ETH Bearish Price-Proxy Candidate Stress
Candidate: crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.06-h96-btc_riskoff
Scope: existing local OKX candles only under data/okx-candles; no live API and no order path.
Parameter-neighborhood CSV: reports/eth-exploration/eth-bearish-price-proxy-candidate-stability.csv
Conclusion: reject as an independent candidate; full-sample max drawdown is 44.90% and the neighborhood left tail is structurally weak.
Full / Recent Windows
| period |
total_return |
annualized_return |
max_drawdown |
win_rate |
profit_factor |
trades |
| full |
1.0114 |
0.1163 |
0.4490 |
0.2929 |
1.1300 |
618 |
| 3y |
0.4300 |
0.1265 |
0.2265 |
0.3155 |
1.2053 |
187 |
| 1y |
0.4003 |
0.4003 |
0.0770 |
0.3676 |
1.5097 |
68 |
| 6m |
0.1889 |
0.4176 |
0.0770 |
0.3590 |
1.4752 |
39 |
| 3m |
0.0446 |
0.1960 |
0.0358 |
0.4444 |
1.5762 |
9 |
Years
| year |
total_return |
max_drawdown |
win_rate |
profit_factor |
trades |
| 2020 |
0.2228 |
0.1882 |
0.3085 |
1.2097 |
94 |
| 2021 |
-0.3420 |
0.4403 |
0.2308 |
0.8911 |
195 |
| 2022 |
0.9053 |
0.1717 |
0.3488 |
1.4607 |
129 |
| 2023 |
-0.1181 |
0.1267 |
0.2500 |
0.4871 |
24 |
| 2024 |
0.0207 |
0.1863 |
0.2923 |
1.0664 |
65 |
| 2025 |
0.2141 |
0.1885 |
0.3214 |
1.2381 |
84 |
| 2026 |
0.2004 |
0.0770 |
0.3704 |
1.6505 |
27 |
Months
| month |
total_return |
max_drawdown |
win_rate |
profit_factor |
trades |
| 2020-01 |
-0.0059 |
0.0088 |
0.0000 |
0.0000 |
1 |
| 2020-02 |
0.1519 |
0.0204 |
0.4444 |
2.4708 |
9 |
| 2020-03 |
0.1038 |
0.1164 |
0.2973 |
1.1936 |
37 |
| 2020-04 |
-0.0088 |
0.0334 |
0.6667 |
0.5797 |
3 |
| 2020-05 |
0.0117 |
0.0204 |
0.2500 |
1.2863 |
4 |
| 2020-06 |
-0.0644 |
0.0644 |
0.1667 |
0.0688 |
6 |
| 2020-07 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0 |
| 2020-08 |
-0.0583 |
0.0583 |
0.0000 |
0.0000 |
4 |
| 2020-09 |
0.1742 |
0.0270 |
0.3750 |
1.8531 |
16 |
| 2020-10 |
0.0032 |
0.0142 |
0.5000 |
0.6427 |
2 |
| 2020-11 |
0.0471 |
0.0404 |
0.4286 |
1.6216 |
7 |
| 2020-12 |
-0.0862 |
0.0888 |
0.0000 |
0.0000 |
5 |
| 2021-01 |
-0.0051 |
0.1164 |
0.2500 |
1.0295 |
28 |
| 2021-02 |
0.0178 |
0.0980 |
0.2667 |
1.1231 |
15 |
| 2021-03 |
-0.0644 |
0.0644 |
0.0000 |
0.0000 |
5 |
| 2021-04 |
-0.0086 |
0.0676 |
0.2308 |
0.9950 |
13 |
| 2021-05 |
-0.2573 |
0.2573 |
0.1935 |
0.7412 |
62 |
| 2021-06 |
-0.0834 |
0.0834 |
0.1905 |
0.7680 |
21 |
| 2021-07 |
0.1149 |
0.0233 |
0.6667 |
5.0788 |
6 |
| 2021-08 |
-0.0218 |
0.0398 |
0.0000 |
0.0000 |
3 |
| 2021-09 |
-0.0100 |
0.0984 |
0.3158 |
1.0013 |
19 |
| 2021-10 |
-0.0306 |
0.0391 |
0.0000 |
0.0000 |
3 |
| 2021-11 |
-0.0612 |
0.0878 |
0.1250 |
0.5121 |
8 |
| 2021-12 |
0.0473 |
0.0404 |
0.3333 |
1.3674 |
12 |
| 2022-01 |
0.1738 |
0.0711 |
0.3810 |
1.6647 |
21 |
| 2022-02 |
-0.0507 |
0.0772 |
0.2308 |
0.7476 |
13 |
| 2022-03 |
-0.0636 |
0.0636 |
0.0000 |
0.0000 |
5 |
| 2022-04 |
0.0571 |
0.0302 |
0.6667 |
2.4242 |
6 |
| 2022-05 |
0.0574 |
0.0727 |
0.2941 |
1.3205 |
17 |
| 2022-06 |
0.2901 |
0.0461 |
0.3571 |
1.7856 |
28 |
| 2022-07 |
0.0770 |
0.0417 |
0.6667 |
4.7681 |
3 |
| 2022-08 |
-0.0042 |
0.0500 |
0.3636 |
1.0069 |
11 |
| 2022-09 |
0.0897 |
0.0262 |
0.4286 |
2.3343 |
7 |
| 2022-10 |
-0.0204 |
0.0204 |
0.0000 |
0.0000 |
1 |
| 2022-11 |
0.0915 |
0.0900 |
0.3125 |
1.4597 |
16 |
| 2022-12 |
0.0216 |
0.0165 |
1.0000 |
999.0000 |
1 |
| 2023-01 |
-0.0307 |
0.0369 |
0.0000 |
0.0000 |
3 |
| 2023-02 |
0.0260 |
0.0171 |
0.5000 |
4.6334 |
2 |
| 2023-03 |
-0.0500 |
0.0500 |
0.2500 |
0.0845 |
4 |
| 2023-04 |
-0.0081 |
0.0345 |
0.5000 |
0.4922 |
2 |
| 2023-05 |
-0.0235 |
0.0235 |
0.0000 |
0.0000 |
2 |
| 2023-06 |
-0.0227 |
0.0227 |
0.0000 |
0.0000 |
2 |
| 2023-07 |
-0.0095 |
0.0115 |
0.0000 |
0.0000 |
1 |
| 2023-08 |
0.0473 |
0.0133 |
0.6667 |
3.3678 |
3 |
| 2023-09 |
-0.0204 |
0.0244 |
0.0000 |
0.0000 |
1 |
| 2023-10 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0 |
| 2023-11 |
-0.0201 |
0.0204 |
0.5000 |
0.0172 |
2 |
| 2023-12 |
-0.0122 |
0.0142 |
0.0000 |
0.0000 |
2 |
| 2024-01 |
-0.0093 |
0.0250 |
0.5000 |
0.2507 |
2 |
| 2024-02 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
1 |
| 2024-03 |
-0.1242 |
0.1242 |
0.0909 |
0.3286 |
11 |
| 2024-04 |
0.0067 |
0.0875 |
0.3636 |
1.6211 |
11 |
| 2024-05 |
-0.0035 |
0.0057 |
0.0000 |
0.0000 |
3 |
| 2024-06 |
-0.0521 |
0.0629 |
0.2000 |
0.0796 |
5 |
| 2024-07 |
0.0264 |
0.0204 |
0.5000 |
1.6964 |
4 |
| 2024-08 |
0.1896 |
0.0328 |
0.5000 |
2.4420 |
14 |
| 2024-09 |
-0.0070 |
0.0246 |
0.0000 |
0.0000 |
2 |
| 2024-10 |
0.0210 |
0.0000 |
1.0000 |
999.0000 |
1 |
| 2024-11 |
-0.0282 |
0.0282 |
0.0000 |
0.0000 |
2 |
| 2024-12 |
-0.0218 |
0.0792 |
0.2222 |
0.8824 |
9 |
| 2025-01 |
0.0747 |
0.0291 |
0.3333 |
2.5352 |
6 |
| 2025-02 |
-0.0230 |
0.1367 |
0.2222 |
0.9508 |
18 |
| 2025-03 |
-0.0067 |
0.0600 |
0.4286 |
0.9530 |
7 |
| 2025-04 |
-0.0022 |
0.0416 |
0.2500 |
1.0295 |
12 |
| 2025-05 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0 |
| 2025-06 |
0.0193 |
0.0421 |
0.2857 |
1.2354 |
7 |
| 2025-07 |
-0.0204 |
0.0204 |
0.0000 |
0.0000 |
1 |
| 2025-08 |
-0.0067 |
0.0278 |
0.2000 |
0.8460 |
5 |
| 2025-09 |
-0.0189 |
0.0224 |
0.5000 |
0.0752 |
2 |
| 2025-10 |
0.1245 |
0.0667 |
0.5000 |
2.7229 |
10 |
| 2025-11 |
0.0874 |
0.0444 |
0.3636 |
1.8615 |
11 |
| 2025-12 |
-0.0251 |
0.0251 |
0.4000 |
0.6566 |
5 |
| 2026-01 |
0.2004 |
0.0204 |
0.5714 |
4.1180 |
7 |
| 2026-02 |
-0.0271 |
0.0747 |
0.2000 |
0.8567 |
15 |
| 2026-03 |
0.0542 |
0.0125 |
0.7500 |
3.2517 |
4 |
| 2026-04 |
-0.0052 |
0.0052 |
0.0000 |
0.0000 |
1 |
| 2026-05 |
0.0000 |
0.0000 |
0.0000 |
0.0000 |
0 |
Bull / Bear Segments
| segment |
total_return |
win_rate |
profit_factor |
trades |
| bear |
1.7566 |
0.3433 |
1.4193 |
233 |
| bull |
-0.4089 |
0.2566 |
0.9238 |
339 |
| unclassified |
0.2345 |
0.3043 |
1.3820 |
46 |
Volatility Segments
| segment |
total_return |
win_rate |
profit_factor |
trades |
| high_vol |
0.2241 |
0.2800 |
1.0833 |
350 |
| low_vol |
0.0993 |
0.3768 |
1.1790 |
69 |
| mid_vol |
0.5035 |
0.2879 |
1.2137 |
198 |
| unclassified |
-0.0059 |
0.0000 |
0.0000 |
1 |
Worst Consecutive Months
| type |
start_month |
end_month |
months |
total_return |
| worst_any_span |
2020-12 |
2021-11 |
12 |
-0.4258 |
| longest_losing_streak |
2023-03 |
2023-07 |
5 |
-0.1093 |
Parameter Neighborhood Stability
Base row: full return 1.0114, full DD 0.4490, full PF 1.1300.
| group |
count |
positive_full |
positive_all_windows |
min_full_return |
p10_full_return |
median_full_return |
min_full_pf |
p10_full_pf |
max_full_dd |
p90_full_dd |
| all_neighbors |
243 |
237 |
90 |
-0.1770 |
0.2943 |
0.9066 |
1.0082 |
1.0711 |
0.6262 |
0.5497 |
Top neighbors:
| name |
full_total_return |
full_max_drawdown |
full_profit_factor |
full_trades |
3y_total_return |
1y_total_return |
6m_total_return |
3m_total_return |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.07-h72-eth_riskoff |
2.4851 |
0.4113 |
1.2105 |
598 |
0.6958 |
0.2127 |
0.2609 |
0.0035 |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.07-h96-eth_riskoff |
2.4851 |
0.4113 |
1.2105 |
598 |
0.6958 |
0.2127 |
0.2609 |
0.0035 |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.07-h120-eth_riskoff |
2.4851 |
0.4113 |
1.2105 |
598 |
0.6958 |
0.2127 |
0.2609 |
0.0035 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h72-btc_riskoff |
2.4190 |
0.3114 |
1.1967 |
653 |
0.3728 |
0.3522 |
0.2307 |
-0.0096 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h96-btc_riskoff |
2.4190 |
0.3114 |
1.1967 |
653 |
0.3728 |
0.3522 |
0.2307 |
-0.0096 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h120-btc_riskoff |
2.4190 |
0.3114 |
1.1967 |
653 |
0.3728 |
0.3522 |
0.2307 |
-0.0096 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h72-eth_riskoff |
2.3597 |
0.3891 |
1.1881 |
677 |
0.6381 |
0.2983 |
0.2633 |
-0.0066 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h96-eth_riskoff |
2.3597 |
0.3891 |
1.1881 |
677 |
0.6381 |
0.2983 |
0.2633 |
-0.0066 |
| crash_follow-1H-f20-s120-lb8-th0.03-sl0.02-tp0.07-h120-eth_riskoff |
2.3597 |
0.3891 |
1.1881 |
677 |
0.6381 |
0.2983 |
0.2633 |
-0.0066 |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.05-h72-btc_riskoff |
2.1268 |
0.3979 |
1.1768 |
664 |
0.5448 |
0.3473 |
0.2450 |
0.0392 |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.05-h96-btc_riskoff |
2.1268 |
0.3979 |
1.1768 |
664 |
0.5448 |
0.3473 |
0.2450 |
0.0392 |
| crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.05-h120-btc_riskoff |
2.1268 |
0.3979 |
1.1768 |
664 |
0.5448 |
0.3473 |
0.2450 |
0.0392 |
Left-tail neighbors:
| name |
full_total_return |
full_max_drawdown |
full_profit_factor |
full_trades |
3y_total_return |
1y_total_return |
6m_total_return |
3m_total_return |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.05-h72-none |
0.0978 |
0.4797 |
1.0483 |
618 |
0.0007 |
0.0422 |
0.0695 |
-0.0215 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.05-h96-none |
0.0978 |
0.4797 |
1.0483 |
618 |
0.0007 |
0.0422 |
0.0695 |
-0.0215 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.05-h120-none |
0.0978 |
0.4797 |
1.0483 |
618 |
0.0007 |
0.0422 |
0.0695 |
-0.0215 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.06-h72-none |
0.0467 |
0.6262 |
1.0481 |
577 |
0.2127 |
0.1504 |
0.1765 |
-0.0110 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.06-h96-none |
0.0467 |
0.6262 |
1.0481 |
577 |
0.2127 |
0.1504 |
0.1765 |
-0.0110 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.025-tp0.06-h120-none |
0.0467 |
0.6262 |
1.0481 |
577 |
0.2127 |
0.1504 |
0.1765 |
-0.0110 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.06-h72-none |
-0.0350 |
0.6114 |
1.0334 |
682 |
0.3180 |
-0.0257 |
-0.0096 |
-0.0180 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.06-h96-none |
-0.0350 |
0.6114 |
1.0334 |
682 |
0.3180 |
-0.0257 |
-0.0096 |
-0.0180 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.06-h120-none |
-0.0350 |
0.6114 |
1.0334 |
682 |
0.3180 |
-0.0257 |
-0.0096 |
-0.0180 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.05-h72-none |
-0.1770 |
0.5991 |
1.0082 |
729 |
0.0493 |
-0.0895 |
-0.0804 |
-0.0283 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.05-h96-none |
-0.1770 |
0.5991 |
1.0082 |
729 |
0.0493 |
-0.0895 |
-0.0804 |
-0.0283 |
| crash_follow-1H-f20-s120-lb8-th0.04-sl0.015-tp0.05-h120-none |
-0.1770 |
0.5991 |
1.0082 |
729 |
0.0493 |
-0.0895 |
-0.0804 |
-0.0283 |
