okx-codex-trader/reports/eth-exploration/eth-bearish-price-proxy-report.md

ETH Bearish Price-Proxy Search

Output: reports/eth-exploration/eth-bearish-price-proxy-totals.csv

Scope: read-only local OKX candles under data/okx-candles; ETH trades, BTC absolute risk-off filter only; no staged entry, no ETH/BTC relative momentum, no live path.

Families: crash-follow short, rebound-exhaustion short, candle-only funding proxy short, and risk-off bidirectional with bearish bias.

Best full-sample candidate: crash_follow-4H-f20-s120-lb24-th0.02-sl0.02-tp0.06-h96-eth_riskoff; it fails the 3m window.

Best all-window-positive candidate: crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.06-h96-btc_riskoff. Verdict: worth continuing as a narrow crash-follow research branch, but not ready for live work.

Best all-window-positive metrics

period	total_return	annualized_return	max_drawdown	win_rate	profit_factor	trades
full	1.0114	0.1158	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	0.2002	0.4449	0.0770	0.3611	1.5522	36
3m	0.0613	0.2762	0.0204	0.5000	1.9492	8

All-window-positive candidates

name	family	bar	gate	short_ratio	full_total_return	full_annualized_return	full_max_drawdown	full_win_rate	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-tp0.06-h96-btc_riskoff	crash_follow	1H	btc_riskoff	1.0000	1.0114	0.1158	0.4490	0.2929	1.1300	618	0.4300	0.4003	0.2002	0.0613
crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	1H	eth_riskoff	1.0000	0.9838	0.1134	0.4611	0.2971	1.1268	626	0.5196	0.2200	0.1816	0.0126
crash_follow-1H-f20-s120-lb8-th0.035-sl0.02-tp0.035-h48-none	crash_follow	1H	none	1.0000	0.8159	0.0981	0.5875	0.3781	1.0865	886	0.7802	0.4959	0.1828	0.0068
crash_follow-1H-f40-s240-lb8-th0.035-sl0.02-tp0.06-h96-btc_riskoff	crash_follow	1H	btc_riskoff	1.0000	0.7515	0.0920	0.5619	0.2802	1.1142	571	0.5241	0.3107	0.1338	0.0282
crash_follow-15m-f40-s240-lb8-th0.02-sl0.02-tp0.035-h48-none	crash_follow	15m	none	1.0000	0.4409	0.0588	0.6628	0.3607	1.0471	1755	0.8613	0.4140	0.2194	0.0127

Top 10

name	family	bar	gate	short_ratio	full_total_return	full_annualized_return	full_max_drawdown	full_win_rate	full_profit_factor	full_trades	3y_total_return	1y_total_return	6m_total_return	3m_total_return
crash_follow-4H-f20-s120-lb24-th0.02-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	4H	eth_riskoff	1.0000	2.4922	0.2190	0.2873	0.2882	1.1773	687	0.7320	0.5474	0.2527	-0.0462
crash_follow-1H-f20-s120-lb8-th0.02-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	1H	eth_riskoff	1.0000	2.4790	0.2159	0.4805	0.3079	1.1577	890	1.7288	0.4446	0.1106	-0.1225
crash_follow-4H-f20-s120-lb24-th0.035-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	4H	eth_riskoff	1.0000	2.2219	0.2035	0.2817	0.2846	1.1802	622	0.9872	0.5871	0.2651	-0.0530
crash_follow-1H-f20-s120-lb8-th0.02-sl0.02-tp0.06-h96-btc_riskoff	crash_follow	1H	btc_riskoff	1.0000	2.0677	0.1921	0.5180	0.3031	1.1512	838	1.1123	0.4607	0.1419	-0.0605
crash_follow-1H-f40-s240-lb8-th0.02-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	1H	eth_riskoff	1.0000	1.9615	0.1858	0.5875	0.3027	1.1437	826	2.0104	0.5585	0.0464	-0.1773
crash_follow-4H-f20-s120-lb8-th0.02-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	4H	eth_riskoff	1.0000	1.8568	0.1808	0.4133	0.2807	1.1824	538	0.8112	0.5710	0.1766	-0.0948
crash_follow-1H-f40-s240-lb8-th0.035-sl0.02-tp0.06-h96-eth_riskoff	crash_follow	1H	eth_riskoff	1.0000	1.2696	0.1373	0.5593	0.2927	1.1458	591	0.8922	0.3853	0.1439	-0.0222
riskoff_bidir-1H-f20-s120-lb8-th0.02-sl0.02-tp0.035-h48-eth_riskoff	riskoff_bidir	1H	eth_riskoff	1.0000	1.1598	0.1283	0.5267	0.3642	1.0778	1370	0.9188	0.1311	-0.0073	-0.1912
crash_follow-1H-f40-s240-lb8-th0.02-sl0.02-tp0.06-h96-btc_riskoff	crash_follow	1H	btc_riskoff	1.0000	1.0552	0.1197	0.6135	0.2917	1.1134	768	0.9116	0.2331	-0.0106	-0.1481
riskoff_bidir-1H-f40-s240-lb8-th0.02-sl0.02-tp0.035-h48-eth_riskoff	riskoff_bidir	1H	eth_riskoff	1.0000	1.0392	0.1184	0.5961	0.3751	1.0753	1277	1.1033	0.1556	-0.0956	-0.2206