eth-adaptive-state-exit-report.md 8.7 KB
ETH BB squeeze adaptive state-exit exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_adaptive_state_exit.py --bar 15m --years 10.0
Requested years: 10
Actual continuous local history: 2019-12-25 00:00 to 2026-05-19 08:30.
State machine:
trend: ETH move remains aligned with the breakout and close stays on the favorable side of the BB middle; middle exit uses a wider buffer and more confirmations.protect: trade reaches floating-profit trigger; a lock/trailing stop and faster middle exit protect profit.fast: realized volatility or bandwidth expansion crosses the variant threshold; middle exit is immediate.neutral: default state, between trend continuation and protection.
Top 10 by maker_taker full-period Calmar: | name | trades | win_rate | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | profit_factor | payoff_ratio | avg_return_pct | avg_mfe_pct | protect_exits | trend_middle_exits | fast_middle_exits | neutral_middle_exits | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 726 | 0.376033 | -0.993632 | -0.545978 | 0.994282 | -0.549118 | 0.705626 | 1.1166 | -0.440632 | 1.25849 | 289 | 0 | 31 | 96 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 576 | 0.399306 | -0.995805 | -0.574636 | 0.996142 | -0.576862 | 0.626314 | 0.893178 | -0.681703 | 1.34517 | 254 | 0 | 8 | 52 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 582 | 0.415808 | -0.998408 | -0.634366 | 0.998589 | -0.635262 | 0.487005 | 0.617812 | -0.85353 | 1.16078 | 293 | 0 | 11 | 34 | | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 729 | 0.379973 | -0.998457 | -0.636139 | 0.998579 | -0.637044 | 0.547662 | 0.81655 | -0.644114 | 1.09477 | 328 | 0 | 33 | 76 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-vc0.006-sl0.012-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 727 | 0.409904 | -0.998825 | -0.651278 | 0.998872 | -0.652013 | 0.629709 | 0.855812 | -0.660591 | 1.35758 | 331 | 0 | 9 | 66 | | eth-adaptive-state-exit-l96-bw480-q0.15-both-none-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 832 | 0.378606 | -0.998997 | -0.659826 | 0.998997 | -0.660489 | 0.633307 | 0.975091 | -0.575096 | 1.30277 | 356 | 0 | 16 | 71 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr2-tb0.0025-tc3-nb0.001-nc1-pt0.008-pl0.0005-pg0.007-pc1-fv0.0065-fr1.3-fb0-fc1-mh288 | 601 | 0.399334 | -0.999151 | -0.668521 | 0.999214 | -0.669047 | 0.299347 | 0.359216 | -0.938627 | 0.888998 | 354 | 0 | 2 | 72 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr3-tb0.0035-tc3-nb0.001-nc2-pt0.01-pl0.001-pg0.008-pc2-fv0.006-fr1.25-fb0-fc1-mh384 | 592 | 0.405405 | -0.99916 | -0.669105 | 0.999222 | -0.669626 | 0.374599 | 0.472931 | -0.95206 | 0.998238 | 320 | 0 | 5 | 52 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr2-tb0.002-tc2-nb0-nc1-pt0.006-pl0.0005-pg0.005-pc1-fv0.0055-fr1.15-fb0-fc1-mh192 | 606 | 0.333333 | -0.999257 | -0.675358 | 0.999296 | -0.675834 | 0.195097 | 0.275261 | -0.955786 | 0.742528 | 382 | 0 | 1 | 72 | | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr2-tb0.0015-tc2-nb0.0005-nc1-pt0.006-pl0-pg0.006-pc1-fv0.007-fr1.4-fb0-fc1-mh192 | 604 | 0.334437 | -0.999262 | -0.675693 | 0.9993 | -0.676167 | 0.192258 | 0.269352 | -0.960491 | 0.779293 | 385 | 0 | 0 | 67 |
Horizon leaders: | horizon | name | trades | win_rate | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | profit_factor | payoff_ratio | protect_exits | fast_middle_exits | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | full | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 726 | 0.376033 | -0.993632 | -0.545978 | 0.994282 | -0.549118 | 0.705626 | 1.1166 | 289 | 31 | | full | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 576 | 0.399306 | -0.995805 | -0.574636 | 0.996142 | -0.576862 | 0.626314 | 0.893178 | 254 | 8 | | full | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 582 | 0.415808 | -0.998408 | -0.634366 | 0.998589 | -0.635262 | 0.487005 | 0.617812 | 293 | 11 | | 3y | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 321 | 0.367601 | -0.87762 | -0.5032 | 0.894106 | -0.562797 | 0.714965 | 1.19969 | 113 | 19 | | 3y | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 260 | 0.376923 | -0.922424 | -0.573178 | 0.930815 | -0.615781 | 0.609729 | 0.983033 | 103 | 5 | | 3y | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 323 | 0.383901 | -0.933457 | -0.594436 | 0.941085 | -0.63165 | 0.559112 | 0.852195 | 136 | 21 | | 1y | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 100 | 0.45 | -0.307848 | -0.307848 | 0.41967 | -0.733548 | 0.90321 | 1.06378 | 44 | 5 | | 1y | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 100 | 0.46 | -0.429876 | -0.429876 | 0.520024 | -0.826646 | 0.720726 | 0.76773 | 52 | 4 | | 1y | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0035-tc3-nb0.001-nc2-pt0.01-pl0.001-pg0.008-pc2-fv0.006-fr1.25-fb0-fc1-mh384 | 101 | 0.435644 | -0.486154 | -0.486154 | 0.543717 | -0.89413 | 0.615795 | 0.713762 | 55 | 3 | | 6m | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 44 | 0.477273 | -0.162925 | -0.301367 | 0.263178 | -1.14511 | 0.861739 | 0.902774 | 18 | 3 | | 6m | eth-adaptive-state-exit-l48-bw960-q0.25-both-none-vc0.006-sl0.012-tr2-tb0.0025-tc3-nb0.001-nc1-pt0.008-pl0.0005-pg0.007-pc1-fv0.0065-fr1.3-fb0-fc1-mh288 | 135 | 0.377778 | -0.73204 | -0.929748 | 0.740677 | -1.25527 | 0.358385 | 0.498928 | 72 | 2 | | 6m | eth-adaptive-state-exit-l48-bw960-q0.25-both-none-vc0.006-sl0.012-tr3-tb0.0035-tc3-nb0.001-nc2-pt0.01-pl0.001-pg0.008-pc2-fv0.006-fr1.25-fb0-fc1-mh384 | 131 | 0.389313 | -0.728839 | -0.928045 | 0.734671 | -1.26321 | 0.397134 | 0.56066 | 64 | 3 | | 3m | eth-adaptive-state-exit-l96-bw480-q0.15-both-none-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 29 | 0.482759 | -0.00759354 | -0.0307773 | 0.0775761 | -0.396737 | 1.23682 | 1.23682 | 15 | 1 | | 3m | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-momo-vc0.006-sl0.012-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 23 | 0.521739 | -0.0254432 | -0.100302 | 0.114558 | -0.875559 | 1.11568 | 1.02271 | 14 | 1 | | 3m | eth-adaptive-state-exit-l96-bw960-q0.25-both-btc-up-vc0.006-sl0.012-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 27 | 0.518519 | -0.0308324 | -0.120532 | 0.125348 | -0.961578 | 1.11732 | 1.03751 | 17 | 1 | | 30d | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr4-tb0.005-tc4-nb0.0015-nc2-pt0.015-pl0.0015-pg0.012-pc2-fv0.0065-fr1.35-fb0-fc1-mh576 | 10 | 0.6 | 0.0312932 | 0.454844 | 0.0321 | 14.1696 | 1.89466 | 1.2631 | 5 | 1 | | 30d | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0045-tc4-nb0.0015-nc2-pt0.012-pl0.001-pg0.01-pc2-fv0.006-fr1.2-fb0-fc1-mh480 | 10 | 0.7 | 0.0261821 | 0.369505 | 0.0367077 | 10.0661 | 1.99307 | 0.854175 | 7 | 1 | | 30d | eth-adaptive-state-exit-l48-bw960-q0.25-long-btc-up-vc0.006-sl0.01-tr3-tb0.0035-tc3-nb0.001-nc2-pt0.01-pl0.001-pg0.008-pc2-fv0.006-fr1.25-fb0-fc1-mh384 | 10 | 0.7 | 0.0173448 | 0.232715 | 0.0359391 | 6.47526 | 1.82431 | 0.781849 | 7 | 1 |