eth-regime-router-report.md 15 KB
ETH regime router variants
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_regime_router_variants.py --bar 15m --years 10.0
Output files:
reports/eth-exploration/eth-regime-router-total.csvreports/eth-exploration/eth-regime-router-horizon.csvreports/eth-exploration/eth-regime-router-monthly.csvreports/eth-exploration/eth-regime-router-regime-contribution.csvreports/eth-exploration/eth-regime-router-top10.csvreports/eth-exploration/eth-regime-router-summary.jsonreports/eth-exploration/eth-regime-router-report.md
Router actions: trend_follow, mean_reversion, btc_lead, or cash. Regime inputs: BTC/ETH volatility, trend distance from SMA, rolling correlation, ETH/BTC ratio z-score, UTC hour, and ETH volume ratio. Costs: maker_taker, taker_taker. Primary sort uses maker_taker, qualified horizons, Calmar, annualized return, and drawdown.
Decision: Best maker_taker router router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9: annualized=-0.3870, DD=0.9696, Calmar=-0.3991, win_rate=0.6038, profit_factor=0.8528.
Top maker_taker routers
| name | trades | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | profit_loss_ratio | profit_factor | risk_return_ratio | min_horizon_total_return |
|---|---|---|---|---|---|---|---|---|---|---|
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 2400 | -0.955163 | -0.387002 | 0.969594 | -0.399138 | 0.60375 | 0.559678 | 0.852759 | -0.985116 | -0.955163 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 1863 | -0.956355 | -0.389601 | 0.96872 | -0.402182 | 0.589909 | 0.559196 | 0.804393 | -0.987236 | -0.956355 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 1859 | -0.957088 | -0.391229 | 0.970602 | -0.403078 | 0.590102 | 0.557157 | 0.802101 | -0.986077 | -0.957088 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 2402 | -0.957995 | -0.393275 | 0.969594 | -0.405608 | 0.603247 | 0.558878 | 0.849753 | -0.988038 | -0.957995 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 1896 | -0.958241 | -0.393837 | 0.970071 | -0.405987 | 0.59019 | 0.55991 | 0.806357 | -0.987805 | -0.958241 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 1892 | -0.958943 | -0.395453 | 0.971872 | -0.406898 | 0.590381 | 0.55792 | 0.804125 | -0.986696 | -0.958943 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 2459 | -0.959339 | -0.396377 | 0.97108 | -0.408181 | 0.603497 | 0.560825 | 0.853605 | -0.987909 | -0.959339 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 2461 | -0.961908 | -0.402554 | 0.97108 | -0.414542 | 0.603007 | 0.560063 | 0.8507 | -0.990554 | -0.961908 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 2754 | -0.984666 | -0.482387 | 0.989435 | -0.487537 | 0.599492 | 0.54694 | 0.818674 | -0.99518 | -0.984666 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 2756 | -0.985635 | -0.487683 | 0.989435 | -0.492891 | 0.599057 | 0.546215 | 0.81611 | -0.996159 | -0.985635 |
Horizon checks
| name | horizon | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | risk_return_ratio |
|---|---|---|---|---|---|---|
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | all | -0.959339 | -0.396359 | 0.97108 | -0.408163 | -0.987909 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 10y | -0.959339 | -0.396359 | 0.97108 | -0.408163 | -0.987909 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 3y | -0.850827 | -0.469342 | 0.850827 | -0.551631 | -1 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 1y | -0.593969 | -0.593969 | 0.604835 | -0.982034 | -0.982034 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 6m | -0.335409 | -0.55931 | 0.391019 | -1.43039 | -0.857783 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 3m | -0.257122 | -0.70043 | 0.266694 | -2.62635 | -0.964111 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | all | -0.984666 | -0.482367 | 0.989435 | -0.487517 | -0.99518 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 10y | -0.984666 | -0.482367 | 0.989435 | -0.487517 | -0.99518 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 3y | -0.929665 | -0.586882 | 0.929665 | -0.631283 | -1 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 1y | -0.594588 | -0.594588 | 0.605438 | -0.98208 | -0.98208 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 6m | -0.328195 | -0.549663 | 0.397495 | -1.38282 | -0.825657 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 3m | -0.266909 | -0.716117 | 0.276354 | -2.5913 | -0.965822 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | all | -0.955163 | -0.386985 | 0.969594 | -0.39912 | -0.985116 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 10y | -0.955163 | -0.386985 | 0.969594 | -0.39912 | -0.985116 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 3y | -0.855471 | -0.474901 | 0.855471 | -0.555135 | -1 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 1y | -0.590022 | -0.590022 | 0.600994 | -0.981744 | -0.981744 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 6m | -0.335409 | -0.55931 | 0.391019 | -1.43039 | -0.857783 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 3m | -0.257122 | -0.70043 | 0.266694 | -2.62635 | -0.964111 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | all | -0.961908 | -0.402536 | 0.97108 | -0.414523 | -0.990554 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 10y | -0.961908 | -0.402536 | 0.97108 | -0.414523 | -0.990554 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 3y | -0.850827 | -0.469342 | 0.850827 | -0.551631 | -1 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 1y | -0.593969 | -0.593969 | 0.604835 | -0.982034 | -0.982034 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 6m | -0.335409 | -0.55931 | 0.391019 | -1.43039 | -0.857783 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 3m | -0.257122 | -0.70043 | 0.266694 | -2.62635 | -0.964111 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | all | -0.985635 | -0.487663 | 0.989435 | -0.49287 | -0.996159 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 10y | -0.985635 | -0.487663 | 0.989435 | -0.49287 | -0.996159 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 3y | -0.929665 | -0.586882 | 0.929665 | -0.631283 | -1 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 1y | -0.594588 | -0.594588 | 0.605438 | -0.98208 | -0.98208 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 6m | -0.328195 | -0.549663 | 0.397495 | -1.38282 | -0.825657 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 3m | -0.266909 | -0.716117 | 0.276354 | -2.5913 | -0.965822 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | all | -0.957995 | -0.393257 | 0.969594 | -0.40559 | -0.988038 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 10y | -0.957995 | -0.393257 | 0.969594 | -0.40559 | -0.988038 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 3y | -0.855471 | -0.474901 | 0.855471 | -0.555135 | -1 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 1y | -0.590022 | -0.590022 | 0.600994 | -0.981744 | -0.981744 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 6m | -0.335409 | -0.55931 | 0.391019 | -1.43039 | -0.857783 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 3m | -0.257122 | -0.70043 | 0.266694 | -2.62635 | -0.964111 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | all | -0.958943 | -0.395435 | 0.971872 | -0.40688 | -0.986696 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 10y | -0.958943 | -0.395435 | 0.971872 | -0.40688 | -0.986696 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 3y | -0.836429 | -0.452806 | 0.84266 | -0.537353 | -0.992605 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 1y | -0.540791 | -0.540791 | 0.574378 | -0.941523 | -0.941523 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 6m | -0.241743 | -0.42592 | 0.339022 | -1.25632 | -0.713061 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 3m | -0.114654 | -0.389742 | 0.159354 | -2.44575 | -0.719491 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | all | -0.957088 | -0.391211 | 0.970602 | -0.40306 | -0.986077 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 10y | -0.957088 | -0.391211 | 0.970602 | -0.40306 | -0.986077 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 3y | -0.827745 | -0.443297 | 0.834307 | -0.531336 | -0.992135 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 1y | -0.525418 | -0.525418 | 0.56013 | -0.938029 | -0.938029 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 6m | -0.241743 | -0.42592 | 0.339022 | -1.25632 | -0.713061 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 3m | -0.114654 | -0.389742 | 0.159354 | -2.44575 | -0.719491 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | all | -0.958241 | -0.393819 | 0.970071 | -0.405969 | -0.987805 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 10y | -0.958241 | -0.393819 | 0.970071 | -0.405969 | -0.987805 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 3y | -0.836429 | -0.452806 | 0.84266 | -0.537353 | -0.992605 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 1y | -0.540791 | -0.540791 | 0.574378 | -0.941523 | -0.941523 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 6m | -0.241743 | -0.42592 | 0.339022 | -1.25632 | -0.713061 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 3m | -0.114654 | -0.389742 | 0.159354 | -2.44575 | -0.719491 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | all | -0.956355 | -0.389584 | 0.96872 | -0.402164 | -0.987236 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 10y | -0.956355 | -0.389584 | 0.96872 | -0.402164 | -0.987236 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 3y | -0.827745 | -0.443297 | 0.834307 | -0.531336 | -0.992135 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 1y | -0.525418 | -0.525418 | 0.56013 | -0.938029 | -0.938029 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 6m | -0.241743 | -0.42592 | 0.339022 | -1.25632 | -0.713061 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 3m | -0.114654 | -0.389742 | 0.159354 | -2.44575 | -0.719491 |
Regime contribution
| name | regime | trades | net_return_contribution | win_rate | profit_factor |
|---|---|---|---|---|---|
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | trend_follow | 1544 | -0.61114 | 0.621762 | 0.946511 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | btc_lead | 427 | -0.80039 | 0.583138 | 0.801529 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | mean_reversion | 488 | -1.34138 | 0.563525 | 0.599155 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | trend_follow | 1502 | -0.562447 | 0.623169 | 0.94868 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | btc_lead | 409 | -0.735923 | 0.581907 | 0.806747 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | mean_reversion | 843 | -2.40643 | 0.565836 | 0.57514 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | trend_follow | 1502 | -0.562447 | 0.623169 | 0.94868 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | btc_lead | 410 | -0.768023 | 0.580488 | 0.800003 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | mean_reversion | 488 | -1.34138 | 0.563525 | 0.599155 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | trend_follow | 1544 | -0.61114 | 0.621762 | 0.946511 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | btc_lead | 429 | -0.86459 | 0.58042 | 0.788969 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | mean_reversion | 488 | -1.34138 | 0.563525 | 0.599155 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | trend_follow | 1502 | -0.562447 | 0.623169 | 0.94868 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | btc_lead | 411 | -0.800123 | 0.579075 | 0.793372 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | mean_reversion | 843 | -2.40643 | 0.565836 | 0.57514 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | trend_follow | 1502 | -0.562447 | 0.623169 | 0.94868 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | btc_lead | 412 | -0.832223 | 0.57767 | 0.786849 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | mean_reversion | 488 | -1.34138 | 0.563525 | 0.599155 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | trend_follow | 926 | -0.23645 | 0.636069 | 0.964628 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | btc_lead | 428 | -0.784774 | 0.584112 | 0.806815 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | mean_reversion | 538 | -1.83851 | 0.516729 | 0.522824 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | trend_follow | 910 | -0.232951 | 0.637363 | 0.964417 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | btc_lead | 411 | -0.752407 | 0.581509 | 0.805564 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | mean_reversion | 538 | -1.83851 | 0.516729 | 0.522824 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | trend_follow | 928 | -0.152096 | 0.636853 | 0.977247 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | btc_lead | 430 | -0.848974 | 0.581395 | 0.794263 |
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | mean_reversion | 538 | -1.83851 | 0.516729 | 0.522824 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | trend_follow | 912 | -0.148598 | 0.638158 | 0.977302 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | btc_lead | 413 | -0.816607 | 0.578692 | 0.792417 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | mean_reversion | 538 | -1.83851 | 0.516729 | 0.522824 |
Worst months among top routers
| name | month | return |
|---|---|---|
| router-t96-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 2021-06 | -0.27267 |
| router-t96-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 2021-06 | -0.27267 |
| router-t96-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 2021-06 | -0.27267 |
| router-t96-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 2021-06 | -0.27267 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 2021-03 | -0.238631 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 2021-03 | -0.238631 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 2024-12 | -0.225507 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 2024-12 | -0.225507 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 2021-06 | -0.222349 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 2021-06 | -0.222349 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 2021-06 | -0.222349 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 2021-06 | -0.222349 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 2024-12 | -0.221004 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 2024-12 | -0.221004 |
| router-t192-et0.006-v0.024-c0.6-rz1.5-br0.016-liq0.9 | 2021-07 | -0.217013 |
| router-t192-et0.006-v0.018-c0.6-rz1.5-br0.016-liq0.9 | 2021-07 | -0.217013 |
| router-t192-et0.006-v0.024-c0.45-rz1.5-br0.016-liq0.9 | 2021-07 | -0.217013 |
| router-t192-et0.006-v0.018-c0.45-rz1.5-br0.016-liq0.9 | 2021-07 | -0.217013 |
| router-t192-et0.006-v0.018-c0.6-rz1.0-br0.016-liq0.9 | 2021-06 | -0.216169 |
| router-t192-et0.006-v0.024-c0.6-rz1.0-br0.016-liq0.9 | 2021-06 | -0.216169 |