okx-codex-trader/reports/eth-exploration/eth-risk-exit-summary.md

ETH risk/exit exploration

Fixed entry baseline: ETH 15m RSI2 long, trend SMA 50, RSI <= 3, exit RSI baseline 45. Variants only change risk/exit rules or optional gap/range risk filters. Main ranking uses maker_taker cost 0.0021.

Baselines

• market: net_annualized_return=0.083840, net_max_drawdown=0.355617, net_calmar=0.235759
• price_twap: net_annualized_return=0.022953, net_max_drawdown=0.392731, net_calmar=0.058445

Top 10 maker_taker candidates

name	trades	net_total_return	net_annualized_return	net_max_drawdown	net_calmar	gross_max_drawdown	win_rate
market-t50-r3.0-x45.0-stop-none-mh10000	537	0.667142020527707	0.08383984962782631	0.35561720487998855	0.23575869917801096	0.29058586993231106	0.7318435754189944
price_twap-t50-r3.0-x45.0-stop-none-mh10000	405	0.154963451072464	0.022953156627744775	0.39273138383235273	0.05844492590269513	0.2972000044509594	0.7654320987654321
market-t50-r3.0-x45.0-stop-atr1.6-0.0050-0.0160-mh24	552	-0.03875677869326788	-0.006207075083259572	0.3582264476224403	-0.017327238467332928	0.20841078234068527	0.7101449275362319
market-t50-r3.0-x45.0-stop-atr1.6-0.0050-0.0160-mh48	552	-0.03875677869326788	-0.006207075083259572	0.3582264476224403	-0.017327238467332928	0.20841078234068527	0.7101449275362319
market-t50-r3.0-x45.0-stop-atr1.6-0.0050-0.0160-mh96	552	-0.03875677869326788	-0.006207075083259572	0.3582264476224403	-0.017327238467332928	0.20841078234068527	0.7101449275362319
market-t50-r3.0-x35.0-stop-atr1.6-0.0050-0.0160-mh24	554	-0.10014588147000414	-0.016484536889796675	0.3845496233326361	-0.04286712530605581	0.172923486348923	0.7220216606498195
market-t50-r3.0-x35.0-stop-atr1.6-0.0050-0.0160-mh48	554	-0.10014588147000414	-0.016484536889796675	0.3845496233326361	-0.04286712530605581	0.172923486348923	0.7220216606498195
market-t50-r3.0-x35.0-stop-atr1.6-0.0050-0.0160-mh96	554	-0.10014588147000414	-0.016484536889796675	0.3845496233326361	-0.04286712530605581	0.172923486348923	0.7220216606498195
market-t50-r3.0-x45.0-stop-atr1.2-0.0040-0.0120-mh24	572	-0.19998998586207228	-0.034537088323748466	0.43053499776393694	-0.08021900310804747	0.17816852570523717	0.6888111888111889
market-t50-r3.0-x45.0-stop-atr1.2-0.0040-0.0120-mh48	572	-0.19998998586207228	-0.034537088323748466	0.43053499776393694	-0.08021900310804747	0.17816852570523717	0.6888111888111889

Drawdown/recent-return read

Best candidate versus its entry-mode baseline: drawdown_lower=False; annualized_return_delta=0.000000.

name	horizon	net_total_return	net_annualized_return	net_max_drawdown
market-t50-r3.0-x45.0-stop-none-mh10000	1y	0.06629563893524626	0.06629563893524626	0.24566572008115672
market-t50-r3.0-x45.0-stop-none-mh10000	6m	-0.14540806031879994	-0.2703028786373115	0.23707322339538303
market-t50-r3.0-x45.0-stop-none-mh10000	3m	0.08960246078918344	0.4162592200643964	0.03760051525401639