ETH Robust TWAP Accounting Audit

Candidate: rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48 Candles: 224510 from 2019-12-25 00:00 to 2026-05-20 15:15

Accounting

Legacy runner mark-to-market return: 132.33%
Corrected gross mark-to-market return: 132.33%
Corrected open position at end: False
Corrected trades: 341
Accounting status for corrected path: PASS

check	legacy_mtm_total_return	legacy_closed_trade_total_return	absolute_gap	pass	reason	corrected_mtm_total_return	corrected_closed_trade_total_return	max_cost_weight	min_cost_weight	open_position
legacy_mtm_vs_legacy_closed_trade	1.3232803910603863	1.323280750998948	3.`5993856162`-07	False	regular exit replaces account equity with margin equity and drops unused cash when partial TWAP fills occur
corrected_mtm_vs_corrected_closed_trade_gross			4.`8849813083`-15	True	all closed-trade returns are measured against account equity and weighted by margin_used/account_equity	1.3232803910603863	1.3232803910603814
position_sizing				True	TWAP sizing uses account_equity/number_of_offsets per filled slice; cost is charged only on filled margin			1.0	0.33333333	False

Base Candidate Horizons

cost_model	horizon	total_return	annualized_return	max_drawdown	calmar
maker_taker	1y	0.080771968179987	0.080771968179987	0.12723894891738385	0.6348053710537342
maker_taker	21d	0.0016015574748515782	0.028204756860404023	0.0007272974186812134	38.780224067819276
maker_taker	30d	0.037900411395961564	0.5723919912799644	0.002195400629807118	260.7232518331988
maker_taker	3m	0.07533020577650662	0.3469671543293662	0.002195400629807118	158.04275065724556
maker_taker	3y	0.3191599637032767	0.096636173089371	0.12723894891738385	0.7594857856937878
maker_taker	6m	0.057880079457953926	0.1201544336797622	0.08454287192004607	1.4212248880472704
maker_taker	full	0.48238568479308275	0.06338301602447949	0.12723894891738385	0.4981416190857882
taker_taker	1y	0.04409247576007602	0.04409247576007602	0.13958998441800632	0.3158713423739615
taker_taker	21d	-0.00019907545237840552	-0.003454484906283861	0.0016272974186812455	-2.1228356086764766
taker_taker	30d	0.03482545244229751	0.5166419863021743	0.002693979306176955	191.77652371626587
taker_taker	3m	0.06927185681342074	0.3161156167066721	0.002693979306176955	117.3415163144939
taker_taker	3y	0.2063205585096135	0.064460296684689	0.13958998441800632	0.4617831068141733
taker_taker	6m	0.03963181655191206	0.08153080988042882	0.08791132650226653	0.9274209948171672
taker_taker	full	0.2224569424788001	0.03185464870630472	0.14650931754572022	0.21742404674272028

Small Retest Top 5 Per Cost

cost_model	name	trades	total_return_full	annualized_return_full	max_drawdown_full	total_return_3y	total_return_1y	total_return_6m	total_return_3m	total_return_30d	total_return_21d	min_recent_return
maker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t50-r2-l3.0-x50.0-sl0.012-mh48	272	0.37098463407455484	0.05049013269414693	0.11560342698578269	0.12150067838807987	0.04183824917658763	0.071292287733554	0.07685541846001476	0.041604968475719595	0.0035554457517399385	0.0035554457517399385
maker_taker	rsi2-long-guarded-price-twap-o0.0040-0.0070-0.0100-v4-t60-r2-l3.0-x50.0-sl0.012-mh48	280	0.7228184472018497	0.0886309658890092	0.13998063564653757	0.2891492199006671	0.015374585304855026	0.016150216092173375	0.05666134671847778	0.02634888472572361	0.002843172254200388	0.002843172254200388
maker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh36	341	0.48238568479308275	0.06338301602447949	0.12723894891738385	0.3191599637032767	0.080771968179987	0.057880079457953926	0.07533020577650662	0.037900411395961564	0.0016015574748515782	0.0016015574748515782
maker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48	341	0.48238568479308275	0.06338301602447949	0.12723894891738385	0.3191599637032767	0.080771968179987	0.057880079457953926	0.07533020577650662	0.037900411395961564	0.0016015574748515782	0.0016015574748515782
maker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48	314	0.5152230103172482	0.06702652050594704	0.14857853685041786	0.23060263422867977	0.026438165481850184	0.02525805121432012	0.05499575684550284	0.024263950033786452	0.0016015574748515782	0.0016015574748515782
taker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t50-r2-l3.0-x50.0-sl0.012-mh48	272	0.17348709316533584	0.025288695371210812	0.1442694569147211	0.04348781823606118	0.012828243786384919	0.055993224111632545	0.07175398004116373	0.03914427279830757	0.0023539167467445665	0.0023539167467445665
taker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh36	341	0.2224569424788001	0.03185464870630472	0.14650931754572022	0.2063205585096135	0.04409247576007602	0.03963181655191206	0.06927185681342074	0.03482545244229751	-0.00019907545237840552	-0.00019907545237840552
taker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x50.0-sl0.012-mh48	341	0.2224569424788001	0.03185464870630472	0.14650931754572022	0.2063205585096135	0.04409247576007602	0.03963181655191206	0.06927185681342074	0.03482545244229751	-0.00019907545237840552	-0.00019907545237840552
taker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-r2-l3.0-x45.0-sl0.012-mh48	341	0.22033923889783313	0.03157538518171932	0.16051120034608776	0.16264604930548487	0.023933526654796644	0.020156618796274506	0.06770043544357418	0.03429923876550345	-0.00019907545237907165	-0.00019907545237907165
taker_taker	rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v3-t60-r2-l3.0-x50.0-sl0.012-mh48	314	0.27618299799642076	0.03880652529963746	0.159130572943319	0.136152884631638	-0.0045683763708872505	0.009659583715144304	0.05028749428819146	0.02182269514827162	-0.0001990754523782945	-0.0045683763708872505

Files

reports/eth-exploration/eth-robust-twap-accounting-audit-accounting.csv
reports/eth-exploration/eth-robust-twap-accounting-audit-horizons.csv
reports/eth-exploration/eth-robust-twap-accounting-audit-ranked.csv
reports/eth-exploration/eth-robust-twap-accounting-audit-summary.md