eth-btc-nextgen-report.md 11 KB
ETH BTC nextgen non-maker exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_btc_nextgen_variants.py --years 10.0 --top-strategy-count 24 --max-leg-count 4
Output files:
reports/eth-exploration/eth-btc-nextgen-strategies.csvreports/eth-exploration/eth-btc-nextgen-portfolios.csvreports/eth-exploration/eth-btc-nextgen-top10.csvreports/eth-exploration/eth-btc-nextgen-horizon.csvreports/eth-exploration/eth-btc-nextgen-monthly-summary.csvreports/eth-exploration/eth-btc-nextgen-worst-months.csvreports/eth-exploration/eth-btc-nextgen-equity.csvreports/eth-exploration/eth-btc-nextgen-report.md
Scope: ETH-only execution, BTC-driven signals, market/taker style fills. No maker-dependent TWAP legs are included. Costs: maker_taker=0.0021 and taker_taker=0.0030 roundtrip on margin at 3x.
Top maker_taker strategies
| strategy_key | family | bar | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | worst_month_return |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | btc_trend_eth_rsi | 15m | 282 | 1.68734 | 0.168902 | 0.112338 | 1.50352 | 0.695035 | 0.924659 | 2.10736 | 1.68454 | -0.0644513 |
| btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01 | btc_trend_eth_rsi | 15m | 244 | 1.47126 | 0.153535 | 0.102643 | 1.49582 | 0.692623 | 0.948038 | 2.13625 | 1.5919 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.01-sd0.05 | btc_shock_guard_eth_rsi | 15m | 279 | 1.57068 | 0.16074 | 0.112338 | 1.43086 | 0.691756 | 0.917292 | 2.05857 | 1.62301 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05 | btc_shock_guard_eth_rsi | 15m | 241 | 1.36398 | 0.145481 | 0.102643 | 1.41735 | 0.688797 | 0.940475 | 2.08159 | 1.5281 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.01-sd0.05 | btc_shock_guard_eth_rsi | 15m | 277 | 1.53073 | 0.157874 | 0.112338 | 1.40535 | 0.689531 | 0.920209 | 2.04372 | 1.60432 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.01-sd0.05 | btc_shock_guard_eth_rsi | 15m | 240 | 1.29636 | 0.140245 | 0.102643 | 1.36634 | 0.683333 | 0.941679 | 2.03204 | 1.48298 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.006-sd0.05 | btc_shock_guard_eth_rsi | 15m | 273 | 1.41238 | 0.149152 | 0.112338 | 1.32771 | 0.684982 | 0.915716 | 1.99115 | 1.53169 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.006-sd0.05 | btc_shock_guard_eth_rsi | 15m | 236 | 1.18897 | 0.131656 | 0.102643 | 1.28266 | 0.677966 | 0.937684 | 1.97407 | 1.40772 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.006-sd0.05 | btc_shock_guard_eth_rsi | 15m | 269 | 1.26382 | 0.137678 | 0.112338 | 1.22557 | 0.680297 | 0.901839 | 1.91903 | 1.44021 | -0.0644513 |
| btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.006-sd0.05 | btc_shock_guard_eth_rsi | 15m | 232 | 1.10458 | 0.124654 | 0.102643 | 1.21444 | 0.676724 | 0.926078 | 1.93859 | 1.356 | -0.0644513 |
Top maker_taker portfolios
| name | mode | leg_count | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_reward_ratio | worst_month_return | min_horizon_total_return | legs |
|---|---|---|---|---|---|---|---|---|---|---|
| equal-2-c0003 | equal | 2 | 1.52194 | 0.157238 | 0.102913 | 1.52788 | 1.62475 | -0.0644513 | 0.0264751 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05 |
| equal-2-c0037 | equal | 2 | 1.52194 | 0.157238 | 0.102913 | 1.52788 | 1.62475 | -0.0644513 | 0.0264751 | btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.01-sd0.05;btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01 |
| risk-2-c0038 | risk | 2 | 1.51969 | 0.157075 | 0.1029 | 1.52648 | 1.62402 | -0.0644513 | 0.0259598 | btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.01-sd0.05;btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01 |
| risk-2-c0004 | risk | 2 | 1.51466 | 0.15671 | 0.1029 | 1.52293 | 1.62118 | -0.0644513 | 0.0259598 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05 |
| equal-2-c0049 | equal | 2 | 1.50235 | 0.155814 | 0.102913 | 1.51404 | 1.61631 | -0.0644513 | 0.0264751 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.01-sd0.05 |
| risk-2-c0050 | risk | 2 | 1.501 | 0.155716 | 0.1029 | 1.51327 | 1.616 | -0.0644513 | 0.0259598 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.01-sd0.05 |
| equal-2-c0007 | equal | 2 | 1.48575 | 0.1546 | 0.102913 | 1.50225 | 1.60421 | -0.0644513 | 0.0264751 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.01-sd0.05 |
| risk-2-c0008 | risk | 2 | 1.47695 | 0.153954 | 0.1029 | 1.49614 | 1.59961 | -0.0644513 | 0.0259598 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.01-sd0.05 |
| risk-2-c0054 | risk | 2 | 1.44472 | 0.15157 | 0.1029 | 1.47298 | 1.58396 | -0.0644513 | 0.0259598 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.006-sd0.05 |
| equal-2-c0053 | equal | 2 | 1.4434 | 0.151472 | 0.102913 | 1.47185 | 1.58261 | -0.0644513 | 0.0264751 | btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01;btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.006-sd0.05 |
Horizon metrics for top portfolio
| horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_reward_ratio |
|---|---|---|---|---|---|---|---|
| full | 2019-12-30 | 2026-04-29 | 1.52194 | 0.157238 | 0.102913 | 1.52788 | 1.62475 |
| 3y | 2023-04-29 | 2026-04-29 | 0.386245 | 0.114903 | 0.0875276 | 1.31276 | 1.29789 |
| 1y | 2025-04-29 | 2026-04-29 | 0.258596 | 0.258596 | 0.05696 | 4.53996 | 2.40816 |
| 6m | 2025-10-29 | 2026-04-29 | 0.0264751 | 0.0538025 | 0.055105 | 0.976363 | 0.577043 |
| 3m | 2026-01-29 | 2026-04-29 | 0.0606172 | 0.269564 | 0.003843 | 70.1442 | 3.26365 |
Monthly summary for top portfolios
| kind | cost_model | name | months | positive_month_rate | avg_month_return | median_month_return | worst_month_return | best_month_return |
|---|---|---|---|---|---|---|---|---|
| portfolio | maker_taker | equal-2-c0051 | 77 | 0.714286 | 0.0117868 | 0.00861752 | -0.0644513 | 0.115142 |
| portfolio | maker_taker | risk-2-c0012 | 77 | 0.727273 | 0.0119882 | 0.00990529 | -0.0644513 | 0.120971 |
| portfolio | maker_taker | risk-2-c0016 | 77 | 0.727273 | 0.0116967 | 0.00938047 | -0.0644513 | 0.102971 |
| portfolio | maker_taker | risk-2-c0052 | 77 | 0.714286 | 0.0117868 | 0.00861752 | -0.0644513 | 0.115142 |
| portfolio | maker_taker | equal-2-c0001 | 77 | 0.714286 | 0.013146 | 0.00990529 | -0.0644513 | 0.127351 |
| portfolio | maker_taker | equal-2-c0003 | 77 | 0.727273 | 0.0125629 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | equal-2-c0009 | 77 | 0.714286 | 0.0127202 | 0.00990529 | -0.0644513 | 0.127351 |
| portfolio | maker_taker | equal-2-c0037 | 77 | 0.727273 | 0.0125629 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | equal-2-c0053 | 77 | 0.74026 | 0.0121371 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | risk-2-c0002 | 77 | 0.714286 | 0.013146 | 0.00990529 | -0.0644513 | 0.127351 |
| portfolio | maker_taker | risk-2-c0008 | 77 | 0.727273 | 0.0123206 | 0.00990529 | -0.0644513 | 0.120971 |
| portfolio | maker_taker | risk-2-c0054 | 77 | 0.74026 | 0.0121434 | 0.00990529 | -0.0644513 | 0.120971 |
| portfolio | maker_taker | equal-2-c0005 | 77 | 0.714286 | 0.0130384 | 0.00990529 | -0.0644513 | 0.127351 |
| portfolio | maker_taker | equal-2-c0007 | 77 | 0.727273 | 0.012369 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | equal-2-c0011 | 77 | 0.727273 | 0.0120508 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | equal-2-c0015 | 77 | 0.727273 | 0.0117718 | 0.00944026 | -0.0644513 | 0.103077 |
| portfolio | maker_taker | equal-2-c0047 | 77 | 0.714286 | 0.0119807 | 0.00861752 | -0.0644513 | 0.115142 |
| portfolio | maker_taker | equal-2-c0049 | 77 | 0.74026 | 0.0124553 | 0.00996726 | -0.0644513 | 0.121246 |
| portfolio | maker_taker | equal-2-c0057 | 77 | 0.727273 | 0.0116938 | 0.00944026 | -0.0644513 | 0.102728 |
| portfolio | maker_taker | risk-2-c0004 | 77 | 0.727273 | 0.0125232 | 0.00990529 | -0.0644513 | 0.120971 |
Worst months
| name | month | start_equity | end_equity | return | kind | cost_model |
|---|---|---|---|---|---|---|
| equal-2-c0057 | 2022-01 | 14296.6 | 13375.2 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0011 | 2022-01 | 14296.6 | 13375.2 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0038 | 2022-01 | 14698.2 | 13750.8 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0050 | 2022-01 | 14671.7 | 13726 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0049 | 2022-01 | 14646.4 | 13702.4 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0048 | 2022-01 | 14879.4 | 13920.4 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0007 | 2022-01 | 14549.2 | 13611.5 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0047 | 2022-01 | 14879.4 | 13920.4 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0006 | 2022-01 | 14439.2 | 13508.5 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0058 | 2022-01 | 14336.9 | 13412.9 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0015 | 2022-01 | 14296.6 | 13375.2 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0005 | 2022-01 | 14439.2 | 13508.5 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0004 | 2022-01 | 14668.8 | 13723.4 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0003 | 2022-01 | 14674.1 | 13728.4 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0008 | 2022-01 | 14538.3 | 13601.3 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0001 | 2022-01 | 14465.8 | 13533.5 | -0.0644513 | portfolio | maker_taker |
| risk-2-c0002 | 2022-01 | 14465.8 | 13533.5 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0037 | 2022-01 | 14674.1 | 13728.4 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0009 | 2022-01 | 14188.4 | 13274 | -0.0644513 | portfolio | maker_taker |
| equal-2-c0053 | 2022-01 | 14392.1 | 13464.5 | -0.0644513 | portfolio | maker_taker |