eth-focused-portfolio-conservative-report.md 16 KB
ETH-focused conservative portfolio search
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_focused_portfolio_conservative.py --years 10.0 --max-leg-count 4
Output files:
reports/eth-exploration/eth-focused-portfolio-conservative-legs.csvreports/eth-exploration/eth-focused-portfolio-conservative-total.csvreports/eth-exploration/eth-focused-portfolio-conservative-qualified.csvreports/eth-exploration/eth-focused-portfolio-conservative-horizon.csvreports/eth-exploration/eth-focused-portfolio-conservative-worst-months.csvreports/eth-exploration/eth-focused-portfolio-conservative-equity.csvreports/eth-exploration/eth-focused-portfolio-conservative-report.md
Scope: one continuous cached ETH/BTC intersection, requested 10 years; 3y/1y/6m/3m are sliced from the same portfolio equity curves. Costs: maker_taker and taker_taker only. Candidates: ETH/BTC RSI filter, BTC lead ETH lag 5m/15m, ETH robust TWAP stress variants. Portfolio scopes: all_legs and no_maker_dependent.
Decision: Found 161 qualified portfolios. Lowest-DD qualified all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap under maker_taker: annualized=0.0743, DD=0.0728, worst_month=-0.0444. Highest-return qualified all_legs-risk-2-c0020-eth_btc_rsi_filter+btc_lead_eth_lag_15m under maker_taker: annualized=0.1325, DD=0.1613, worst_month=-0.0566.
Qualification counts
| cost_model | scope | portfolios | qualified |
|---|---|---|---|
| maker_taker | all_legs | 248 | 90 |
| maker_taker | no_maker_dependent | 40 | 9 |
| taker_taker | all_legs | 248 | 55 |
| taker_taker | no_maker_dependent | 40 | 7 |
Top portfolios by conservative sort
Sort: qualified first, then cost/scope, then lowest DD, worst month, minimum horizon return, and annualized return.
| qualified | portfolio | cost_model | scope | mode | leg_count | net_total_return | net_annualized_return | net_max_drawdown | worst_month_return | min_horizon_total_return | max_horizon_drawdown |
|---|---|---|---|---|---|---|---|---|---|---|---|
| True | all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.57467 | 0.0743127 | 0.072834 | -0.0443507 | 0.0140414 | 0.0665066 |
| True | all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.428762 | 0.0579467 | 0.0733485 | -0.0483723 | 0.0121133 | 0.0722146 |
| True | all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap | maker_taker | all_legs | equal | 2 | 0.73243 | 0.090629 | 0.0735178 | -0.0469578 | 0.0215854 | 0.0664029 |
| True | all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.467566 | 0.0624319 | 0.0735863 | -0.0503957 | 0.0122782 | 0.069665 |
| True | all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | maker_taker | all_legs | risk | 2 | 0.759595 | 0.0933112 | 0.0748771 | -0.047561 | 0.0221772 | 0.0672298 |
| True | all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.643863 | 0.081631 | 0.0751576 | -0.0501939 | 0.0359129 | 0.0505083 |
| True | all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.573571 | 0.0741942 | 0.0755198 | -0.0501522 | 0.0237529 | 0.0492838 |
| True | all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | maker_taker | all_legs | equal | 2 | 0.543084 | 0.0708815 | 0.0758512 | -0.0501959 | 0.0187951 | 0.0704464 |
| True | all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | maker_taker | all_legs | risk | 2 | 0.580225 | 0.0749102 | 0.077309 | -0.0499555 | 0.019808 | 0.0669796 |
| True | all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | all_legs | risk | 3 | 0.769243 | 0.0942554 | 0.0798515 | -0.0466279 | 0.0385208 | 0.0632328 |
Horizon checks for top portfolios
| portfolio | cost_model | horizon | net_total_return | net_annualized_return | net_max_drawdown |
|---|---|---|---|---|---|
| all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3y | 0.217496 | 0.0677343 | 0.0704464 |
| all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 1y | 0.123809 | 0.123809 | 0.0704464 |
| all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 6m | 0.0187951 | 0.0380496 | 0.0537348 |
| all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3m | 0.0684374 | 0.307957 | 0.002297 |
| all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3y | 0.268883 | 0.0825361 | 0.0664029 |
| all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 1y | 0.149765 | 0.149765 | 0.0623454 |
| all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 6m | 0.0215854 | 0.0437591 | 0.0573691 |
| all_legs-equal-2-c0031-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3m | 0.0645367 | 0.288699 | 0.002297 |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3y | 0.224876 | 0.0698855 | 0.0669796 |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 1y | 0.131572 | 0.131572 | 0.0669796 |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 6m | 0.019808 | 0.0401204 | 0.051798 |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3m | 0.068507 | 0.308302 | 0.0021337 |
| all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3y | 0.274439 | 0.0841124 | 0.0672298 |
| all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 1y | 0.154535 | 0.154535 | 0.060325 |
| all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 6m | 0.0221772 | 0.0449722 | 0.0565582 |
| all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | maker_taker | 3m | 0.064436 | 0.288205 | 0.00221754 |
| all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.179835 | 0.0566193 | 0.0722146 |
| all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.104518 | 0.104518 | 0.0722146 |
| all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0121133 | 0.0244411 | 0.0512329 |
| all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0605077 | 0.269032 | 0.00313188 |
| all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.322703 | 0.0976163 | 0.0505083 |
| all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.165048 | 0.165048 | 0.0505083 |
| all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0359129 | 0.0733235 | 0.0493159 |
| all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0807351 | 0.370094 | 0.00191649 |
| all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.278906 | 0.0853765 | 0.0492838 |
| all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.136711 | 0.136711 | 0.0482569 |
| all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0237529 | 0.0482051 | 0.0482569 |
| all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0638983 | 0.285568 | 0.00195401 |
| all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.226258 | 0.0702871 | 0.069665 |
| all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.114702 | 0.114702 | 0.069665 |
| all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0122782 | 0.0247758 | 0.05322 |
| all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0625959 | 0.279197 | 0.0020105 |
| all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.322657 | 0.0976035 | 0.0632328 |
| all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.177003 | 0.177003 | 0.0516307 |
| all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0385208 | 0.0787495 | 0.0516307 |
| all_legs-risk-3-c0118-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0751793 | 0.341753 | 0.00306794 |
| all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3y | 0.222943 | 0.0693229 | 0.0665066 |
| all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 1y | 0.12454 | 0.12454 | 0.0648901 |
| all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 6m | 0.0140414 | 0.0283587 | 0.0556699 |
| all_legs-risk-3-c0124-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | maker_taker | 3m | 0.0564218 | 0.24932 | 0.00310567 |
Worst months
| portfolio | month | start_equity | end_equity | return | cost_model | scope |
|---|---|---|---|---|---|---|
| all_legs-risk-2-c0010-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12447.3 | 11723.1 | -0.0581865 | maker_taker | all_legs |
| all_legs-risk-2-c0026-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12768.1 | 12028.1 | -0.0579526 | maker_taker | all_legs |
| all_legs-equal-2-c0011-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12236.1 | 11528.6 | -0.0578171 | maker_taker | all_legs |
| all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12601.2 | 11872.6 | -0.0578171 | maker_taker | all_legs |
| all_legs-equal-2-c0025-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12726.4 | 11990.6 | -0.0578171 | maker_taker | all_legs |
| all_legs-equal-2-c0009-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12357.9 | 11643.4 | -0.0578171 | maker_taker | all_legs |
| all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2024-04 | 14072 | 13313.5 | -0.0539009 | maker_taker | all_legs |
| all_legs-risk-3-c0120-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2024-04 | 14215.2 | 13453.9 | -0.0535552 | maker_taker | all_legs |
| all_legs-equal-2-c0027-eth_btc_rsi_filter+eth_robust_twap | 2024-04 | 14864.6 | 14075.7 | -0.0530676 | maker_taker | all_legs |
| all_legs-risk-3-c0096-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2025-12 | 14501.4 | 13770.6 | -0.0503957 | maker_taker | all_legs |
| all_legs-equal-2-c0015-eth_btc_rsi_filter+eth_robust_twap | 2025-12 | 15148.2 | 14387.8 | -0.0501959 | maker_taker | all_legs |
| all_legs-risk-3-c0090-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2022-01 | 11181 | 10619.8 | -0.0501939 | maker_taker | all_legs |
| all_legs-risk-3-c0092-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2022-01 | 11096.4 | 10539.9 | -0.0501522 | maker_taker | all_legs |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | 2025-12 | 15518.5 | 14743.3 | -0.0499555 | maker_taker | all_legs |
| all_legs-risk-3-c0130-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2022-01 | 11407 | 10840.2 | -0.0496824 | maker_taker | all_legs |
| all_legs-risk-3-c0132-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2022-01 | 11325.6 | 10763.6 | -0.0496204 | maker_taker | all_legs |
| all_legs-risk-3-c0084-eth_btc_rsi_filter+btc_lead_eth_lag_15m+eth_robust_twap | 2025-12 | 14115.8 | 13433 | -0.0483723 | maker_taker | all_legs |
| all_legs-risk-2-c0016-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12216.9 | 11628 | -0.0481976 | maker_taker | all_legs |
| all_legs-risk-2-c0032-eth_btc_rsi_filter+eth_robust_twap | 2022-01 | 12527.1 | 11931.3 | -0.047561 | maker_taker | all_legs |
| all_legs-risk-3-c0104-eth_btc_rsi_filter+btc_lead_eth_lag_5m+eth_robust_twap | 2025-12 | 14151.3 | 13479.3 | -0.0474917 | maker_taker | all_legs |
Leg totals
| leg_key | cost_model | family | bar | maker_dependent | trades | net_total_return | net_annualized_return | net_max_drawdown |
|---|---|---|---|---|---|---|---|---|
| eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | maker_taker | eth_btc_rsi_filter | 15m | False | 282 | 1.68734 | 0.168902 | 0.112338 |
| eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0 | maker_taker | eth_btc_rsi_filter | 15m | False | 265 | 1.13578 | 0.127269 | 0.104407 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25 | maker_taker | eth_robust_twap | 15m | True | 296 | 0.420869 | 0.0570219 | 0.117207 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25 | maker_taker | eth_robust_twap | 15m | True | 297 | 0.268639 | 0.0382793 | 0.126577 |
| 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 | maker_taker | eth_robust_twap | 15m | True | 270 | 0.0922218 | 0.0140239 | 0.120389 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25 | maker_taker | eth_robust_twap | 15m | True | 297 | 0.0728352 | 0.011161 | 0.150693 |
| btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018 | maker_taker | btc_lead_eth_lag_15m | 15m | False | 1093 | -0.750095 | -0.196611 | 0.912457 |
| btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018 | maker_taker | btc_lead_eth_lag_15m | 15m | False | 999 | -0.813162 | -0.232665 | 0.883582 |
| btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018 | maker_taker | btc_lead_eth_lag_5m | 5m | False | 1772 | -0.826217 | -0.24139 | 0.898729 |
| btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018 | maker_taker | btc_lead_eth_lag_5m | 5m | False | 2028 | -0.854077 | -0.26203 | 0.869866 |
| eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | taker_taker | eth_btc_rsi_filter | 15m | False | 282 | 1.08653 | 0.123125 | 0.117218 |
| eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0 | taker_taker | eth_btc_rsi_filter | 15m | False | 265 | 0.685033 | 0.0858632 | 0.108521 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0000-ps0.0000-mm25 | taker_taker | eth_robust_twap | 15m | True | 296 | 0.232507 | 0.0335539 | 0.142384 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0000-mm25 | taker_taker | eth_robust_twap | 15m | True | 297 | 0.10501 | 0.0158892 | 0.138778 |
| 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 | taker_taker | eth_robust_twap | 15m | True | 270 | -0.0415373 | -0.00667528 | 0.176709 |
| eth_robust_twap:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48-fb0.0002-ps0.0002-mm25 | taker_taker | eth_robust_twap | 15m | True | 297 | -0.0656215 | -0.0106581 | 0.223978 |
| btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018 | taker_taker | btc_lead_eth_lag_15m | 15m | False | 1093 | -0.906756 | -0.312406 | 0.947349 |
| btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018 | taker_taker | btc_lead_eth_lag_15m | 15m | False | 999 | -0.924141 | -0.334444 | 0.933276 |
| btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018 | taker_taker | btc_lead_eth_lag_5m | 5m | False | 1772 | -0.964835 | -0.410517 | 0.971063 |
| btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018 | taker_taker | btc_lead_eth_lag_5m | 5m | False | 2028 | -0.976552 | -0.44705 | 0.978788 |