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

ETH conservative portfolio final decision report

This report only consolidates existing ETH exploration outputs. It does not run a new search.

Topline

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.

The next thing to watch is the portfolio layer: qualified ETH-focused conservative portfolios exist, while standalone ETH TWAP is not stable enough under conservative maker-fill assumptions and taker-entry TWAP is rejected.

Recommended priority

Priority	Candidate	Return	Ann.	MDD	Worst month	Risk	Real live now	Minimum next step
1	Lowest-drawdown ETH-focused conservative portfolio	57.47%	7.43%	7.28%	-4.44%	1.020	No	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.
2	Simpler no-maker-dependent conservative portfolio	72.69%	9.01%	10.46%	-4.51%	0.861	No	Shadow the two legs side by side with the primary portfolio and compare realized signal overlap and drawdown path.
3	Highest-return qualified conservative portfolio	119.91%	13.25%	16.13%	-5.66%	0.821	No	Keep as a benchmark portfolio in the same quasi-live tracker; do not allocate before it beats priority 1 on realized drawdown-adjusted behavior.
4	BB squeeze risk candidate	513.30%	33.06%	22.18%	-10.65%	1.490	No	Run shadow/demo signal intent logging only; require fresh forward trades before any capital allocation because the acceptable-risk versions have few trades.

Candidate notes

P1 Lowest-drawdown ETH-focused conservative portfolio

• Name: all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap
• 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.
• Needs live/quasi-live evidence: Yes
• Real funds now: No

Legs and weights:

• eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 at 0.48537471
• btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018 at 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 at 0.45291520

P2 Simpler no-maker-dependent conservative portfolio

• Name: no_maker_dependent-risk-2-c0250-eth_btc_rsi_filter+btc_lead_eth_lag_15m
• Decision: Best fallback if maker-fill uncertainty is treated as disqualifying. It keeps qualified portfolio behavior without the robust TWAP maker-dependent leg.
• Needs live/quasi-live evidence: Yes
• Real funds now: No

Legs and weights:

• eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0 at 0.89432334
• btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018 at 0.10567666

P3 Highest-return qualified conservative portfolio

• Name: all_legs-risk-2-c0020-eth_btc_rsi_filter+btc_lead_eth_lag_15m
• Decision: Return-oriented qualified variant. It is less conservative than priority 1 because drawdown is materially higher.
• Needs live/quasi-live evidence: Yes
• Real funds now: No

Legs and weights:

• eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 at 0.89038020
• btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018 at 0.10961980

P4 BB squeeze risk candidate

• Name: bb-squeeze-l96-bw960-q0.25-sl0.01-tpnone-long-btc-up-momo-vc0.006-dd0.25-cd24
• Decision: Keep as secondary watchlist, not primary allocation.
• Needs live/quasi-live evidence: Yes
• Real funds now: No

Deprioritized or rejected

Item	Status	Key reason	Minimum next step
ETH robust TWAP standalone under conservative maker assumptions	do_not_trade_standalone	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.	Use only as a portfolio leg in shadow/demo tracking until actual maker fill and slippage data contradicts the conservative stress result.
ETH taker-entry TWAP	rejected	The taker-entry search produced no eligible taker_taker candidate with positive Calmar across 3y/1y/6m/3m.	No live work. Drop from the next real/paper-live shortlist.

Signal intent status

Readonly signal intent was completed. Latest confirmed candle was 2026-04-29 17:00:00 UTC; signal was false and no order intent was produced.

Source outputs

• 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