okx-codex-trader/reports/eth-exploration/eth-strategy-portfolio-10y-report.md

ETH strategy portfolio 10y exploration

Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_eth_strategy_portfolio_10y.py --years 10.0 --max-leg-count 5

Output files:

• reports/eth-exploration/eth-strategy-portfolio-10y-strategies.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-total.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-top10.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-horizon.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-correlation.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-worst-months.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-equity.csv
• reports/eth-exploration/eth-strategy-portfolio-10y-report.md

Scope: requested 10 years from cached continuous OKX candles; actual coverage is shown in the CSV files. Baseline: ETH price-TWAP deep maker_taker annualized -0.1418, max DD 0.7185.

Top 10 maker_taker portfolios

portfolio	mode	leg_count	legs	net_annualized_return	net_max_drawdown	net_calmar	net_sharpe_daily	worst_month_return	avg_pair_corr	lower_dd_than_deep
risk-2-c452-eth_btc_rsi_filter+btc_lead_eth_lag_5m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018	0.128113	0.12393	1.03375	1.21706	-0.0545621	0.0441789	True
risk-2-c448-eth_btc_rsi_filter+btc_lead_eth_lag_15m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018	0.123216	0.125167	0.984409	1.25719	-0.0559054	0.0310055	True
risk-2-c454-eth_btc_rsi_filter+btc_lead_eth_lag_5m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018	0.119838	0.124051	0.966034	1.19683	-0.0555175	0.0201348	True
risk-2-c404-eth_price_twap_deep+eth_btc_rsi_filter	risk	2	eth_price_twap_deep:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48;eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0	0.124955	0.135179	0.924365	1.31916	-0.0565372	0.142276	True
risk-2-c440-eth_btc_rsi_filter+btc_lead_eth_lag_15m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0;btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018	0.0900769	0.104595	0.8612	1.00402	-0.0450792	0.040687	True
risk-2-c418-eth_price_twap_mid+eth_btc_rsi_filter	risk	2	eth_price_twap_mid:15m:rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t160-l5.0-x55.0-sl0.008-mh48;eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0	0.12395	0.145499	0.851894	1.28996	-0.0640316	0.16324	True
risk-2-c444-eth_btc_rsi_filter+btc_lead_eth_lag_5m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0;btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018	0.0945152	0.111386	0.848535	0.980988	-0.0510965	0.0525889	True
risk-2-c450-eth_btc_rsi_filter+btc_lead_eth_lag_15m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0;btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018	0.13248	0.161269	0.821484	1.33441	-0.0566245	-0.00616591	True
risk-2-c402-eth_price_twap_deep+eth_btc_rsi_filter	risk	2	eth_price_twap_deep:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48;eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0	0.0924618	0.119446	0.774087	1.06865	-0.0593141	0.138084	True
risk-2-c446-eth_btc_rsi_filter+btc_lead_eth_lag_5m	risk	2	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0;btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018	0.0870741	0.11381	0.76508	0.950455	-0.0486992	0.0287001	True

Recent horizons for top portfolio

horizon	horizon_start	horizon_end	net_total_return	net_annualized_return	net_max_drawdown	net_calmar
3y	2023-04-29	2026-04-29	0.316889	0.0960071	0.103624	0.926498
1y	2025-04-29	2026-04-29	0.25054	0.25054	0.0544828	4.59851
6m	2025-10-29	2026-04-29	0.0375565	0.0767415	0.041696	1.8405
3m	2026-01-29	2026-04-29	0.0707447	0.31945	0.00786995	40.5911

Worst months

portfolio	month	start_equity	end_equity	return	cost_model
risk-2-c418-eth_price_twap_mid+eth_btc_rsi_filter	2024-04	15903.3	14885	-0.0640316	maker_taker
risk-2-c402-eth_price_twap_deep+eth_btc_rsi_filter	2025-12	17564.8	16523	-0.0593141	maker_taker
risk-2-c418-eth_price_twap_mid+eth_btc_rsi_filter	2022-01	13325.1	12540.4	-0.0588845	maker_taker
risk-2-c402-eth_price_twap_deep+eth_btc_rsi_filter	2022-01	12499.9	11787.1	-0.0570244	maker_taker
risk-2-c450-eth_btc_rsi_filter+btc_lead_eth_lag_15m	2024-04	16871.3	15916	-0.0566245	maker_taker
risk-2-c404-eth_price_twap_deep+eth_btc_rsi_filter	2022-01	13050.5	12312.7	-0.0565372	maker_taker
risk-2-c448-eth_btc_rsi_filter+btc_lead_eth_lag_15m	2024-04	17160.4	16201.1	-0.0559054	maker_taker
risk-2-c404-eth_price_twap_deep+eth_btc_rsi_filter	2024-04	16439.9	15523.1	-0.0557669	maker_taker
risk-2-c454-eth_btc_rsi_filter+btc_lead_eth_lag_5m	2024-04	16521.7	15604.5	-0.0555175	maker_taker
risk-2-c452-eth_btc_rsi_filter+btc_lead_eth_lag_5m	2024-04	16770.7	15855.7	-0.0545621	maker_taker

Strategy return correlation

strategy_key	eth_price_twap_deep:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48	eth_price_twap_mid:15m:rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t160-l5.0-x55.0-sl0.008-mh48	eth_rsi2_market:15m:rsi2-long-guarded-t240-l5.0-x45.0-sl0.006-mh48	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0	eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0	btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018	btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018	btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018	btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018
eth_price_twap_deep:15m:rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v2-t160-l5.0-x50.0-sl0.012-mh48	1	0.634448	0.316278	0.138084	0.142276	0.0104252	-0.0328135	0.00173662	-0.0329395
eth_price_twap_mid:15m:rsi2-long-guarded-price-twap-o0.0010-0.0030-0.0050-v2-t160-l5.0-x55.0-sl0.008-mh48	0.634448	1	0.440341	0.150989	0.16324	-0.0373552	-0.0708836	-0.0313355	-0.0278487
eth_rsi2_market:15m:rsi2-long-guarded-t240-l5.0-x45.0-sl0.006-mh48	0.316278	0.440341	1	0.148883	0.118592	0.028173	0.0170073	0.0183898	0.0270716
eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt120-bm240-br0.0	0.138084	0.150989	0.148883	1	0.828025	0.040687	-0.00726489	0.0525889	0.0287001
eth_btc_rsi_filter:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0	0.142276	0.16324	0.118592	0.828025	1	0.0310055	-0.00616591	0.0441789	0.0201348
btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb8-br0.018-gap0.006-mh8-sl0.006-tp0.018	0.0104252	-0.0373552	0.028173	0.040687	0.0310055	1	0.442735	0.557567	0.482859
btc_lead_eth_lag_15m:15m:btc-lead-eth-lag-lb16-br0.024-gap0.006-mh32-sl0.006-tp0.018	-0.0328135	-0.0708836	0.0170073	-0.00726489	-0.00616591	0.442735	1	0.405892	0.350243
btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh32-sl0.006-tp0.018	0.00173662	-0.0313355	0.0183898	0.0525889	0.0441789	0.557567	0.405892	1	0.849861
btc_lead_eth_lag_5m:5m:btc-lead-eth-lag-lb16-br0.012-gap0.006-mh8-sl0.006-tp0.018	-0.0329395	-0.0278487	0.0270716	0.0287001	0.0201348	0.482859	0.350243	0.849861	1

Live small allocation judgment

Yes: the best maker_taker portfolio is more suitable than ETH price-TWAP deep for a small live allocation under this test.