eth-robust-twap-accounting-audit-horizons.csv 37 KB

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  1. name,cost_model,roundtrip_cost_on_margin,horizon,horizon_start,horizon_end,trades,total_return,annualized_return,max_drawdown,calmar,trend_sma,rsi_length,rsi_threshold,exit_rsi,stop_loss_pct,max_hold_bars,entry_offsets,entry_valid_bars,fill_buffer
  2. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,full,2019-12-25 15:00,2026-05-20 15:15,341,0.48238568479308275,0.06338301602447949,0.12723894891738385,0.4981416190857882,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  3. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3y,2023-05-20 15:15,2026-05-20 15:15,341,0.3191599637032767,0.096636173089371,0.12723894891738385,0.7594857856937878,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  4. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,1y,2025-05-20 15:15,2026-05-20 15:15,341,0.080771968179987,0.080771968179987,0.12723894891738385,0.6348053710537342,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  5. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,6m,2025-11-20 15:15,2026-05-20 15:15,341,0.057880079457953926,0.1201544336797622,0.08454287192004607,1.4212248880472704,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  6. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3m,2026-02-20 15:15,2026-05-20 15:15,341,0.07533020577650662,0.3469671543293662,0.002195400629807118,158.04275065724556,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  7. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,30d,2026-04-20 15:15,2026-05-20 15:15,341,0.037900411395961564,0.5723919912799644,0.002195400629807118,260.7232518331988,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  8. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,21d,2026-04-29 15:15,2026-05-20 15:15,341,0.0016015574748515782,0.028204756860404023,0.0007272974186812134,38.780224067819276,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  9. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,full,2019-12-25 15:00,2026-05-20 15:15,341,0.2224569424788001,0.03185464870630472,0.14650931754572022,0.21742404674272028,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  10. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3y,2023-05-20 15:15,2026-05-20 15:15,341,0.2063205585096135,0.064460296684689,0.13958998441800632,0.4617831068141733,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  11. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,1y,2025-05-20 15:15,2026-05-20 15:15,341,0.04409247576007602,0.04409247576007602,0.13958998441800632,0.3158713423739615,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  12. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,6m,2025-11-20 15:15,2026-05-20 15:15,341,0.03963181655191206,0.08153080988042882,0.08791132650226653,0.9274209948171672,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  13. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3m,2026-02-20 15:15,2026-05-20 15:15,341,0.06927185681342074,0.3161156167066721,0.002693979306176955,117.3415163144939,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  14. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,30d,2026-04-20 15:15,2026-05-20 15:15,341,0.03482545244229751,0.5166419863021743,0.002693979306176955,191.77652371626587,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  15. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,21d,2026-04-29 15:15,2026-05-20 15:15,341,-0.00019907545237840552,-0.003454484906283861,0.0016272974186812455,-2.1228356086764766,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,4,0.0
  16. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,full,2019-12-25 15:00,2026-05-20 15:15,432,0.30129937219643943,0.04197205902850576,0.21031531232121795,0.19956729999954145,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  17. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3y,2023-05-20 15:15,2026-05-20 15:15,432,0.3002318005965958,0.09137059927521607,0.14799023919332407,0.617409633049217,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  18. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,1y,2025-05-20 15:15,2026-05-20 15:15,432,0.08645408436087143,0.08645408436087143,0.14799023919332407,0.5841877466522226,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  19. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,6m,2025-11-20 15:15,2026-05-20 15:15,432,0.06232363812457242,0.12966295391851257,0.1020935532621701,1.2700405635363274,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  20. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3m,2026-02-20 15:15,2026-05-20 15:15,432,0.09324386287029918,0.4413962877675328,0.012699999993000024,34.755613229198524,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  21. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,30d,2026-04-20 15:15,2026-05-20 15:15,432,0.02953461683126779,0.42494555661914135,0.005727151494264358,74.19841382661465,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  22. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,21d,2026-04-29 15:15,2026-05-20 15:15,432,-0.0025393608129413714,-0.04323037590230561,0.004430151326404165,-9.758216529681063,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  23. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,full,2019-12-25 15:00,2026-05-20 15:15,432,0.029731207716682473,0.004584321638811506,0.2448518087631857,0.018722841632121012,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  24. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3y,2023-05-20 15:15,2026-05-20 15:15,432,0.16080072399308198,0.0509116220755812,0.16258846715260286,0.31313181658694395,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  25. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,1y,2025-05-20 15:15,2026-05-20 15:15,432,0.03860256151202357,0.03860256151202357,0.16258846715260286,0.23742496739200966,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  26. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,6m,2025-11-20 15:15,2026-05-20 15:15,432,0.03837157442754546,0.0788886448156394,0.105681601588511,0.7464747281443135,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  27. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3m,2026-02-20 15:15,2026-05-20 15:15,432,0.08449067619020889,0.39465070938591773,0.013532228965551051,29.163762332914903,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  28. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,30d,2026-04-20 15:15,2026-05-20 15:15,432,0.026168557284711458,0.36928617760800786,0.008115802054623892,45.50211736591222,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  29. rsi2-long-guarded-price-twap-o0.0020-0.0050-0.0080-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,21d,2026-04-29 15:15,2026-05-20 15:15,432,-0.00463610319932406,-0.07759164908942529,0.006225351868782602,-12.463817423479826,60,2,3.0,50.0,0.012,48,0.0020-0.0050-0.0080,4,0.0
  30. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,full,2019-12-25 15:00,2026-05-20 15:15,280,0.7228184472018497,0.0886309658890092,0.13998063564653757,0.6331659052671369,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  31. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3y,2023-05-20 15:15,2026-05-20 15:15,280,0.2891492199006671,0.08826379951344232,0.13998063564653757,0.6305429254966063,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  32. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,1y,2025-05-20 15:15,2026-05-20 15:15,280,0.015374585304855026,0.015374585304855026,0.13998063564653757,0.10983365830454649,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  33. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,6m,2025-11-20 15:15,2026-05-20 15:15,280,0.016150216092173375,0.032835489102688964,0.08783959410789859,0.37381194023227365,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  34. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3m,2026-02-20 15:15,2026-05-20 15:15,280,0.05666134671847778,0.25361378812697977,0.0011928859718120534,212.6052230639679,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  35. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,30d,2026-04-20 15:15,2026-05-20 15:15,280,0.02634888472572361,0.37221663292861895,0.0011928859718120534,312.03035472301116,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  36. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,21d,2026-04-29 15:15,2026-05-20 15:15,280,0.002843172254200388,0.05058476043859583,0.0,0.0,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  37. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,full,2019-12-25 15:00,2026-05-20 15:15,280,0.46773358355543904,0.06173525832688398,0.1496118708839162,0.4126360960674327,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  38. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3y,2023-05-20 15:15,2026-05-20 15:15,280,0.20208083102291163,0.06321292261994316,0.1496118708839162,0.42251274746099554,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  39. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,1y,2025-05-20 15:15,2026-05-20 15:15,280,-0.010566693595400078,-0.010566693595400078,0.1496118708839162,-0.07062737423822989,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  40. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,6m,2025-11-20 15:15,2026-05-20 15:15,280,0.0030885626809662448,0.006238094867937916,0.0906517973067424,0.06881380240956288,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  41. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,3m,2026-02-20 15:15,2026-05-20 15:15,280,0.05226447194523187,0.23235825817447187,0.0015461218887153644,150.284566741069,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  42. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,30d,2026-04-20 15:15,2026-05-20 15:15,280,0.023904646740596336,0.3329813903174845,0.0015461218887153644,215.36554960369313,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  43. rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48,taker_taker,0.003,21d,2026-04-29 15:15,2026-05-20 15:15,280,0.0013418430953580085,0.023580605060232074,5.331551388598548e-05,442.28411847738886,60,2,3.0,50.0,0.012,48,0.0040-0.0070-0.0100,4,0.0
  44. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,full,2019-12-25 15:00,2026-05-20 15:15,314,0.5152230103172482,0.06702652050594704,0.14857853685041786,0.4511184584717395,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,3,0.0
  45. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3y,2023-05-20 15:15,2026-05-20 15:15,314,0.23060263422867977,0.07154859708051631,0.14857853685041786,0.48155405617265024,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,3,0.0
  46. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,1y,2025-05-20 15:15,2026-05-20 15:15,314,0.026438165481850184,0.026438165481850184,0.14857853685041786,0.17794067731644803,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,3,0.0
  47. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,6m,2025-11-20 15:15,2026-05-20 15:15,314,0.02525805121432012,0.05158875274594554,0.09203187840446703,0.5605530783498769,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,3,0.0
  48. rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48,maker_taker,0.0021,3m,2026-02-20 15:15,2026-05-20 15:15,314,0.05499575684550284,0.2455295838576783,0.0007648370324238647,321.02209156840144,60,2,3.0,50.0,0.012,48,0.0030-0.0060-0.0090,3,0.0
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