eth-nextgen-micro-direction-b-report.md 7.6 KB
ETH nextgen + microstructure direction B
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_nextgen_micro_direction_b.py
Scope: lookback 30/60/90, selected ATR compression/expansion US-session micro legs, recent_regime_switch first and small riskoff_overlay checks second. Read-only local backtest only; no secrets, private exchange API, order path, executor, or remote service was touched.
Output files:
reports/eth-exploration/eth-nextgen-micro-direction-b-summary.csvreports/eth-exploration/eth-nextgen-micro-direction-b-horizons.csvreports/eth-exploration/eth-nextgen-micro-direction-b-equity.csvreports/eth-exploration/eth-nextgen-micro-direction-b-top.jsonreports/eth-exploration/eth-nextgen-micro-direction-b-report.md
Verdict
建议作为当前 BB squeeze 的并行只读观察策略；不建议直接列为近期实盘候选。
Best switch candidate: switch-l30-r96_q0.15_mf0.25_us. Recent 30d/21d/14d trade counts are [13, 10, 8]; taker/taker full-sample positive: True; all short windows positive: False.
Top maker_taker candidates
| name | kind | lookback_days | micro_weight | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | trades_per_year | win_rate | avg_return | payoff_ratio | profit_factor | min_recent_total_return |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| switch-l30-r96_q0.15_mf0.25_us | recent_regime_switch | 30 | 1 | 167.17% | 16.78% | 8.03% | 2.09119 | 482 | 76.0943 | 68.67% | 0.21% | 1.01873 | 2.23312 | -0.38% |
| switch-l30-r96_q0.15_mf0.4_us | recent_regime_switch | 30 | 1 | 177.10% | 17.46% | 8.75% | 1.99538 | 482 | 76.0943 | 68.67% | 0.22% | 0.981399 | 2.15128 | -0.38% |
| switch-l60-r48_q0.15_mf0.25_us | recent_regime_switch | 60 | 1 | 177.12% | 17.46% | 9.25% | 1.88822 | 553 | 87.3032 | 64.20% | 0.18% | 1.07503 | 1.92745 | -0.38% |
| switch-l90-r96_q0.15_mf0.25_us | recent_regime_switch | 90 | 1 | 144.09% | 15.13% | 8.04% | 1.88072 | 483 | 76.2522 | 67.70% | 0.19% | 1.00717 | 2.11118 | -0.38% |
| switch-l90-r96_q0.15_mf0.4_us | recent_regime_switch | 90 | 1 | 155.47% | 15.96% | 8.71% | 1.83193 | 483 | 76.2522 | 67.70% | 0.20% | 0.964776 | 2.02232 | -0.38% |
| switch-l60-r48_q0.15_mf0.4_us | recent_regime_switch | 60 | 1 | 196.71% | 18.73% | 10.50% | 1.78427 | 553 | 87.3032 | 64.20% | 0.18% | 1.0044 | 1.80082 | -0.38% |
| switch-l90-r48_q0.15_mf0.25_us | recent_regime_switch | 90 | 1 | 138.25% | 14.69% | 8.95% | 1.64107 | 538 | 84.9351 | 64.13% | 0.17% | 1.03256 | 1.84577 | -0.38% |
| switch-l90-r48_q0.15_mf0.4_us | recent_regime_switch | 90 | 1 | 148.94% | 15.49% | 10.17% | 1.52295 | 535 | 84.4615 | 64.30% | 0.17% | 0.955943 | 1.7217 | -0.38% |
| switch-l30-r48_q0.15_mf0.25_us | recent_regime_switch | 30 | 1 | 165.00% | 16.63% | 12.06% | 1.37932 | 542 | 85.5666 | 65.13% | 0.18% | 1.02028 | 1.9056 | -0.38% |
| switch-l60-r96_q0.15_mf0.25_us | recent_regime_switch | 60 | 1 | 130.11% | 14.06% | 11.16% | 1.25998 | 486 | 76.7258 | 66.87% | 0.17% | 0.97748 | 1.97317 | -1.55% |
| switch-l60-r96_q0.15_mf0.4_us | recent_regime_switch | 60 | 1 | 136.64% | 14.57% | 12.63% | 1.15308 | 484 | 76.41 | 66.94% | 0.18% | 0.925205 | 1.87354 | -2.08% |
| switch-l30-r48_q0.15_mf0.4_us | recent_regime_switch | 30 | 1 | 174.42% | 17.28% | 15.84% | 1.09084 | 542 | 85.5666 | 65.13% | 0.18% | 0.9585 | 1.79021 | -0.38% |
Riskoff overlay checks
| name | lookback_days | micro_weight | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | trades_per_year | win_rate | avg_return | payoff_ratio | profit_factor | min_recent_total_return |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.4_us | 60 | 0.4 | 172.51% | 17.15% | 10.45% | 1.64121 | 637 | 100.564 | 64.52% | 0.16% | 1.03838 | 1.88838 | -0.38% |
| riskoff-overlay-l90-m0.40-r96_q0.15_mf0.4_us | 90 | 0.4 | 165.50% | 16.67% | 10.29% | 1.61953 | 597 | 94.2496 | 66.67% | 0.17% | 0.993727 | 1.98745 | -0.38% |
| riskoff-overlay-l90-m0.40-r48_q0.15_mf0.4_us | 90 | 0.4 | 163.30% | 16.51% | 10.29% | 1.60465 | 651 | 102.775 | 64.06% | 0.15% | 1.04301 | 1.85869 | -0.38% |
| riskoff-overlay-l30-m0.40-r96_q0.15_mf0.4_us | 30 | 0.4 | 162.76% | 16.48% | 10.29% | 1.60098 | 575 | 90.7764 | 67.30% | 0.17% | 0.974865 | 2.00677 | -0.38% |
| riskoff-overlay-l60-m0.40-r48_q0.15_mf0.25_us | 60 | 0.4 | 164.78% | 16.62% | 10.39% | 1.59967 | 637 | 100.564 | 64.52% | 0.15% | 1.07071 | 1.94717 | -0.38% |
| riskoff-overlay-l60-m0.25-r48_q0.15_mf0.4_us | 60 | 0.25 | 164.82% | 16.62% | 10.39% | 1.59967 | 637 | 100.564 | 64.52% | 0.15% | 1.07071 | 1.94717 | -0.38% |
| riskoff-overlay-l90-m0.25-r96_q0.15_mf0.4_us | 90 | 0.25 | 160.50% | 16.32% | 10.29% | 1.58553 | 597 | 94.2496 | 66.67% | 0.17% | 1.00807 | 2.01613 | -0.38% |
| riskoff-overlay-l90-m0.40-r96_q0.15_mf0.25_us | 90 | 0.4 | 160.47% | 16.32% | 10.29% | 1.58538 | 597 | 94.2496 | 66.67% | 0.17% | 1.00807 | 2.01613 | -0.38% |
Taker/taker positive candidates
| name | kind | lookback_days | micro_weight | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | trades_per_year |
|---|---|---|---|---|---|---|---|---|---|
| switch-l30-r96_q0.15_mf0.25_us | recent_regime_switch | 30 | 1 | 126.75% | 13.80% | 8.40% | 1.64181 | 477 | 75.3049 |
| switch-l30-r96_q0.15_mf0.4_us | recent_regime_switch | 30 | 1 | 130.53% | 14.09% | 9.15% | 1.54052 | 477 | 75.3049 |
| switch-l90-r96_q0.15_mf0.25_us | recent_regime_switch | 90 | 1 | 116.20% | 12.94% | 8.50% | 1.52204 | 492 | 77.673 |
| switch-l90-r96_q0.15_mf0.4_us | recent_regime_switch | 90 | 1 | 129.41% | 14.01% | 9.29% | 1.50739 | 492 | 77.673 |
| switch-l60-r48_q0.15_mf0.25_us | recent_regime_switch | 60 | 1 | 115.55% | 12.89% | 11.61% | 1.11017 | 555 | 87.6189 |
| switch-l60-r48_q0.15_mf0.4_us | recent_regime_switch | 60 | 1 | 126.41% | 13.77% | 13.40% | 1.0277 | 555 | 87.6189 |
| switch-l90-r48_q0.15_mf0.25_us | recent_regime_switch | 90 | 1 | 92.68% | 10.91% | 11.00% | 0.992143 | 547 | 86.356 |
| switch-l30-r48_q0.15_mf0.25_us | recent_regime_switch | 30 | 1 | 113.02% | 12.68% | 13.17% | 0.963098 | 551 | 86.9875 |
| switch-l60-r96_q0.15_mf0.25_us | recent_regime_switch | 60 | 1 | 103.37% | 11.86% | 13.47% | 0.88018 | 498 | 78.6202 |
| switch-l90-r48_q0.15_mf0.4_us | recent_regime_switch | 90 | 1 | 91.12% | 10.77% | 13.55% | 0.794841 | 547 | 86.356 |
Best switch windows
| horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades | trades_per_year | win_rate | avg_return | payoff_ratio | profit_factor |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| full | 2019-12-30 | 2026-04-29 | 167.17% | 16.78% | 8.03% | 2.09119 | 482 | 76.0943 | 68.67% | 0.21% | 1.01873 | 2.23312 |
| 3y | 2023-04-29 | 2026-04-29 | 51.28% | 14.78% | 8.03% | 1.84194 | 254 | 84.5894 | 68.11% | 0.17% | 1.00487 | 2.1462 |
| 1y | 2025-04-29 | 2026-04-29 | 29.15% | 29.15% | 4.67% | 6.23993 | 104 | 104 | 77.88% | 0.25% | 0.874647 | 3.08028 |
| 6m | 2025-10-29 | 2026-04-29 | 5.33% | 10.98% | 4.67% | 2.35058 | 38 | 76.2088 | 71.05% | 0.13% | 0.682086 | 1.67421 |
| 3m | 2026-01-29 | 2026-04-29 | 6.06% | 26.96% | 0.38% | 70.1442 | 21 | 85.1667 | 80.95% | 0.26% | 0.904063 | 3.84227 |
| 30d | 2026-03-30 | 2026-04-29 | 1.69% | 22.55% | 0.38% | 58.6782 | 13 | 158.167 | 69.23% | 0.10% | 0.739203 | 1.66321 |
| 21d | 2026-04-08 | 2026-04-29 | -0.38% | -6.47% | 0.38% | -16.8445 | 10 | 173.81 | 60.00% | -0.08% | 0.400777 | 0.601166 |
| 14d | 2026-04-15 | 2026-04-29 | 0.00% | 0.00% | 0.00% | 0 | 8 | 208.571 | 75.00% | -0.05% | 0.249411 | 0.748233 |