0.5177589915014185	0.0712963868815396
15m_signal_3m_twap_4x3m	maker_taker	1y	64	0.65625	1.01204375	1.0451448082021757	1.9952764520223358	0.5779368576800596	0.5779368576800596	0.14975685621643806	3.85916793582251
15m_signal_3m_twap_4x3m	maker_taker	6m	33	0.6666666666666666	1.4051454545454545	1.22276187566634	2.44552375133268	0.4324504621337555	1.0641734067221171	0.09242576382254497	11.513817822109667
15m_signal_3m_twap_4x3m	maker_taker	3m	18	0.7777777777777778	2.6427666666666667	1.5125716658456634	5.294000830459822	0.5126696516973508	4.45949841730394	0.03210000000000007	138.9251843396863
15m_signal_3m_twap_4x3m	maker_taker	30d	6	0.6666666666666666	1.1783	1.196093103855697	2.392186207711394	0.054835613563259944	0.9146153652928428	0.03210000000000002	28.492690507565182
15m_signal_3m_twap_4x3m	maker_taker	21d	4	0.75	0.2674500000000001	0.5049241330638694	1.514772399191608	0.0017637622439570233	0.031102754017718892	0.022881999999999972	1.3592672851026542
15m_signal_3m_twap_5x3m	maker_taker	full	468	0.5405982905982906	0.3191715811965804	1.0581528322126503	1.245175193254886	0.1356566089706035	0.020139701562039036	0.6291645942954044	0.03201022712441933
15m_signal_3m_twap_5x3m	maker_taker	1y	64	0.625	0.8175265624999999	1.0612665905554501	1.7687776509257502	0.39765597689362564	0.39765597689362564	0.14975685621643797	2.655344048615099
15m_signal_3m_twap_5x3m	maker_taker	6m	33	0.6060606060606061	1.034460606060606	1.2829223037055417	1.9737266210854487	0.27147626783595036	0.6231003936652928	0.1039065674390946	5.9967373480076365
15m_signal_3m_twap_5x3m	maker_taker	3m	18	0.7222222222222222	2.1465111111111113	1.7284441411567644	4.493954767007587	0.38845861603471543	2.841892446789495	0.03422066889999997	83.04608115914114
15m_signal_3m_twap_5x3m	maker_taker	30d	6	0.6666666666666666	1.19105	1.2076665610393726	2.4153331220787453	0.055638424841018885	0.9324197978317568	0.03209999999999997	29.047345726846032
15m_signal_3m_twap_5x3m	maker_taker	21d	4	0.75	0.286575	0.5197963432884377	1.5593890298653132	0.0025261817486066374	0.0448277912855255	0.022592000000000022	1.9842329712077484