eth-price-twap-summary.md 13 KB
ETH price-TWAP variant search
Primary sort: maker_taker by net_calmar, then net_annualized_return.
Top 10 maker_taker candidates
| name | trades | trend_sma | rsi_threshold | exit_rsi | stop_loss_pct | max_hold_bars | entry_offsets | entry_valid_bars | fill_buffer | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48 | 435 | 160 | 5.0 | 50.0 | 0.012 | 48 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.02042533657483714 | 0.3650340587422797 | -0.05595460501743969 | -0.04393369074726193 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh96 | 435 | 160 | 5.0 | 50.0 | 0.012 | 96 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.02042533657483714 | 0.3650340587422797 | -0.05595460501743969 | -0.04393369074726193 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh48 | 435 | 160 | 5.0 | 55.0 | 0.012 | 48 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.03894157421647115 | 0.3475828573575683 | -0.1120353705373072 | -0.14786531973372358 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh96 | 435 | 160 | 5.0 | 55.0 | 0.012 | 96 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.03894157421647115 | 0.3475828573575683 | -0.1120353705373072 | -0.14786531973372358 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh48 | 339 | 80 | 5.0 | 50.0 | 0.012 | 48 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.052690238021890434 | 0.3922485223792183 | -0.13432871002876723 | -0.2991620553268799 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh96 | 339 | 80 | 5.0 | 50.0 | 0.012 | 96 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.052690238021890434 | 0.3922485223792183 | -0.13432871002876723 | -0.2991620553268799 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh48 | 411 | 160 | 5.0 | 50.0 | 0.012 | 48 | 0.0030-0.0060-0.0090 | 2 | 0.0002 | -0.059314753368090445 | 0.3946241911612322 | -0.15030693681892432 | -0.2983914291242871 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh96 | 411 | 160 | 5.0 | 50.0 | 0.012 | 96 | 0.0030-0.0060-0.0090 | 2 | 0.0002 | -0.059314753368090445 | 0.3946241911612322 | -0.15030693681892432 | -0.2983914291242871 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh48 | 339 | 80 | 5.0 | 55.0 | 0.012 | 48 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.06645062245714384 | 0.4205202548815664 | -0.15802002801472362 | -0.36657655760295105 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh96 | 339 | 80 | 5.0 | 55.0 | 0.012 | 96 | 0.0030-0.0060-0.0090 | 2 | 0.0 | -0.06645062245714384 | 0.4205202548815664 | -0.15802002801472362 | -0.36657655760295105 |
Recent horizons for top 10
| name | horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|---|---|
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh48 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.1675967711517471 | -0.059402432713169584 | 0.3946241911612322 | -0.15052912123397788 | -0.2983914291242871 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh48 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.25636954034500326 | -0.25636954034500326 | 0.3209603220165508 | -0.7987577365771187 | -1.4770859917779242 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh48 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.1386945898578914 | -0.25876132496405546 | 0.18391345496828643 | -1.406973323450835 | -1.4911038692019374 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh48 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | -0.011929266737442212 | -0.04750525346886225 | 0.11023855024477035 | -0.4309314061495096 | -0.17815681131465055 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh96 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.1675967711517471 | -0.059402432713169584 | 0.3946241911612322 | -0.15052912123397788 | -0.2983914291242871 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh96 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.25636954034500326 | -0.25636954034500326 | 0.3209603220165508 | -0.7987577365771187 | -1.4770859917779242 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh96 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.1386945898578914 | -0.25876132496405546 | 0.18391345496828643 | -1.406973323450835 | -1.4911038692019374 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-fb0.0002-t160-l5.0-x50.0-sl0.012-mh96 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | -0.011929266737442212 | -0.04750525346886225 | 0.11023855024477035 | -0.4309314061495096 | -0.17815681131465055 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.0600323943433968 | -0.020456152396647553 | 0.3650340587422797 | -0.05603902404923248 | -0.04393369074726193 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.21700669777053427 | -0.21700669777053427 | 0.3127550018804931 | -0.6938552428122469 | -1.1782806017919782 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.11434734675972102 | -0.21614254220415152 | 0.18053659688291737 | -1.1972228674739311 | -1.1673728796444798 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.013086139039900191 | 0.0541421550370218 | 0.11023855024477097 | 0.49113631226831167 | 0.3765619134938053 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh96 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.0600323943433968 | -0.020456152396647553 | 0.3650340587422797 | -0.05603902404923248 | -0.04393369074726193 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh96 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.21700669777053427 | -0.21700669777053427 | 0.3127550018804931 | -0.6938552428122469 | -1.1782806017919782 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh96 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.11434734675972102 | -0.21614254220415152 | 0.18053659688291737 | -1.1972228674739311 | -1.1673728796444798 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh96 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.013086139039900191 | 0.0541421550370218 | 0.11023855024477097 | 0.49113631226831167 | 0.3765619134938053 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh48 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.11233343061827561 | -0.03899976403472272 | 0.3475828573575683 | -0.11220278333405424 | -0.14786531973372358 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh48 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.18396393725954774 | -0.18396393725954774 | 0.3078819307121797 | -0.5975145629170573 | -0.8857332718257417 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh48 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.0892567208960785 | -0.17097266406241807 | 0.17776142314722834 | -0.9618097168406017 | -0.8757629825996122 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh48 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.03397090089833266 | 0.14508910825487198 | 0.1035859601001262 | 1.400663836244109 | 0.8240145572868439 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh96 | 3y | 2023-05-02 08:45 | 2026-04-29 16:30 | -0.11233343061827561 | -0.03899976403472272 | 0.3475828573575683 | -0.11220278333405424 | -0.14786531973372358 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh96 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.18396393725954774 | -0.18396393725954774 | 0.3078819307121797 | -0.5975145629170573 | -0.8857332718257417 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh96 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.0892567208960785 | -0.17097266406241807 | 0.17776142314722834 | -0.9618097168406017 | -0.8757629825996122 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x55.0-sl0.012-mh96 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.03397090089833266 | 0.14508910825487198 | 0.1035859601001262 | 1.400663836244109 | 0.8240145572868439 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh48 | 3y | 2023-05-01 12:45 | 2026-04-29 16:30 | -0.14988689914188147 | -0.05272929095027912 | 0.3922485223792183 | -0.13442827172539723 | -0.2991620553268799 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh48 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.19636506524945674 | -0.19636506524945674 | 0.29462164650923445 | -0.666499110218305 | -1.1876069220693815 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh48 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.05355035977023703 | -0.10450392099631178 | 0.14450134778543702 | -0.7232037804345226 | -0.6033944164928269 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh48 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.059288287288458585 | 0.26312507638329174 | 0.04907228155739068 | 5.361989865410344 | 1.7255256736885665 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh96 | 3y | 2023-05-01 12:45 | 2026-04-29 16:30 | -0.14988689914188147 | -0.05272929095027912 | 0.3922485223792183 | -0.13442827172539723 | -0.2991620553268799 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh96 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.19636506524945674 | -0.19636506524945674 | 0.29462164650923445 | -0.666499110218305 | -1.1876069220693815 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh96 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.05355035977023703 | -0.10450392099631178 | 0.14450134778543702 | -0.7232037804345226 | -0.6033944164928269 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x50.0-sl0.012-mh96 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.059288287288458585 | 0.26312507638329174 | 0.04907228155739068 | 5.361989865410344 | 1.7255256736885665 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh48 | 3y | 2023-05-01 12:45 | 2026-04-29 16:30 | -0.18639664013964097 | -0.06649951134768539 | 0.4205202548815664 | -0.1581362861258943 | -0.36657655760295105 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh48 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.18847516118041463 | -0.18847516118041463 | 0.3091823966923097 | -0.6095921475373652 | -1.1074666147357 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh48 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.029874345435300875 | -0.05901303966822402 | 0.13873579703826447 | -0.42536274651557837 | -0.2954122466878357 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh48 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.07851845788021317 | 0.35873287307731605 | 0.041387690823479484 | 8.667622327791353 | 2.255247102041426 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh96 | 3y | 2023-05-01 12:45 | 2026-04-29 16:30 | -0.18639664013964097 | -0.06649951134768539 | 0.4205202548815664 | -0.1581362861258943 | -0.36657655760295105 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh96 | 1y | 2025-04-29 16:30 | 2026-04-29 16:30 | -0.18847516118041463 | -0.18847516118041463 | 0.3091823966923097 | -0.6095921475373652 | -1.1074666147357 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh96 | 6m | 2025-10-29 16:30 | 2026-04-29 16:30 | -0.029874345435300875 | -0.05901303966822402 | 0.13873579703826447 | -0.42536274651557837 | -0.2954122466878357 |
| rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t80-l5.0-x55.0-sl0.012-mh96 | 3m | 2026-01-29 16:30 | 2026-04-29 16:30 | 0.07851845788021317 | 0.35873287307731605 | 0.041387690823479484 | 8.667622327791353 | 2.255247102041426 |
Next narrowing direction
Favor the parameter cluster shared by the top maker_taker rows: keep the strongest trend_sma/rsi_threshold/offset combinations, then rerun a narrower grid around adjacent stop_loss_pct, max_hold_bars, entry_valid_bars, and fill_buffer values.