eth-bb-squeeze-fixed-rr-report.md 6.8 KB
ETH BB squeeze fixed R:R exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_bb_squeeze_fixed_rr.py --bar 15m --years 10.0
Requested years: 10
Actual continuous local history: 2019-12-25 00:00 to 2026-05-19 08:30.
Exit modes:
fixed_rr_only: fixed stop-loss and take-profit only.hybrid_signal_rr: fixed stop-loss/take-profit plus original middle-band signal exit.
Top 10 by maker_taker Calmar: | name | exit_mode | trades | stop_loss_pct | take_profit_pct | reward_risk | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | hybrid_signal_rr | 220 | 0.012 | 0.036 | 3 | 8.01787 | 0.409771 | 0.267109 | 1.5341 | -0.163923 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | hybrid_signal_rr | 223 | 0.012 | 0.036 | 3 | 7.73098 | 0.402671 | 0.267109 | 1.50752 | -0.161935 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr2.5-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | hybrid_signal_rr | 222 | 0.012 | 0.03 | 2.5 | 5.94888 | 0.353546 | 0.267109 | 1.3236 | -0.177531 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr2.5-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | hybrid_signal_rr | 224 | 0.012 | 0.03 | 2.5 | 5.75281 | 0.34751 | 0.267109 | 1.301 | -0.175575 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | hybrid_signal_rr | 243 | 0.008 | 0.024 | 3 | 5.73147 | 0.346844 | 0.277965 | 1.2478 | -0.126303 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | hybrid_signal_rr | 243 | 0.008 | 0.024 | 3 | 5.62754 | 0.343575 | 0.277965 | 1.23604 | -0.128376 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc2 | hybrid_signal_rr | 242 | 0.008 | 0.024 | 3 | 5.41704 | 0.33682 | 0.278366 | 1.20999 | -0.131538 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | fixed_rr_only | 241 | 0.008 | 0.024 | 3 | 5.08233 | 0.325684 | 0.278366 | 1.16998 | -0.134119 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | fixed_rr_only | 241 | 0.008 | 0.024 | 3 | 5.08233 | 0.325684 | 0.278366 | 1.16998 | -0.134119 | | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc2 | fixed_rr_only | 241 | 0.008 | 0.024 | 3 | 5.08233 | 0.325684 | 0.278366 | 1.16998 | -0.134119 |
Top by exit mode: | exit_mode | name | trades | net_annualized_return | net_max_drawdown | net_calmar | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | | fixed_rr_only | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | 241 | 0.325684 | 0.278366 | 1.16998 | -0.134119 | | fixed_rr_only | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | 241 | 0.325684 | 0.278366 | 1.16998 | -0.134119 | | fixed_rr_only | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc2 | 241 | 0.325684 | 0.278366 | 1.16998 | -0.134119 | | fixed_rr_only | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr3-fixed_rr_only-long-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | 213 | 0.176651 | 0.263445 | 0.670541 | -0.146731 | | fixed_rr_only | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr3-fixed_rr_only-long-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | 213 | 0.176651 | 0.263445 | 0.670541 | -0.146731 | | hybrid_signal_rr | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | 220 | 0.409771 | 0.267109 | 1.5341 | -0.163923 | | hybrid_signal_rr | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | 223 | 0.402671 | 0.267109 | 1.50752 | -0.161935 | | hybrid_signal_rr | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr2.5-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0.001-mxc1 | 222 | 0.353546 | 0.267109 | 1.3236 | -0.177531 | | hybrid_signal_rr | bb-squeeze-rr-l96-bw960-q0.25-sl0.012-rr2.5-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | 224 | 0.34751 | 0.267109 | 1.301 | -0.175575 | | hybrid_signal_rr | bb-squeeze-rr-l96-bw960-q0.25-sl0.008-rr3-hybrid_signal_rr-both-btc-up-vc0.006-dd0.25-cd24-mxbuf0-mxc1 | 243 | 0.346844 | 0.277965 | 1.2478 | -0.126303 |
Recent horizon leaders: | horizon | name | exit_mode | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | --- | | 3y | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr2-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0-mxc1 | fixed_rr_only | 1633 | 2.12933 | 0.462177 | 0.518527 | 0.891325 | | 3y | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr2-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc1 | fixed_rr_only | 1633 | 2.12933 | 0.462177 | 0.518527 | 0.891325 | | 3y | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr2-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc2 | fixed_rr_only | 1633 | 2.12933 | 0.462177 | 0.518527 | 0.891325 | | 1y | bb-squeeze-rr-l96-bw960-q0.25-sl0.006-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0-mxc1 | fixed_rr_only | 1207 | 1.72944 | 1.72944 | 0.167291 | 10.338 | | 1y | bb-squeeze-rr-l96-bw960-q0.25-sl0.006-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc1 | fixed_rr_only | 1207 | 1.72944 | 1.72944 | 0.167291 | 10.338 | | 1y | bb-squeeze-rr-l96-bw960-q0.25-sl0.006-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc2 | fixed_rr_only | 1207 | 1.72944 | 1.72944 | 0.167291 | 10.338 | | 6m | bb-squeeze-rr-l48-bw960-q0.25-sl0.012-rr3-hybrid_signal_rr-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc2 | hybrid_signal_rr | 1571 | 1.82184 | 7.10085 | 0.265439 | 26.7513 | | 6m | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0-mxc1 | fixed_rr_only | 1546 | 1.16409 | 3.74362 | 0.209526 | 17.8671 | | 6m | bb-squeeze-rr-l48-bw960-q0.25-sl0.008-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc1 | fixed_rr_only | 1546 | 1.16409 | 3.74362 | 0.209526 | 17.8671 | | 3m | bb-squeeze-rr-l96-bw480-q0.15-sl0.01-rr3-hybrid_signal_rr-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc1 | hybrid_signal_rr | 835 | 1.33068 | 31.1437 | 0.0789279 | 394.584 | | 3m | bb-squeeze-rr-l96-bw480-q0.15-sl0.01-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0-mxc1 | fixed_rr_only | 776 | 1.3472 | 32.0882 | 0.0932418 | 344.14 | | 3m | bb-squeeze-rr-l96-bw480-q0.15-sl0.01-rr3-fixed_rr_only-both-none-vc0.006-ddnone-cd24-mxbuf0.001-mxc1 | fixed_rr_only | 776 | 1.3472 | 32.0882 | 0.0932418 | 344.14 |