eth-btc-wick-rejection-report.md 3.5 KB
ETH/BTC Wick Rejection Light Screen
Scope: read-only local OKX candles; short-only single-candle upper-wick rejection; no staged entry, relative momentum, crash-follow, calendar/time bucket, trend-exhaustion, or false-breakout reversal.
Output files: reports/eth-exploration/eth-btc-wick-rejection-totals.csv, reports/eth-exploration/eth-btc-wick-rejection-monthly.csv, reports/eth-exploration/eth-btc-wick-rejection-report.md
Trade-count floor: full>=100, 3m>=5.
Decision: Rejected: trade count is sufficient, but no trade-sufficient candidate has positive full/1y/6m/3m returns.
Monthly return correlation vs equal-2-c0003 nextgen micro portfolio: 0.0424.
Reference Metrics
| period | total_return | annualized_return | max_drawdown | win_rate | profit_factor | trades |
|---|---|---|---|---|---|---|
| full | -0.0640 | -0.0103 | 0.1257 | 0.4331 | 0.9506 | 157 |
| 3y | -0.0215 | -0.0072 | 0.0774 | 0.4384 | 0.9685 | 73 |
| 1y | -0.0343 | -0.0343 | 0.0774 | 0.3913 | 0.8060 | 23 |
| 6m | -0.0288 | -0.0572 | 0.0774 | 0.3571 | 0.7347 | 14 |
| 3m | -0.0383 | -0.1480 | 0.0497 | 0.2857 | 0.3919 | 7 |
Top Candidates
| name | symbol | bar | 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 | 3m_trades |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| eth-upper-wick-4h-vw96-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h16 | ETH-USDT-SWAP | 4h | 0.0564 | 0.0087 | 0.0815 | 0.4762 | 1.2732 | 21 | 0.0426 | 0.0612 | 0.0301 | 0.0000 | 0 |
| eth-upper-wick-4h-vw192-vr0.9-uw0.6-cp0.35-sl0.02-tp0.03-h16 | ETH-USDT-SWAP | 4h | 0.0124 | 0.0020 | 0.1330 | 0.4167 | 1.0554 | 36 | -0.0073 | 0.0490 | 0.0395 | -0.0204 | 1 |
| eth-upper-wick-4h-vw192-vr0.9-uw0.6-cp0.35-sl0.02-tp0.03-h8 | ETH-USDT-SWAP | 4h | 0.0042 | 0.0007 | 0.1130 | 0.4167 | 1.0359 | 36 | 0.0477 | 0.0490 | 0.0395 | -0.0204 | 1 |
| eth-upper-wick-4h-vw192-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h16 | ETH-USDT-SWAP | 4h | -0.0069 | -0.0011 | 0.1361 | 0.4167 | 1.0004 | 24 | -0.0595 | 0.0183 | 0.0091 | -0.0204 | 1 |
| eth-upper-wick-4h-vw192-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h8 | ETH-USDT-SWAP | 4h | -0.0160 | -0.0026 | 0.0891 | 0.4167 | 0.9599 | 24 | -0.0083 | 0.0183 | 0.0091 | -0.0204 | 1 |
| eth-upper-wick-4h-vw96-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h8 | ETH-USDT-SWAP | 4h | -0.0163 | -0.0026 | 0.1368 | 0.4286 | 0.9526 | 21 | 0.0331 | 0.0612 | 0.0301 | 0.0000 | 0 |
| btc-upper-wick-1h-vw192-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h8 | BTC-USDT-SWAP | 1h | -0.0220 | -0.0035 | 0.1383 | 0.4118 | 0.9910 | 85 | -0.0625 | 0.0200 | 0.0313 | -0.0066 | 4 |
| btc-upper-wick-1h-vw96-vr0.95-uw0.6-cp0.35-sl0.02-tp0.03-h8 | BTC-USDT-SWAP | 1h | -0.0265 | -0.0042 | 0.1194 | 0.4186 | 0.9825 | 86 | -0.1090 | -0.0380 | -0.0008 | -0.0165 | 3 |
| btc-upper-wick-4h-vw96-vr0.9-uw0.45-cp0.35-sl0.02-tp0.03-h8 | BTC-USDT-SWAP | 4h | -0.0340 | -0.0054 | 0.1600 | 0.4286 | 0.9848 | 91 | 0.0039 | -0.0093 | -0.0170 | -0.0147 | 5 |
| eth-upper-wick-4h-vw192-vr0.9-uw0.6-cp0.35-sl0.012-tp0.018-h8 | ETH-USDT-SWAP | 4h | -0.0363 | -0.0059 | 0.0842 | 0.3889 | 0.8813 | 36 | -0.0682 | -0.0330 | -0.0081 | -0.0127 | 1 |
| eth-upper-wick-4h-vw192-vr0.9-uw0.6-cp0.35-sl0.012-tp0.018-h16 | ETH-USDT-SWAP | 4h | -0.0363 | -0.0059 | 0.0842 | 0.3889 | 0.8813 | 36 | -0.0682 | -0.0330 | -0.0081 | -0.0127 | 1 |
| btc-upper-wick-4h-vw96-vr0.9-uw0.6-cp0.35-sl0.02-tp0.03-h8 | BTC-USDT-SWAP | 4h | -0.0476 | -0.0077 | 0.1042 | 0.4286 | 0.9205 | 49 | 0.0632 | 0.0147 | 0.0244 | 0.0268 | 3 |