eth-non-rsi-10y-report.md 4.7 KB
ETH non-RSI 10y exploration
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_non_rsi_10y.py --bar 15m --years 10.0
Requested years: 10
Actual continuous local history: 2019-12-25 00:00 to 2026-04-29 16:45.
Output files:
reports/eth-exploration/eth-non-rsi-10y-summary.csvreports/eth-exploration/eth-non-rsi-10y-horizon.csvreports/eth-exploration/eth-non-rsi-10y-top10.csvreports/eth-exploration/eth-non-rsi-10y-report.md
Primary sort: maker_taker by net_calmar, then net_annualized_return, then net_total_return.
Top 10: | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | bb_squeeze_breakout | bb-squeeze-l96-bw480-q0.15-sl0.008 | 1151 | 505.468 | 1.66639 | 0.684813 | 2.43335 | 2025-05 | -0.322615 | | bb_squeeze_breakout | bb-squeeze-l96-bw960-q0.25-sl0.008 | 1589 | 468.286 | 1.63456 | 0.941801 | 1.73557 | 2023-03 | -0.393371 | | bb_squeeze_breakout | bb-squeeze-l96-bw480-q0.25-sl0.008 | 1601 | 367.67 | 1.53632 | 0.893994 | 1.71849 | 2025-06 | -0.394425 | | bb_squeeze_breakout | bb-squeeze-l96-bw960-q0.25-sl0.012 | 1459 | 342.008 | 1.50767 | 0.962748 | 1.566 | 2024-11 | -0.385988 | | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.15-sl0.008 | 1680 | 76.5496 | 0.984167 | 0.689906 | 1.42652 | 2022-01 | -0.371923 | | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.008 | 2501 | 85.5607 | 1.01882 | 0.872593 | 1.16757 | 2021-12 | -0.453296 | | bb_squeeze_breakout | bb-squeeze-l96-bw480-q0.15-sl0.012 | 1078 | 62.7234 | 0.923747 | 0.793243 | 1.16452 | 2025-05 | -0.353027 | | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.15-sl0.012 | 1622 | 48.3984 | 0.84813 | 0.775619 | 1.09349 | 2021-12 | -0.421646 | | bb_squeeze_breakout | bb-squeeze-l96-bw480-q0.25-sl0.012 | 1467 | 64.6128 | 0.93262 | 0.95472 | 0.976852 | 2025-06 | -0.364865 | | bb_squeeze_breakout | bb-squeeze-l96-bw960-q0.15-sl0.008 | 1119 | 34.8226 | 0.756931 | 0.802526 | 0.943186 | 2020-03 | -0.375192 |
Family leaders: | family | best_calmar | best_annualized | best_total | candidates | | --- | --- | --- | --- | --- | | bb_squeeze_breakout | 2.43335 | 1.66639 | 505.468 | 16 | | ethbtc_relative_strength_breakout | 0.550698 | 0.479296 | 11.0178 | 16 | | bb_band_pullback | 0.324696 | 0.14508 | 1.36374 | 8 | | donchian | 0.0168787 | 0.0159525 | 0.10572 | 18 | | ethbtc_relative_strength_mean_reversion | 0 | 0 | -1 | 16 | | momentum_breakout | 0 | 0 | -0.999927 | 9 | | vwap_reversion | 0 | 0 | -1 | 18 |
Recent horizon leaders: | horizon | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | --- | | 3y | bb_band_pullback | bb-pullback-t240-l96-sl0.012 | 452 | 1.53154 | 0.362507 | 0.234897 | 1.54326 | | 3y | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.008 | 2501 | 4.91149 | 0.807164 | 0.589622 | 1.36895 | | 3y | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.012 | 2389 | 3.19607 | 0.612222 | 0.617909 | 0.990795 | | 1y | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.008 | 2501 | 2.62621 | 2.62621 | 0.436295 | 6.01936 | | 1y | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.012 | 2389 | 2.02474 | 2.02474 | 0.418787 | 4.83477 | | 1y | donchian | donchian-e48-x48-sl0.008 | 2988 | 2.21239 | 2.21239 | 0.514274 | 4.30197 | | 6m | bb_squeeze_breakout | bb-squeeze-l48-bw480-q0.15-sl0.008 | 1722 | 1.70224 | 6.3421 | 0.203107 | 31.2255 | | 6m | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.008 | 2501 | 1.60103 | 5.80097 | 0.285681 | 20.3058 | | 6m | bb_squeeze_breakout | bb-squeeze-l48-bw480-q0.25-sl0.008 | 2532 | 1.51836 | 5.37441 | 0.295748 | 18.1722 | | 3m | bb_squeeze_breakout | bb-squeeze-l96-bw960-q0.25-sl0.008 | 1589 | 1.01562 | 16.1613 | 0.260771 | 61.9752 | | 3m | bb_squeeze_breakout | bb-squeeze-l48-bw960-q0.25-sl0.008 | 2501 | 0.977253 | 14.8744 | 0.285681 | 52.0664 | | 3m | bb_squeeze_breakout | bb-squeeze-l48-bw480-q0.15-sl0.008 | 1722 | 0.700004 | 7.60205 | 0.203107 | 37.4289 |
Next-round directions:
- Primary: BB squeeze breakout. Best row
bb-squeeze-l96-bw480-q0.15-sl0.008has Calmar 2.43335, annualized 1.66639, trades 1151. - Secondary: ETH/BTC relative-strength breakout. Best row
ethbtc-ratio-breakout-r240-t480-x96-sl0.008is positive but DD-heavy: Calmar 0.550698, DD 0.870343. - Secondary: BB band pullback. Lower return than squeeze, but smoother DD profile in the best row
bb-pullback-t240-l96-sl0.008. - Drop for now: vwap_reversion, momentum_breakout, ethbtc_relative_strength_mean_reversion ended near full loss after maker_taker costs.
- Low priority: Donchian best Calmar is only 0.0168787; keep only as a benchmark.