eth-dynamic-atr-exits-report.md 7.7 KB
ETH dynamic ATR exit exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_dynamic_atr_exits.py --bar 15m --years 10.0
Actual continuous local history: 2019-12-25 00:00 to 2026-05-19 08:30.
Scope: ETH/BTC local OKX 15m candle cache. Entry remains BB squeeze breakout. Exits use entry realized-vol regime to choose ATR stop, ATR take-profit, and ATR trailing distance.
Top 10 by maker_taker Calmar: | name | trades | win_rate | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | profit_factor | payoff_ratio | stop_exits | take_profit_exits | trailing_stop_exits | signal_exits | low_vol_entries | mid_vol_entries | high_vol_entries | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 630 | 0.401587 | -0.997528 | -0.60835 | 0.997718 | -0.609741 | 0.513214 | 0.638982 | 266 | 12 | 335 | 17 | 470 | 133 | 27 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2_2.6_3.2-tp4_5.5_7-tr1.5_2.1_2.8-act2.2-cd24-mxbuf0.001-mxc1 | 635 | 0.382677 | -0.998377 | -0.633259 | 0.99846 | -0.634236 | 0.419645 | 0.552618 | 278 | 1 | 346 | 10 | 475 | 133 | 27 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.4_1.8_2.4-tp2.8_3.5_4.8-tr1_1.4_2-act1.6-cd24-mxbuf0.001-mxc1 | 656 | 0.271341 | -0.998453 | -0.635989 | 0.998471 | -0.636963 | 0.237363 | 0.477393 | 317 | 0 | 338 | 1 | 493 | 135 | 28 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.6_1.9_2.3-tp3_3.8_5-tr1.2_1.5_1.9-act1.8-cd24-mxbuf0.001-mxc1 | 650 | 0.283077 | -0.998783 | -0.649397 | 0.998812 | -0.65017 | 0.279587 | 0.548537 | 315 | 0 | 334 | 1 | 487 | 135 | 28 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.8_2.2_2.8-tp3.2_4.5_6-tr1.3_1.8_2.4-act2-cd24-mxbuf0.001-mxc1 | 641 | 0.322933 | -0.99882 | -0.65107 | 0.998892 | -0.651792 | 0.325415 | 0.543931 | 298 | 1 | 339 | 3 | 480 | 134 | 27 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.8_2.4_3-tp0_0_0-tr1.2_1.8_2.5-act1.8-cd24-mxbuf0.001-mxc1 | 643 | 0.307932 | -0.999068 | -0.663685 | 0.999118 | -0.664271 | 0.293984 | 0.509275 | 284 | 0 | 356 | 3 | 480 | 136 | 27 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 801 | 0.418227 | -0.999315 | -0.679459 | 0.999355 | -0.679897 | 0.535454 | 0.628159 | 325 | 15 | 439 | 22 | 589 | 177 | 35 | | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 933 | 0.407288 | -0.999489 | -0.693799 | 0.99959 | -0.694083 | 0.601871 | 0.744419 | 376 | 11 | 516 | 30 | 675 | 215 | 43 | | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-atr96-rv96x960-vq0.35_0.7-sl1.4_1.8_2.4-tp2.8_3.5_4.8-tr1_1.4_2-act1.6-cd24-mxbuf0.001-mxc1 | 841 | 0.287753 | -0.999628 | -0.708562 | 0.999629 | -0.708825 | 0.266362 | 0.487596 | 393 | 2 | 445 | 1 | 623 | 182 | 36 | | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2_2.6_3.2-tp4_5.5_7-tr1.5_2.1_2.8-act2.2-cd24-mxbuf0.001-mxc1 | 943 | 0.395546 | -0.999664 | -0.713186 | 0.999694 | -0.713404 | 0.515815 | 0.647189 | 386 | 1 | 539 | 17 | 684 | 216 | 43 |
Horizon leaders: | horizon | name | trades | win_rate | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | profit_factor | payoff_ratio | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | full | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 630 | 0.401587 | -0.997528 | -0.610082 | 0.997718 | -0.611477 | 0.513214 | 0.638982 | | full | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2_2.6_3.2-tp4_5.5_7-tr1.5_2.1_2.8-act2.2-cd24-mxbuf0.001-mxc1 | 635 | 0.382677 | -0.998377 | -0.634995 | 0.99846 | -0.635974 | 0.419645 | 0.552618 | | full | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.4_1.8_2.4-tp2.8_3.5_4.8-tr1_1.4_2-act1.6-cd24-mxbuf0.001-mxc1 | 656 | 0.271341 | -0.998453 | -0.637724 | 0.998471 | -0.638701 | 0.237363 | 0.477393 | | 3y | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.4_1.8_2.4-tp2.8_3.5_4.8-tr1_1.4_2-act1.6-cd24-mxbuf0.001-mxc1 | 307 | 0.237785 | -0.934645 | -0.596863 | 0.935409 | -0.638077 | 0.205618 | 0.504187 | | 3y | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2_2.6_3.2-tp4_5.5_7-tr1.5_2.1_2.8-act2.2-cd24-mxbuf0.001-mxc1 | 291 | 0.350515 | -0.944452 | -0.618111 | 0.946672 | -0.652931 | 0.321215 | 0.494419 | | 3y | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl1.8_2.2_2.8-tp3.2_4.5_6-tr1.3_1.8_2.4-act2-cd24-mxbuf0.001-mxc1 | 297 | 0.289562 | -0.945621 | -0.620806 | 0.948332 | -0.65463 | 0.270696 | 0.535096 | | 1y | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 144 | 0.444444 | -0.48189 | -0.48189 | 0.584707 | -0.824155 | 0.782822 | 0.831749 | | 1y | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 114 | 0.473684 | -0.446341 | -0.446341 | 0.478844 | -0.932123 | 0.726169 | 0.685826 | | 1y | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 92 | 0.402174 | -0.555114 | -0.555114 | 0.584563 | -0.949621 | 0.455136 | 0.565844 | | 6m | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 69 | 0.449275 | -0.00198461 | -0.00399808 | 0.216514 | -0.0184657 | 1.30892 | 1.30892 | | 6m | bb-squeeze-dyn-atr-l48-bw960-q0.25-both-none-atr96-rv96x960-vq0.35_0.7-sl1.8_2.4_3-tp0_0_0-tr1.2_1.8_2.5-act1.8-cd24-mxbuf0.001-mxc1 | 143 | 0.328671 | -0.750793 | -0.93931 | 0.761824 | -1.23297 | 0.362237 | 0.62428 | | 6m | bb-squeeze-dyn-atr-l48-bw960-q0.25-both-none-atr96-rv96x960-vq0.35_0.7-sl1.6_1.9_2.3-tp3_3.8_5-tr1.2_1.5_1.9-act1.8-cd24-mxbuf0.001-mxc1 | 144 | 0.319444 | -0.760317 | -0.943896 | 0.762465 | -1.23795 | 0.281778 | 0.5023 | | 3m | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 34 | 0.5 | 0.119991 | 0.591604 | 0.0759793 | 7.78638 | 2.27016 | 1.86955 | | 3m | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 30 | 0.533333 | 0.0550518 | 0.245801 | 0.100181 | 2.45355 | 1.6159 | 1.21193 | | 3m | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 26 | 0.461538 | -0.0111801 | -0.0450625 | 0.136941 | -0.329064 | 1.23281 | 1.23281 | | 30d | bb-squeeze-dyn-atr-l96-bw480-q0.15-both-none-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 12 | 0.416667 | 0.0313666 | 0.456104 | 0.037518 | 12.1569 | 1.82385 | 1.82385 | | 30d | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-momo-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 12 | 0.416667 | 0.0307105 | 0.444874 | 0.0638235 | 6.97039 | 1.64282 | 1.64282 | | 30d | bb-squeeze-dyn-atr-l96-bw960-q0.25-both-btc-up-atr96-rv96x960-vq0.35_0.7-sl2.2_2.8_3.6-tp4.2_6_8-tr1.8_2.4_3.2-act2.4-cd24-mxbuf0.001-mxc1 | 13 | 0.461538 | 0.0225081 | 0.311029 | 0.0638235 | 4.87327 | 1.5802 | 1.31683 |