okx-codex-trader/reports/eth-exploration/eth-bb-squeeze-risk-10y-report.md

ETH BB squeeze breakout risk 10y exploration

Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_bb_squeeze_risk_10y.py --bar 15m --years 10.0 Requested years: 10 Actual continuous local history: 2019-12-25 00:00 to 2026-05-17 06:45.

Output files:

• reports/eth-exploration/eth-bb-squeeze-risk-10y-summary.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-horizon.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-top10-calmar.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-top10-worst-month.csv
• reports/eth-exploration/eth-bb-squeeze-risk-10y-report.md

Cost model: maker_taker is the primary ranking cost; maker_maker and taker_taker are included for sensitivity. Objective: reduce drawdown, not maximize total return.

Top 10 by Calmar: | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24 | 1119 | 339.815 | 1.48787 | 0.916869 | 1.62277 | 2023-03 | -0.347852 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 1162 | 291.486 | 1.42911 | 0.919538 | 1.55416 | 2023-03 | -0.347852 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-long-btc-up-momo-vc0.006-dd0.25-cd24 | 88 | 5.13297 | 0.327735 | 0.22184 | 1.47735 | 2020-09 | -0.106508 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-btc-up-momo-vc0.006-dd0.25-cd24 | 102 | 4.33493 | 0.299119 | 0.22184 | 1.34836 | 2020-06 | -0.104447 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-long-none-vcnone-ddnone-cd24 | 1020 | 62.6008 | 0.913717 | 0.697743 | 1.30953 | 2022-04 | -0.286826 | | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 869 | 73.8326 | 0.962984 | 0.747902 | 1.28758 | 2026-02 | -0.24232 | | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24 | 832 | 51.6492 | 0.85802 | 0.747902 | 1.14724 | 2025-05 | -0.237728 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtp0.035-xbnone-trenone-both-btc-up-vc0.006-dd0.25-cd24 | 250 | 5.49413 | 0.339663 | 0.309557 | 1.09725 | 2021-12 | -0.21646 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xb0.75-trenone-long-btc-up-momo-vcnone-dd0.25-cd24 | 124 | 1.57456 | 0.15929 | 0.149217 | 1.06751 | 2020-09 | -0.0532221 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtp0.035-xbnone-trenone-long-btc-up-momo-vcnone-dd0.25-cd24 | 182 | 2.76106 | 0.230042 | 0.228312 | 1.00758 | 2020-06 | -0.149314 |

Top 10 by worst month: | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-dd0.25-cd24 | 60 | 1.62821 | 0.163033 | 0.193217 | 0.84378 | 2020-02 | 0.136333 | | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-dd0.25-cd24 | 35 | 1.11882 | 0.124522 | 0.187444 | 0.664314 | 2020-02 | -0.0193537 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-dd0.25-cd24 | 59 | 1.36502 | 0.144009 | 0.227863 | 0.631999 | 2020-04 | -0.0321 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xb0.75-trenone-long-btc-up-momo-vcnone-dd0.25-cd24 | 124 | 1.57456 | 0.15929 | 0.149217 | 1.06751 | 2020-09 | -0.0532221 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtp0.025-xbnone-tre96-both-none-vcnone-dd0.25-cd24 | 84 | 0.507627 | 0.0662696 | 0.27097 | 0.244564 | 2020-04 | -0.0631696 | | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtp0.035-xbnone-tre96-both-none-vcnone-dd0.25-cd24 | 62 | -0.0524317 | -0.0083823 | 0.27834 | -0.0301153 | 2020-04 | -0.0631696 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-btc-up-vc0.006-dd0.25-cd24 | 40 | 0.592582 | 0.0754448 | 0.22569 | 0.334286 | 2020-04 | -0.0710575 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-btc-up-vcnone-dd0.25-cd24 | 45 | 0.918827 | 0.10723 | 0.22569 | 0.475123 | 2020-04 | -0.0710575 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xb0.75-trenone-long-btc-up-vc0.006-dd0.25-cd24 | 140 | 1.19395 | 0.130662 | 0.236442 | 0.55262 | 2020-09 | -0.0723774 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xb0.75-trenone-long-btc-up-vcnone-dd0.25-cd24 | 146 | 1.12568 | 0.12509 | 0.236442 | 0.529051 | 2020-09 | -0.0723774 |

Recent horizon leaders: | horizon | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | 3y | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 1714 | 2.52358 | 0.521114 | 0.67989 | 0.766469 | | 3y | bb-squeeze-l96-bw480-q0.15-sl0.008-tp0.018-xtpnone-xbnone-trenone-long-btc-up-vc0.006-ddnone-cd24 | 369 | 0.598871 | 0.169165 | 0.262692 | 0.643967 | | 3y | bb-squeeze-l96-bw480-q0.15-sl0.008-tp0.018-xtp0.025-xbnone-trenone-long-btc-up-vc0.006-ddnone-cd24 | 369 | 0.598871 | 0.169165 | 0.262692 | 0.643967 | | 1y | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 1714 | 3.14329 | 3.14329 | 0.340747 | 9.2247 | | 1y | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24 | 1650 | 2.83359 | 2.83359 | 0.340747 | 8.31581 | | 1y | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 1162 | 2.95556 | 2.95556 | 0.374088 | 7.90073 | | 6m | bb-squeeze-l48-bw480-q0.15-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 1242 | 1.89087 | 7.50549 | 0.156814 | 47.8624 | | 6m | bb-squeeze-l48-bw480-q0.15-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24 | 1179 | 1.72534 | 6.55193 | 0.18388 | 35.6315 | | 6m | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24 | 1650 | 2.02495 | 8.31975 | 0.235434 | 35.3379 | | 3m | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtp0.025-xbnone-tre96-both-none-vc0.006-ddnone-cd24 | 1209 | 0.921508 | 13.563 | 0.104247 | 130.105 | | 3m | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtp0.025-xbnone-tre96-both-none-vcnone-ddnone-cd24 | 1279 | 0.921508 | 13.563 | 0.104247 | 130.105 | | 3m | bb-squeeze-l96-bw480-q0.15-sl0.01-tpnone-xtp0.025-xbnone-trenone-both-none-vcnone-ddnone-cd24 | 894 | 0.780087 | 9.64366 | 0.0745393 | 129.377 |

Verdict:

• Yes: at least one variant met MDD <= 45%, worst month >= -25%, and Calmar > 1.0.
• Best Calmar variant is bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-none-vc0.006-ddnone-cd24: Calmar 1.62277, MDD 0.916869, worst month 2023-03 -0.347852, trades 1119.

Acceptable drawdown candidates: | name | trades | net_annualized_return | net_max_drawdown | net_calmar | worst_month_return | | --- | --- | --- | --- | --- | --- | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-long-btc-up-momo-vc0.006-dd0.25-cd24 | 88 | 0.327735 | 0.22184 | 1.47735 | -0.106508 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtpnone-xbnone-trenone-both-btc-up-momo-vc0.006-dd0.25-cd24 | 102 | 0.299119 | 0.22184 | 1.34836 | -0.104447 | | bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-xtp0.035-xbnone-trenone-both-btc-up-vc0.006-dd0.25-cd24 | 250 | 0.339663 | 0.309557 | 1.09725 | -0.21646 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtpnone-xb0.75-trenone-long-btc-up-momo-vcnone-dd0.25-cd24 | 124 | 0.15929 | 0.149217 | 1.06751 | -0.0532221 | | bb-squeeze-l48-bw960-q0.25-sl0.01-tpnone-xtp0.035-xbnone-trenone-long-btc-up-momo-vcnone-dd0.25-cd24 | 182 | 0.230042 | 0.228312 | 1.00758 | -0.149314 |