eth-regime-price-twap-report.md 15 KB
ETH regime price-TWAP variants
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_regime_price_twap_variants.py --bar 15m --years 3.25 --window-size 240
Output files:
reports/eth-exploration/eth-regime-price-twap-summary.csvreports/eth-exploration/eth-regime-price-twap-total.csvreports/eth-exploration/eth-regime-price-twap-horizon.csvreports/eth-exploration/eth-regime-price-twap-top10.csvreports/eth-exploration/eth-regime-price-twap-report.md
Primary sort: maker_taker cost, by net_ci95_low then net_avg_return.
Tested entry rule: ETH price-TWAP entry requires BTC close above SMA480 and BTC momentum240 >= 0. Exit remains ETH RSI/hold/stop based.
Top 10 maker_taker candidates: | family | name | net_avg_return | net_ci95_low | positive_window_rate | trades | avg_trades_per_window | max_drawdown | | --- | --- | --- | --- | --- | --- | --- | --- | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 0.000166594 | -0.000246767 | 0.0783898 | 46 | 0.0974576 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 8.53745e-05 | -0.000263586 | 0.0402542 | 23 | 0.0487288 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 8.31492e-05 | -0.000266281 | 0.0381356 | 23 | 0.0487288 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 8.5168e-05 | -0.00027054 | 0.0529661 | 32 | 0.0677966 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 5.86723e-05 | -0.000277833 | 0.0402542 | 22 | 0.0466102 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 5.6447e-05 | -0.000280544 | 0.0381356 | 22 | 0.0466102 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 7.05863e-05 | -0.000283388 | 0.0529661 | 32 | 0.0677966 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 0.00011609 | -0.000289141 | 0.0783898 | 46 | 0.0974576 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 0.000100106 | -0.000295621 | 0.0762712 | 45 | 0.095339 | 0.046063 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 4.477e-05 | -0.000298839 | 0.0508475 | 31 | 0.065678 | 0.046063 |
Top 10 by full-period maker_taker net Calmar: | family | name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 97 | 0.098177 | 0.0292353 | 0.0464208 | 0.629789 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 51 | 0.104373 | 0.0310186 | 0.0641015 | 0.483898 | | regime_price_twap | eth-btc-price-twap-o0.0030-0.0060-0.0090-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 72 | 0.0870321 | 0.02601 | 0.0547258 | 0.475278 | | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 67 | 0.0602575 | 0.0181668 | 0.0469383 | 0.387037 | | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 82 | 0.0697868 | 0.0209738 | 0.0561502 | 0.373531 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 51 | 0.0769222 | 0.0230644 | 0.0649698 | 0.355001 | | regime_price_twap | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 50 | 0.0728862 | 0.0218831 | 0.0641015 | 0.341382 | | regime_price_twap | eth-btc-price-twap-o0.0030-0.0060-0.0090-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 69 | 0.0642522 | 0.0193457 | 0.0576593 | 0.335517 | | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 92 | 0.0507572 | 0.0153509 | 0.0464208 | 0.330691 | | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 97 | 0.0593286 | 0.0178923 | 0.0557616 | 0.320871 |
Baselines: | family | name | net_avg_return | net_ci95_low | positive_window_rate | trades | avg_trades_per_window | max_drawdown | | --- | --- | --- | --- | --- | --- | --- | --- | | baseline_eth_btc_rsi_filter | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.000835727 | 0.000144234 | 0.226695 | 156 | 0.330508 | 0.0576946 | | baseline_price_twap_deep | rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v3-t50-l3.0-x55.0-sl0.008-mh48 | -0.143293 | -0.167428 | 0.0232068 | 173 | 0.364979 | 0.924144 | | baseline_price_twap_mid | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | -0.149641 | -0.174268 | 0.0464135 | 207 | 0.436709 | 0.962183 |
Recent horizons for top 10: | name | horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | --- | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0167915 | 0.00556105 | 0.066946 | 0.0830677 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0191729 | -0.0191729 | 0.0417187 | -0.459576 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0193982 | 0.00641883 | 0.071082 | 0.0903018 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0235207 | -0.0235207 | 0.0417187 | -0.563792 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.00426432 | 0.00141813 | 0.066946 | 0.0211832 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0191729 | -0.0191729 | 0.0417187 | -0.459576 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0068389 | 0.00227238 | 0.071082 | 0.0319684 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0235207 | -0.0235207 | 0.0417187 | -0.563792 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v1-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.02775 | 0.00915732 | 0.0596589 | 0.153495 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0129325 | -0.0129325 | 0.0417187 | -0.309993 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0363726 | 0.0119691 | 0.0564678 | 0.211963 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0173079 | -0.0173079 | 0.0417187 | -0.414872 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0170039 | 0.00563097 | 0.0601788 | 0.0935707 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0173079 | -0.0173079 | 0.0417187 | -0.414872 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0310338 | -0.0612672 | 0.0417187 | -1.46858 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v2-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0 | 0 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0422765 | 0.0138853 | 0.0649698 | 0.21372 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0261104 | -0.0261104 | 0.0649698 | -0.401886 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0271019 | -0.0536122 | 0.0396584 | -1.35185 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x50.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0.001247 | 0.00506692 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.068844 | 0.02242 | 0.0641015 | 0.349757 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0157127 | -0.0157127 | 0.0641015 | -0.245123 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0187569 | -0.0372622 | 0.0381 | -0.978009 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0.004426 | 0.0180716 | 0 | 0 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 0.0383703 | 0.0126183 | 0.0641015 | 0.196849 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | -0.0202582 | -0.0202582 | 0.0641015 | -0.316033 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | -0.0187569 | -0.0372622 | 0.0381 | -0.978009 | | eth-btc-price-twap-o0.0040-0.0070-0.0100-v3-fb0.0002-et50-l3.0-x55.0-sl0.012-mh48-bt480-bm240-br0.0 | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 0.004426 | 0.0180716 | 0 | 0 |
Recent horizon leaders: | horizon | family | name | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | | --- | --- | --- | --- | --- | --- | --- | | 3y | baseline_price_twap_deep | rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v3-t50-l3.0-x55.0-sl0.008-mh48 | 0.905872 | 0.239594 | 0.0787583 | 3.04214 | | 3y | baseline_price_twap_mid | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.592282 | 0.167558 | 0.156469 | 1.07087 | | 3y | baseline_eth_btc_rsi_filter | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.434228 | 0.127609 | 0.0942497 | 1.35394 | | 1y | baseline_price_twap_deep | rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v3-t50-l3.0-x55.0-sl0.008-mh48 | 0.458421 | 0.458421 | 0.0644706 | 7.11054 | | 1y | baseline_price_twap_mid | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.379413 | 0.379413 | 0.0709442 | 5.34805 | | 1y | baseline_eth_btc_rsi_filter | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.293336 | 0.293336 | 0.0485901 | 6.03695 | | 6m | baseline_price_twap_deep | rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v3-t50-l3.0-x55.0-sl0.008-mh48 | 0.24499 | 0.551868 | 0.0644706 | 8.56001 | | 6m | baseline_price_twap_mid | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.0859606 | 0.179845 | 0.0709442 | 2.53502 | | 6m | regime_price_twap | eth-btc-price-twap-o0.0020-0.0050-0.0080-v3-et80-l3.0-x55.0-sl0.008-mh48-bt480-bm240-br0.0 | 0.0570191 | 0.11763 | 0.0271791 | 4.32795 | | 3m | baseline_price_twap_deep | rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v3-t50-l3.0-x55.0-sl0.008-mh48 | 0.247241 | 1.44981 | 0.009902 | 146.416 | | 3m | baseline_price_twap_mid | rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t50-l3.0-x55.0-sl0.008-mh48 | 0.150327 | 0.764671 | 0.0293094 | 26.0896 | | 3m | baseline_eth_btc_rsi_filter | eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.0612437 | 0.272608 | 0.003843 | 70.9362 |
Comparison:
- Window robustness better than the best standalone baseline: False.
- Full-period Calmar better than the best standalone baseline: False.
- Best regime price-TWAP net_ci95_low=-0.000246767; best baseline net_ci95_low=0.000144234 (baseline_eth_btc_rsi_filter).
- Best regime price-TWAP net_calmar=0.629789; best baseline net_calmar=2.82306 (baseline_price_twap_deep).