okx-codex-trader/reports/eth-exploration/eth-conservative-portfolio-final.json

{
  "candidates": [
    {
      "decision": "Primary next item to watch in paper/demo. It is the cleanest qualified portfolio by conservative sort, but it contains a maker-dependent TWAP leg, so real funds should wait for live fill evidence.",
      "legs": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018",
        "eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25"
      ],
      "metrics": {
        "cost_model": "maker_taker",
        "max_horizon_drawdown": 0.06650656143862783,
        "min_horizon_total_return": 0.014041380756578459,
        "net_annualized_return": 0.07431265319093083,
        "net_calmar": 1.0203012338692994,
        "net_max_drawdown": 0.07283403246423034,
        "net_total_return": 0.5746697040909923,
        "scope": "all_legs",
        "worst_month_return": -0.04435071071689678
      },
      "minimum_next_step": "Run quasi-live read-only/order-intent tracking for all legs and record per-leg signal, fill/miss, slippage, and portfolio equity for at least the next signal cycle set.",
      "name": "all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap",
      "needs_forward_or_demo_live": true,
      "priority": 1,
      "real_live_now": false,
      "status": "candidate",
      "title": "Lowest-drawdown ETH-focused conservative portfolio",
      "weights": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0=0.48537471",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018=0.06171009",
        "eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0005-ps0.0000-mm25=0.45291520"
      ]
    },
    {
      "decision": "Best fallback if maker-fill uncertainty is treated as disqualifying. It keeps qualified portfolio behavior without the robust TWAP maker-dependent leg.",
      "legs": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018"
      ],
      "metrics": {
        "cost_model": "maker_taker",
        "max_horizon_drawdown": 0.07437399760660594,
        "min_horizon_total_return": 0.01722844178015248,
        "net_annualized_return": 0.0900769354075468,
        "net_calmar": 0.8611995911104812,
        "net_max_drawdown": 0.10459472616724809,
        "net_total_return": 0.7268826579747691,
        "scope": "no_maker_dependent",
        "worst_month_return": -0.04507919732709942
      },
      "minimum_next_step": "Shadow the two legs side by side with the primary portfolio and compare realized signal overlap and drawdown path.",
      "name": "no_maker_dependent-risk-2-c0250-eth_btc_rsi_filter+btc_lead_eth_lag_15m",
      "needs_forward_or_demo_live": true,
      "priority": 2,
      "real_live_now": false,
      "status": "candidate",
      "title": "Simpler no-maker-dependent conservative portfolio",
      "weights": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0=0.89432334",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018=0.10567666"
      ]
    },
    {
      "decision": "Return-oriented qualified variant. It is less conservative than priority 1 because drawdown is materially higher.",
      "legs": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018"
      ],
      "metrics": {
        "cost_model": "maker_taker",
        "max_horizon_drawdown": 0.08384178749425959,
        "min_horizon_total_return": 0.021522808059551757,
        "net_annualized_return": 0.13247985480488844,
        "net_calmar": 0.8214839555775263,
        "net_max_drawdown": 0.1612689498138176,
        "net_total_return": 1.1990870259436797,
        "scope": "all_legs",
        "worst_month_return": -0.056624480428019486
      },
      "minimum_next_step": "Keep as a benchmark portfolio in the same quasi-live tracker; do not allocate before it beats priority 1 on realized drawdown-adjusted behavior.",
      "name": "all_legs-risk-2-c0020-eth_btc_rsi_filter+btc_lead_eth_lag_15m",
      "needs_forward_or_demo_live": true,
      "priority": 3,
      "real_live_now": false,
      "status": "candidate",
      "title": "Highest-return qualified conservative portfolio",
      "weights": [
        "eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0=0.89038020",
        "btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018=0.10961980"
      ]
    },
    {
      "decision": "Keep as secondary watchlist, not primary allocation.",
      "metrics": {
        "net_annualized_return": 0.3305936472652691,
        "net_calmar": 1.4902378159621057,
        "net_max_drawdown": 0.22183952368155146,
        "net_total_return": 5.132970549912916,
        "trades": 88.0,
        "worst_month": "2020-09",
        "worst_month_return": -0.10650826274141434
      },
      "minimum_next_step": "Run shadow/demo signal intent logging only; require fresh forward trades before any capital allocation because the acceptable-risk versions have few trades.",
      "name": "bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-long-btc-up-momo-vc0.006-dd0.25-cd24",
      "needs_forward_or_demo_live": true,
      "priority": 4,
      "real_live_now": false,
      "status": "watchlist",
      "title": "BB squeeze risk candidate"
    }
  ],
  "current_signal_intent": {
    "completed": true,
    "latest_confirmed_candle_utc": "2026-04-29 17:00:00",
    "orders_produced": 0,
    "signal": false
  },
  "generated_from_existing_outputs_only": true,
  "rejected_or_deprioritized": [
    {
      "minimum_next_step": "Use only as a portfolio leg in shadow/demo tracking until actual maker fill and slippage data contradicts the conservative stress result.",
      "name": "ETH robust TWAP standalone under conservative maker assumptions",
      "nearest_miss": {
        "min_horizon_total_return": -0.0370903494987372,
        "name": "rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25",
        "net_annualized_return": -0.007233930330402,
        "net_max_drawdown": 0.0663208029770467,
        "net_total_return": -0.0450550473736928,
        "trades": 59.0,
        "worst_365_total_return": -0.0355991314254146
      },
      "reason": "Independent validation matched the closed-trade report, but conservative maker fill/slippage assumptions had no qualified candidate with all 3y/1y/6m/3m horizons positive.",
      "status": "do_not_trade_standalone"
    },
    {
      "eligible_rows": 0,
      "minimum_next_step": "No live work. Drop from the next real/paper-live shortlist.",
      "name": "ETH taker-entry TWAP",
      "reason": "The taker-entry search produced no eligible taker_taker candidate with positive Calmar across 3y/1y/6m/3m.",
      "status": "rejected"
    }
  ],
  "report": "eth-conservative-portfolio-final",
  "source_files": [
    "eth-focused-portfolio-conservative-qualified.csv",
    "eth-focused-portfolio-conservative-report.md",
    "eth-twap-conservative-summary.md",
    "eth-robust-twap-validation-summary.md",
    "eth-robust-twap-fill-slippage-summary.md",
    "eth-twap-taker-entry-summary.md",
    "eth-bb-squeeze-risk-10y-report.md",
    "eth-signal-intent-readonly.md",
    "eth-signal-intent-readonly.json"
  ],
  "topline_decision": "Watch the conservative portfolio layer next, not the standalone ETH TWAP. Use quasi-live/demo read-only intent first; real funds are not the minimum next step."
}