eth-bb-squeeze-profit-protection-report.md 6.5 KB
ETH BB squeeze profit-protection exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_bb_squeeze_profit_protection.py --bar 15m --years 10.0
Actual continuous local history: 2019-12-25 00:00 to 2026-05-19 08:30.
The entry logic matches existing BB squeeze families. Variants only change exits after a trade has floating profit: breakeven stop, trailing protection, and close-based giveback.
Top 10 by maker_taker Calmar: | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | avg_mfe_pct | avg_return_pct | profit_factor | stop_exits | protect_exits | giveback_exits | signal_exits | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 811 | 91.0049 | 1.02613 | 0.694338 | 1.47786 | 2.84628 | 1.10849 | 1.59737 | 409 | 0 | 0 | 402 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-momo-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 555 | 61.7628 | 0.908659 | 0.741636 | 1.22521 | 2.7757 | 1.33576 | 1.64308 | 252 | 0 | 0 | 303 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 692 | 79.4369 | 0.98406 | 0.806423 | 1.22028 | 2.75293 | 1.18273 | 1.58505 | 302 | 0 | 0 | 390 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-momo-vc0.006-cd24-mxbuf0.001-mxc1-be0.008-0.001-trnone-gbnone | 580 | 17.0909 | 0.571681 | 0.606588 | 0.942454 | 2.0316 | 0.93091 | 1.71025 | 165 | 245 | 0 | 170 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-vc0.006-cd24-mxbuf0.001-mxc1-be0.004-0-trnone-gbnone | 764 | 16.6582 | 0.565751 | 0.629237 | 0.899106 | 1.7067 | 0.750999 | 1.85151 | 142 | 458 | 0 | 164 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-momo-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-trnone-gbnone | 583 | 11.6305 | 0.485926 | 0.590112 | 0.823446 | 1.95312 | 0.857272 | 1.72916 | 150 | 275 | 0 | 158 | | bb-squeeze-protect-l48-bw960-q0.25-sl0.012-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-be0.004-0-trnone-gbnone | 1772 | 14.3752 | 0.532263 | 0.654718 | 0.812966 | 1.38176 | 0.473451 | 1.59508 | 186 | 1002 | 0 | 584 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-momo-vc0.006-cd24-mxbuf0.001-mxc1-be0.004-0-trnone-gbnone | 596 | 10.3523 | 0.461375 | 0.604457 | 0.763288 | 1.71048 | 0.805203 | 1.84478 | 122 | 343 | 0 | 131 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-vc0.006-cd24-mxbuf0.001-mxc1-be0.008-0.001-trnone-gbnone | 738 | 14.7106 | 0.537436 | 0.778411 | 0.690427 | 2.00203 | 0.775883 | 1.61231 | 200 | 320 | 0 | 218 | | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.008-0.001-trnone-gbnone | 1680 | 11.2123 | 0.478134 | 0.698994 | 0.684031 | 1.65368 | 0.500368 | 1.43418 | 441 | 606 | 0 | 633 |
Best no-protection baselines in same grid: | name | trades | net_annualized_return | net_max_drawdown | net_calmar | avg_mfe_pct | avg_return_pct | profit_factor | | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 811 | 1.02613 | 0.694338 | 1.47786 | 2.84628 | 1.10849 | 1.59737 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-momo-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 555 | 0.908659 | 0.741636 | 1.22521 | 2.7757 | 1.33576 | 1.64308 | | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 692 | 0.98406 | 0.806423 | 1.22028 | 2.75293 | 1.18273 | 1.58505 | | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 1593 | 0.349152 | 0.886844 | 0.393702 | 1.94026 | 0.496856 | 1.31356 | | bb-squeeze-protect-l48-bw960-q0.25-sl0.012-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1601 | 0.350055 | 0.918989 | 0.380913 | 1.95926 | 0.506481 | 1.3134 |
Recent horizon leaders: | horizon | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | 3y | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-trnone-gbnone | 1695 | 5.58792 | 0.873558 | 0.582511 | 1.49964 | | 3y | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-be0.006-0-trnone-gbnone | 1718 | 3.34203 | 0.630686 | 0.589198 | 1.07041 | | 3y | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1622 | 3.81509 | 0.687825 | 0.661486 | 1.03982 | | 1y | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1622 | 3.75069 | 3.75069 | 0.362307 | 10.3522 | | 1y | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 1593 | 2.99932 | 2.99932 | 0.361048 | 8.30726 | | 1y | bb-squeeze-protect-l48-bw960-q0.25-sl0.012-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1601 | 2.50513 | 2.50513 | 0.382987 | 6.54103 | | 6m | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1622 | 2.37246 | 10.605 | 0.208803 | 50.7894 | | 6m | bb-squeeze-protect-l48-bw960-q0.25-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 1593 | 2.15676 | 9.15679 | 0.246063 | 37.2133 | | 6m | bb-squeeze-protect-l48-bw960-q0.25-sl0.012-both-none-vc0.006-cd24-mxbuf0.0005-mxc1-benone-trnone-gbnone | 1601 | 1.99874 | 8.15762 | 0.232027 | 35.158 | | 3m | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 811 | 1.2471 | 26.6723 | 0.0789279 | 337.933 | | 3m | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-trnone-gb0.012-0.007 | 886 | 0.600579 | 5.88281 | 0.0341326 | 172.352 | | 3m | bb-squeeze-protect-l96-bw960-q0.25-sl0.012-both-btc-up-vc0.006-cd24-mxbuf0.001-mxc1-benone-trnone-gbnone | 692 | 1.05747 | 18.276 | 0.151943 | 120.282 | | 30d | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-tr0.012-0.006-gbnone | 886 | 0.121807 | 3.04891 | 0.0321 | 94.9816 | | 30d | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-tr0.012-0.006-gb0.015-0.01 | 886 | 0.121807 | 3.04891 | 0.0321 | 94.9816 | | 30d | bb-squeeze-protect-l96-bw480-q0.15-sl0.01-both-none-vc0.006-cd24-mxbuf0.001-mxc1-be0.006-0-trnone-gb0.012-0.007 | 886 | 0.0792246 | 1.52849 | 0.0321 | 47.6164 |