eth-btc-low-turnover-report.md 8.0 KB
ETH BTC low-turnover nextgen exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_btc_low_turnover_variants.py --years 10.0
Output files:
reports/eth-exploration/eth-btc-low-turnover-totals.csvreports/eth-exploration/eth-btc-low-turnover-horizons.csvreports/eth-exploration/eth-btc-low-turnover-monthly-summary.csvreports/eth-exploration/eth-btc-low-turnover-worst-months.csvreports/eth-exploration/eth-btc-low-turnover-taker-positive.csvreports/eth-exploration/eth-btc-low-turnover-best.jsonreports/eth-exploration/eth-btc-low-turnover-report.md
Scope: ETH-only long entries from BTC trend/momentum regime plus extreme ETH RSI2 pullback. Entry constraints tested: longer BTC trend, lower ETH RSI threshold, signal edge floor, cooldown, BTC volatility cap, session filter, monthly trade cap, and rejection after adverse BTC candles. Costs: maker_taker=0.0021 and taker_taker=0.0030 roundtrip on margin at 3x.
Taker-taker candidates positive across full/3y/1y/6m/3m: 42.
Top candidates
| name | cost_model | trades | trades_per_month | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | worst_month_return |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | taker_taker | 73 | 0.961878 | 0.296358 | 0.0418652 | 0.0352257 | 1.18848 | 0.684932 | 1.04501 | 2.27176 | 0.928106 | -0.032304 |
| lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | taker_taker | 72 | 0.948701 | 0.281148 | 0.0399241 | 0.0395496 | 1.00947 | 0.680556 | 1.03969 | 2.215 | 0.891445 | -0.032304 |
| lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | taker_taker | 61 | 0.803761 | 0.235947 | 0.0340386 | 0.034653 | 0.982269 | 0.721311 | 0.85215 | 2.20556 | 0.898502 | -0.032304 |
| lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | taker_taker | 60 | 0.790584 | 0.221446 | 0.0321121 | 0.0398453 | 0.80592 | 0.716667 | 0.845822 | 2.13943 | 0.855719 | -0.032304 |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 196 | 2.58258 | 0.596225 | 0.0766898 | 0.108724 | 0.70536 | 0.653061 | 0.892281 | 1.67959 | 1.02518 | -0.0670336 |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.0-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 205 | 2.70116 | 0.635475 | 0.0808305 | 0.117084 | 0.690362 | 0.64878 | 0.897505 | 1.65789 | 1.00315 | -0.0670336 |
| lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 188 | 2.47716 | 0.650002 | 0.0823418 | 0.119316 | 0.690114 | 0.654255 | 0.972028 | 1.83938 | 1.17625 | -0.0579691 |
| lt-et50-l2.0-x55.0-bt480-bm240-br0.01-edge0.0-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 117 | 1.54164 | 0.319554 | 0.0447888 | 0.0651117 | 0.687877 | 0.641026 | 1.00144 | 1.78829 | 0.888732 | -0.032304 |
| lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.006-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 186 | 2.45081 | 0.605044 | 0.0776276 | 0.119316 | 0.650604 | 0.650538 | 0.963796 | 1.79414 | 1.11991 | -0.0579691 |
| lt-et50-l2.0-x55.0-bt480-bm240-br0.01-edge0.0-cd32-vw240-vc0.006-sall-mt4-aw4-ar0.015-mh96 | taker_taker | 116 | 1.52846 | 0.298839 | 0.0421799 | 0.0651117 | 0.647809 | 0.637931 | 0.989979 | 1.74425 | 0.845601 | -0.032304 |
Horizon metrics for selected candidate
| cost_model | horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| maker_taker | full | 2020-01-01 | 2026-04-29 | 0.384033 | 0.0526945 | 0.032313 | 1.63075 | 0.712329 | 1.11213 | 2.75384 | 1.13479 | 73 |
| maker_taker | 3y | 2023-04-29 | 2026-04-29 | 0.106299 | 0.0342149 | 0.032313 | 1.05886 | 0.7 | 1.17723 | 2.74688 | 1.0126 | 30 |
| maker_taker | 1y | 2025-04-29 | 2026-04-29 | 0.0372072 | 0.0372072 | 0 | 0 | 1 | 0 | 0 | 1.90152 | 7 |
| maker_taker | 6m | 2025-10-29 | 2026-04-29 | 0.0127581 | 0.0257504 | 0 | 0 | 1 | 0 | 0 | 1.58234 | 2 |
| maker_taker | 3m | 2026-01-29 | 2026-04-29 | 0.001419 | 0.00576732 | 0 | 0 | 1 | 0 | 0 | 2.01384 | 1 |
| taker_taker | full | 2020-01-01 | 2026-04-29 | 0.296358 | 0.0418652 | 0.0352257 | 1.18848 | 0.684932 | 1.04501 | 2.27176 | 0.928106 | 73 |
| taker_taker | 3y | 2023-04-29 | 2026-04-29 | 0.0769116 | 0.0249835 | 0.0352257 | 0.709242 | 0.633333 | 1.22338 | 2.11311 | 0.764104 | 30 |
| taker_taker | 1y | 2025-04-29 | 2026-04-29 | 0.0307241 | 0.0307241 | 0.000596 | 51.5506 | 0.714286 | 11.1865 | 27.9663 | 1.71811 | 7 |
| taker_taker | 6m | 2025-10-29 | 2026-04-29 | 0.0109474 | 0.0220758 | 0 | 0 | 1 | 0 | 0 | 1.48524 | 2 |
| taker_taker | 3m | 2026-01-29 | 2026-04-29 | 0.000519 | 0.0021065 | 0 | 0 | 1 | 0 | 0 | 2.01384 | 1 |
Monthly summary
| cost_model | name | months | positive_month_rate | avg_month_return | median_month_return | worst_month_return | best_month_return |
|---|---|---|---|---|---|---|---|
| maker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.486842 | 0.00437103 | 0 | -0.031404 | 0.0819385 |
| maker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.473684 | 0.00420298 | 0 | -0.031404 | 0.0819385 |
| maker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.460526 | 0.00356614 | 0 | -0.031404 | 0.041899 |
| maker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.447368 | 0.00339809 | 0 | -0.031404 | 0.041899 |
| maker_taker | lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 76 | 0.697368 | 0.00880972 | 0.0073028 | -0.0644513 | 0.0884128 |
| taker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.447368 | 0.00350262 | 0 | -0.032304 | 0.0790947 |
| taker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.01-edge0.01-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.434211 | 0.00334641 | 0 | -0.032304 | 0.0790947 |
| taker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.008-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.434211 | 0.00284151 | 0 | -0.032304 | 0.0381912 |
| taker_taker | lt-et50-l3.0-x55.0-bt720-bm240-br0.02-edge0.0-cd32-vw240-vc0.006-sus-mt4-aw4-ar0.015-mh96 | 76 | 0.421053 | 0.0026853 | 0 | -0.032304 | 0.0381912 |
| taker_taker | lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 76 | 0.671053 | 0.00646194 | 0.00516418 | -0.0670336 | 0.0845808 |
Worst months
| name | month | start_equity | end_equity | return | cost_model |
|---|---|---|---|---|---|
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2022-01 | 12800.6 | 11942.5 | -0.0670336 | taker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2022-01 | 13434.8 | 12568.9 | -0.0644513 | maker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2021-06 | 11464.8 | 10930.1 | -0.0466395 | taker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2021-06 | 11819.5 | 11309.4 | -0.0431612 | maker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2021-03 | 11914.1 | 11474.5 | -0.0369004 | taker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2025-01 | 13718.3 | 13221.9 | -0.0361836 | taker_taker |
| lt-et50-l3.0-x55.0-bt480-bm240-br0.01-edge0.01-cd32-vw240-vc0.008-sall-mt4-aw4-ar0.015-mh96 | 2025-01 | 15667.7 | 15142.1 | -0.0335459 | maker_taker |