eth-btc-false-breakout-reversal-report.md 5.6 KB
ETH/BTC False Breakout Reversal Search
Scope: local OKX ETH/BTC candle CSV only; no live trading. Excluded: staged entry, ETH/BTC relative momentum, crash-follow, calendar/time buckets, trend_exhaustion.
First-principles signal: a narrow rolling range means recent price agreement is compressed. If price sweeps the upper boundary but closes back inside while the higher-timeframe EMA slope is non-positive, the breakout has failed and a short targets reversion toward the range center. The bidirectional variant mirrors this for lower-boundary failures only for comparison.
Selected candidate: false_breakout_reversal-btc-4H-bidir-rl36-cw240-cq0.25-sw0.002-hs80-hl6-sl0.025-tp0.035-h36.
Verdict: not worth continuing.
Selected metrics
| period | total_return | annualized_return | max_drawdown | win_rate | profit_factor | trades |
|---|---|---|---|---|---|---|
| full | 0.2486 | 0.0362 | 0.0681 | 0.6667 | 1.9541 | 30 |
| 3y | 0.1970 | 0.0617 | 0.0509 | 0.7647 | 2.7934 | 17 |
| 1y | 0.0964 | 0.0964 | 0.0000 | 1.0000 | 999.0000 | 3 |
| 6m | 0.0964 | 0.2039 | 0.0000 | 1.0000 | 999.0000 | 3 |
| 3m | 0.0355 | 0.1537 | 0.0000 | 1.0000 | 999.0000 | 1 |
Stability
Years: 7, losing years: 1. Months: 76, active months: 22, losing active months: 10, active month ratio: 0.2895.
| period | return | trades |
|---|---|---|
| 2020 | -0.0128 | 2 |
| 2021 | 0.0191 | 6 |
| 2022 | 0.0318 | 3 |
| 2023 | 0.0196 | 6 |
| 2024 | 0.0923 | 8 |
| 2025 | 0.0430 | 4 |
| 2026 | 0.0355 | 1 |
Worst active months:
| period | return | trades |
|---|---|---|
| 2020-12 | -0.0258 | 1 |
| 2024-01 | -0.0258 | 1 |
| 2021-07 | -0.0252 | 1 |
| 2022-03 | -0.0252 | 1 |
| 2023-01 | -0.0252 | 1 |
| 2023-08 | -0.0174 | 3 |
| 2025-02 | -0.0150 | 2 |
| 2021-10 | -0.0123 | 1 |
| 2021-04 | -0.0031 | 2 |
| 2024-05 | -0.0024 | 1 |
| 2024-02 | 0.0127 | 1 |
| 2020-07 | 0.0133 | 1 |
Best short-only variants
| name | symbol | bar | side_mode | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| false_breakout_reversal-eth-4H-short-rl24-cw240-cq0.35-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | short | 0.2065 | 0.0307 | 0.0497 | 0.6500 | 2.1608 | 20 | 0.0866 | 0.0512 | 0.0194 | 0.0000 |
| false_breakout_reversal-eth-4H-short-rl24-cw240-cq0.35-sw0.001-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | short | 0.1872 | 0.0280 | 0.0497 | 0.6087 | 1.8250 | 23 | 0.0325 | 0.0247 | -0.0062 | -0.0252 |
| false_breakout_reversal-btc-4H-short-rl24-cw240-cq0.25-sw0.001-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 4H | short | 0.1832 | 0.0273 | 0.0516 | 0.6667 | 2.0240 | 24 | -0.0039 | 0.0112 | 0.0112 | 0.0166 |
| false_breakout_reversal-btc-4H-short-rl36-cw240-cq0.15-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 4H | short | 0.1506 | 0.0227 | 0.0000 | 1.0000 | 999.0000 | 5 | 0.0589 | 0.0589 | 0.0589 | 0.0000 |
| false_breakout_reversal-btc-2H-short-rl36-cw240-cq0.25-sw0.0035-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 2H | short | 0.1450 | 0.0217 | 0.0315 | 0.7857 | 5.3463 | 14 | 0.1057 | 0.0335 | 0.0219 | 0.0000 |
Top 10
| name | symbol | bar | side_mode | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| false_breakout_reversal-eth-4H-bidir-rl24-cw240-cq0.35-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.5037 | 0.0678 | 0.0509 | 0.6829 | 2.3292 | 41 | 0.0534 | 0.0143 | 0.0132 | -0.0062 |
| false_breakout_reversal-eth-4H-bidir-rl24-cw240-cq0.35-sw0.001-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.4414 | 0.0606 | 0.0754 | 0.6444 | 1.9735 | 45 | -0.0248 | -0.0113 | -0.0124 | -0.0312 |
| false_breakout_reversal-eth-4H-bidir-rl12-cw240-cq0.35-sw0.0035-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.3546 | 0.0500 | 0.0686 | 0.6721 | 1.8047 | 61 | 0.0476 | -0.0099 | -0.0162 | 0.0053 |
| false_breakout_reversal-eth-4H-bidir-rl24-cw240-cq0.25-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.3087 | 0.0442 | 0.0497 | 0.7200 | 2.6000 | 25 | 0.0426 | 0.0364 | 0.0132 | -0.0062 |
| false_breakout_reversal-eth-4H-bidir-rl12-cw240-cq0.25-sw0.0035-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.2934 | 0.0423 | 0.0686 | 0.6818 | 1.9192 | 44 | 0.0262 | -0.0268 | -0.0162 | 0.0053 |
| false_breakout_reversal-btc-4H-bidir-rl36-cw240-cq0.15-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 4H | bidir | 0.2567 | 0.0373 | 0.0411 | 0.8235 | 4.6444 | 17 | 0.0917 | 0.0589 | 0.0589 | 0.0000 |
| false_breakout_reversal-eth-4H-bidir-rl24-cw240-cq0.25-sw0.001-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.2545 | 0.0371 | 0.0805 | 0.6552 | 1.9591 | 29 | -0.0348 | 0.0103 | -0.0124 | -0.0312 |
| false_breakout_reversal-btc-4H-bidir-rl36-cw240-cq0.25-sw0.002-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 4H | bidir | 0.2486 | 0.0362 | 0.0681 | 0.6667 | 1.9541 | 30 | 0.1970 | 0.0964 | 0.0964 | 0.0355 |
| false_breakout_reversal-eth-4H-bidir-rl24-cw240-cq0.35-sw0.0035-hs80-hl6-sl0.025-tp0.035-h36 | ETH-USDT-SWAP | 4H | bidir | 0.2314 | 0.0341 | 0.0618 | 0.6429 | 1.8837 | 28 | 0.0493 | 0.0276 | 0.0000 | 0.0000 |
| false_breakout_reversal-btc-2H-bidir-rl12-cw240-cq0.25-sw0.001-hs80-hl6-sl0.025-tp0.035-h36 | BTC-USDT-SWAP | 2H | bidir | 0.2217 | 0.0322 | 0.0878 | 0.6587 | 1.4099 | 126 | 0.0642 | -0.0026 | 0.0346 | 0.0194 |