eth-btc-regime-report.md 6.4 KB
ETH BTC regime variants
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_btc_regime_variants.py --bar 15m --years 3.25 --window-size 240
Output files:
reports/eth-exploration/eth-btc-regime-summary.csvreports/eth-exploration/eth-btc-regime-total.csvreports/eth-exploration/eth-btc-regime-horizon.csvreports/eth-exploration/eth-btc-regime-top10.csvreports/eth-exploration/eth-btc-regime-report.md
Primary sort: maker_taker cost, by net_ci95_low then net_avg_return.
Top 10 candidates: | family | name | net_avg_return | net_ci95_low | positive_window_rate | trades | avg_trades_per_window | max_drawdown | | --- | --- | --- | --- | --- | --- | --- | --- | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.000835104 | 0.000147969 | 0.226695 | 155 | 0.32839 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.01-sd0.05 | 0.000835104 | 0.000147969 | 0.226695 | 155 | 0.32839 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.006-sd0.05 | 0.000835104 | 0.000147969 | 0.226695 | 155 | 0.32839 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.01-sd0.05 | 0.000835104 | 0.000147969 | 0.226695 | 155 | 0.32839 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.006-sd0.05 | 0.000789157 | 0.00010505 | 0.220339 | 152 | 0.322034 | 0.0576946 | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.01 | 0.000635966 | 3.05026e-05 | 0.175476 | 125 | 0.264271 | 0.0576946 | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.01 | 0.000690388 | 2.54555e-05 | 0.192797 | 135 | 0.286017 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05 | 0.000690388 | 2.54555e-05 | 0.192797 | 135 | 0.286017 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.006-sd0.05 | 0.000690388 | 2.54555e-05 | 0.192797 | 135 | 0.286017 | 0.0576946 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw240-sv0.01-sd0.05 | 0.000690388 | 2.54555e-05 | 0.192797 | 135 | 0.286017 | 0.0576946 |
Family summary: | family | best_net_ci95_low | best_net_avg_return | best_positive_window_rate | candidate_count | | --- | --- | --- | --- | --- | | btc_shock_guard_rsi2 | 0.000147969 | 0.000835104 | 0.226695 | 16 | | btc_trend_momentum_rsi2 | 0.000147969 | 0.000835104 | 0.468354 | 48 | | btc_lead_eth_lag | -0.000730237 | 0.00125072 | 0.225738 | 32 | | baseline_rsi2 | -0.00077054 | 0.000225673 | 0.415612 | 2 | | ethbtc_ratio_pullback | -0.00752211 | -0.00325707 | 0.364407 | 16 | | baseline_price_twap | -0.174253 | -0.149627 | 0.07173 | 2 |
Recent horizon leaders: | horizon | family | name | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | 1y | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t120-l3.0-x55.0-sl0.008-mh48 | 0.407205 | 0.407205 | 0.0993538 | 4.09854 | | 1y | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.379413 | 0.379413 | 0.0709442 | 5.34805 | | 1y | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm96-br0.0 | 0.322625 | 0.322625 | 0.0467186 | 6.90571 | | 3m | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t120-l3.0-x55.0-sl0.008-mh48 | 0.176785 | 0.935158 | 0.0993538 | 9.4124 | | 3m | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.150327 | 0.764671 | 0.0293094 | 26.0896 | | 3m | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm96-br0.0 | 0.127934 | 0.629445 | 0.003843 | 163.79 | | 3y | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t120-l3.0-x55.0-sl0.008-mh48 | 1.46061 | 0.349673 | 0.211263 | 1.65515 | | 3y | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.592282 | 0.167558 | 0.156469 | 1.07087 | | 3y | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.434228 | 0.127609 | 0.0942497 | 1.35394 | | 6m | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t120-l3.0-x55.0-sl0.008-mh48 | 0.138766 | 0.297713 | 0.0993538 | 2.9965 | | 6m | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm96-br0.0 | 0.0895588 | 0.187698 | 0.0467186 | 4.01763 | | 6m | baseline_price_twap | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.0859606 | 0.179845 | 0.0709442 | 2.53502 |
Interpretation:
- Effective: BTC trend plus momentum gating on ETH RSI2. Best maker_taker window result is
eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0with net_ci95_low 0.000147969 and net_avg_return 0.000835104. - Effective but not incremental: loose BTC shock guards tie the best trend/momentum result, so the tested vol/drawdown caps mostly did not bind.
- Not robust: BTC lead ETH lag has positive best net_avg_return but negative best net_ci95_low, so the average is not enough to promote it.
- Not effective: ETHBTC ratio low pullback variants are negative on both best net_avg_return and best net_ci95_low.
- Baseline note: ETH price-TWAP has strong recent horizon returns, but its sampled-window maker_taker net_ci95_low is deeply negative; it is not a robust regime condition in this run.
Best full-period net Calmar: | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0 | 146 | 0.333875 | 0.0926908 | 0.0561107 | 1.65193 | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.01 | 127 | 0.336088 | 0.0932483 | 0.0576018 | 1.61884 | | btc_trend_momentum_rsi2 | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 159 | 0.4504 | 0.121215 | 0.0942497 | 1.28611 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw96-sv0.01-sd0.05 | 159 | 0.4504 | 0.121215 | 0.0942497 | 1.28611 | | btc_shock_guard_rsi2 | eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.0-sw240-sv0.006-sd0.05 | 159 | 0.4504 | 0.121215 | 0.0942497 | 1.28611 |