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eth-bb-squeeze-exit-management-report.md

eth-bb-squeeze-exit-management-report.md 8.4 KB
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ETH BB squeeze exit management task C

Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_bb_squeeze_exit_management.py --bar 15m --years 10.0 --output-dir reports/eth-exploration Aligned local history: 2019-12-25 00:00 to 2026-05-20 15:15. Entry logic is fixed to the current live baseline: ETH 15m, band 96, bandwidth 960 q0.25, 1% stop, 3% take, middle exit 0.1% x1, vol cap 0.006, cooldown 24, BTC-up, NY weekday entries, skip US-open middle exits, both sides.

Exit priority: pending middle exit at next open, then entry fill; while holding, open gaps are checked before intrabar checks, protected stop/stop-loss is conservative before take-profit, then middle exit can schedule next-open exit. Dynamic protection uses MFE confirmed before the current candle.

Baseline

name trades win_rate avg_return_pct payoff_ratio profit_factor net_total_return net_annualized_return net_max_drawdown net_calmar
benone-trailnone 458 0.31441 0.456326 2.70113 1.23874 0.737524 0.0900513 0.631785 0.142535

Top 5 by full maker_taker Calmar

name trades win_rate avg_return_pct payoff_ratio profit_factor net_total_return net_annualized_return net_max_drawdown net_calmar
be0.008-0.001-trailnone 469 0.567164 0.449519 1.04199 1.36536 1.0854 0.121546 0.538717 0.225622
be0.008-0-trailnone 469 0.206823 0.453273 2.86379 1.36841 1.07583 0.120741 0.554637 0.217695
be0.01-0-trailnone 466 0.227468 0.477047 2.85896 1.34689 1.21153 0.131872 0.606408 0.217465
be0.005-0.001-trailnone 478 0.612971 0.411953 0.895307 1.41797 0.909032 0.106185 0.496816 0.21373
be0.01-0.001-trailnone 466 0.517167 0.433214 1.22771 1.31501 0.850053 0.10078 0.579416 0.173934

Top 5 horizons

name horizon trades win_rate avg_return_pct payoff_ratio profit_factor net_total_return net_annualized_return net_max_drawdown net_calmar
be0.008-0.001-trailnone full 469 0.567164 0.449519 1.04199 1.36536 1.0854 0.122099 0.538717 0.226647
be0.008-0-trailnone full 469 0.206823 0.453273 2.86379 1.36841 1.07583 0.12129 0.554637 0.218684
be0.01-0-trailnone full 466 0.227468 0.477047 2.85896 1.34689 1.21153 0.132475 0.606408 0.218458
be0.005-0.001-trailnone full 478 0.612971 0.411953 0.895307 1.41797 0.909032 0.106664 0.496816 0.214695
be0.01-0.001-trailnone full 466 0.517167 0.433214 1.22771 1.31501 0.850053 0.101234 0.579416 0.174717
be0.008-0.001-trailnone 3y 197 0.548223 0.388206 1.07378 1.30302 0.20999 0.0655376 0.538717 0.121655
be0.01-0.001-trailnone 3y 195 0.502564 0.352488 1.2365 1.24925 0.111747 0.0359083 0.579416 0.0619732
be0.008-0-trailnone 3y 197 0.218274 0.333383 2.60837 1.26022 0.0820363 0.0266054 0.554637 0.047969
be0.01-0-trailnone 3y 195 0.235897 0.317104 2.58153 1.22423 0.0337452 0.011114 0.606408 0.0183276
be0.005-0.001-trailnone 3y 201 0.61194 0.190077 0.753776 1.18865 -0.144542 -0.0506636 0.496816 -0.101977
be0.008-0.001-trailnone 1y 64 0.640625 0.820553 0.995372 1.77436 0.400628 0.400628 0.17705 2.2628
be0.01-0.001-trailnone 1y 64 0.609375 0.723148 1.04493 1.63009 0.314747 0.314747 0.198293 1.58728
be0.008-0-trailnone 1y 64 0.25 0.703366 2.39167 1.66377 0.299365 0.299365 0.191502 1.56325
be0.01-0-trailnone 1y 64 0.25 0.615336 2.40024 1.53615 0.227037 0.227037 0.212842 1.0667
be0.005-0.001-trailnone 1y 64 0.65625 0.251292 0.677539 1.29348 -0.00528428 -0.00528428 0.16686 -0.0316689
be0.008-0.001-trailnone 6m 33 0.636364 1.03818 1.1337 1.98397 0.273263 0.627704 0.0924258 6.79144
be0.01-0.001-trailnone 6m 33 0.606061 0.938176 1.18213 1.81865 0.231283 0.521296 0.0924258 5.64016
be0.008-0-trailnone 6m 33 0.242424 0.919994 2.80794 1.87196 0.224533 0.504524 0.0970462 5.1988
be0.01-0-trailnone 6m 33 0.242424 0.829085 2.80063 1.72346 0.18772 0.414707 0.0970462 4.27329
be0.005-0.001-trailnone 6m 33 0.636364 0.420912 0.844301 1.47753 0.0513299 0.106212 0.117857 0.901196
be0.008-0.001-trailnone 3m 18 0.722222 1.9381 1.31692 3.42399 0.336641 2.28702 0.0916089 24.965
be0.008-0-trailnone 3m 18 0.333333 1.82143 2.73173 3.27807 0.308848 2.01562 0.0970462 20.7697
be0.01-0.001-trailnone 3m 18 0.666667 1.75477 1.40806 2.81612 0.292572 1.86476 0.0916089 20.3557
be0.01-0-trailnone 3m 18 0.333333 1.65477 2.71262 2.71262 0.2695 1.66079 0.0970462 17.1134
be0.005-0.001-trailnone 3m 18 0.666667 1.02154 1.19704 2.39408 0.142114 0.724544 0.0705036 10.2767
be0.005-0.001-trailnone 21d 4 0.75 0.09645 0.387098 1.16129 -0.00506551 -0.0844837 0.026019 -3.247
be0.01-0.001-trailnone 21d 4 0.75 0.09645 0.387098 1.16129 -0.00506551 -0.0844837 0.026019 -3.247
be0.008-0.001-trailnone 21d 4 0.75 0.09645 0.387098 1.16129 -0.00506551 -0.0844837 0.026019 -3.247
be0.01-0-trailnone 21d 4 0.25 -0.05355 0.910448 0.910448 -0.0110208 -0.175201 0.0280644 -6.24283
be0.008-0-trailnone 21d 4 0.25 -0.05355 0.910448 0.910448 -0.0110208 -0.175201 0.0280644 -6.24283

Exit reason distribution

name exit_reason trades wins losses sum_return_pct avg_return_pct payoff_ratio profit_factor
be0.005-0.001-trailnone breakeven 214 214 0 64.2 0.3 0 0
be0.005-0.001-trailnone breakeven_gap 35 7 28 -15.362 -0.438914 0.363529 0.0908822
be0.005-0.001-trailnone signal_middle 22 7 15 -10.9244 -0.496564 1.31329 0.612869
be0.005-0.001-trailnone stop 142 0 142 -426 -3 0 0
be0.005-0.001-trailnone take_profit 65 65 0 585 9 0 0
be0.008-0-trailnone breakeven 169 0 0 0 0 0 0
be0.008-0-trailnone breakeven_gap 6 0 6 -4.2721 -0.712017 0 0
be0.008-0-trailnone signal_middle 30 13 17 0.8573 0.0285767 1.34192 1.02617
be0.008-0-trailnone stop 180 0 180 -540 -3 0 0
be0.008-0-trailnone take_profit 84 84 0 756 9 0 0
be0.008-0.001-trailnone breakeven 171 171 0 51.3 0.3 0 0
be0.008-0.001-trailnone breakeven_gap 10 4 6 -3.3329 -0.33329 0.329768 0.219845
be0.008-0.001-trailnone signal_middle 30 13 17 0.8573 0.0285767 1.34192 1.02617
be0.008-0.001-trailnone stop 180 0 180 -540 -3 0 0
be0.008-0.001-trailnone take_profit 78 78 0 702 9 0 0
be0.01-0-trailnone breakeven 135 0 0 0 0 0 0
be0.01-0-trailnone breakeven_gap 5 0 5 -4.142 -0.8284 0 0
be0.01-0-trailnone signal_middle 35 14 21 -4.554 -0.130114 1.32798 0.885323
be0.01-0-trailnone stop 199 0 199 -597 -3 0 0
be0.01-0-trailnone take_profit 92 92 0 828 9 0 0
be0.01-0.001-trailnone breakeven 140 140 0 42 0.3 0 0
be0.01-0.001-trailnone breakeven_gap 7 2 5 -3.5685 -0.509786 0.346149 0.13846
be0.01-0.001-trailnone signal_middle 35 14 21 -4.554 -0.130114 1.32798 0.885323
be0.01-0.001-trailnone stop 199 0 199 -597 -3 0 0
be0.01-0.001-trailnone take_profit 85 85 0 765 9 0 0
benone-trailnone signal_middle 73 29 44 -16.0027 -0.219215 1.14618 0.75544
benone-trailnone stop 270 0 270 -810 -3 0 0
benone-trailnone take_profit 115 115 0 1035 9 0 0

Recommendation

Do not update live from this task unless a candidate beats the baseline on full-window Calmar and does not degrade 1y, 6m, 3m, and 21d net total return versus baseline. See CSV outputs for the strict comparison.