eth-twap-conservative-summary.md 15 KB
ETH TWAP Conservative Variant Search
Scope: continuous 10y ETH 15m backtest, sliced into 3y/1y/6m/3m from one equity curve.
Fixed conservative fill scenario: fill_buffer=0.001, price_slippage=0.0005 on entries/exits, deterministic maker_miss=25% by skipping every fourth fill attempt.
Grid: trend 50/60/80/120; rsi 2/3/4; exit 45/50/55; stop 0.010/0.012/0.015/0.018; offsets 0.004/0.008/0.012, 0.005/0.009/0.013, 0.006/0.010/0.015, and 2-slice 0.005/0.010; valid 2/3/4.
Decision: No maker_taker candidate met both requirements: 3y/1y/6m/3m all positive and worst rolling365 >= -5%. Counts: all-horizon-positive=0, rolling365-pass=43. Nearest miss rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 has min horizon total return=-0.0371, worst rolling365=-0.0356, 10y maxDD=0.0663.
Top maker_taker candidates
| qualified | name | trades | fill_attempts | missed_fills | actual_miss_ratio | trend_sma | rsi_threshold | exit_rsi | stop_loss_pct | entry_offsets | entry_valid_bars | net_annualized_return | net_max_drawdown | net_calmar | min_horizon_total_return | max_horizon_drawdown | worst_365_start | worst_365_end | worst_365_total_return | worst_365_max_drawdown |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| False | rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 59 | 101 | 25 | 0.2475247524752475 | 50 | 2.0 | 55.0 | 0.01 | 0.0040-0.0080-0.0120 | 2 | -0.007233930330402 | 0.0663208029770467 | -0.1090748303048398 | -0.0370903494987372 | 0.0614978354464074 | 2021-05-01 | 2022-05-01 | -0.0355991314254146 | 0.0355991314254146 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 59 | 107 | 26 | 0.2429906542056074 | 60 | 2.0 | 45.0 | 0.01 | 0.0060-0.0100-0.0150 | 3 | 0.0128472436155835 | 0.0721389722653883 | 0.1780901946914419 | -0.039728323627358 | 0.0721389722653883 | 2024-04-11 | 2025-04-11 | -0.0494442261097698 | 0.0494442261097698 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 59 | 107 | 26 | 0.2429906542056074 | 60 | 2.0 | 50.0 | 0.01 | 0.0060-0.0100-0.0150 | 3 | 0.0130274460439989 | 0.0722062051981918 | 0.180420034652717 | -0.0397283236273581 | 0.0722062051981918 | 2024-04-11 | 2025-04-11 | -0.0495131035068816 | 0.0495131035068816 |
| False | rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 59 | 101 | 25 | 0.2475247524752475 | 50 | 2.0 | 50.0 | 0.01 | 0.0040-0.0080-0.0120 | 2 | -0.0061361819943607 | 0.0597456754210228 | -0.102705040174365 | -0.0414438331033227 | 0.0594073600027812 | 2021-05-01 | 2022-05-01 | -0.0355991314254146 | 0.0355991314254146 |
| False | rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 59 | 101 | 25 | 0.2475247524752475 | 50 | 2.0 | 45.0 | 0.01 | 0.0040-0.0080-0.0120 | 2 | -0.0053596704114553 | 0.0602065918350917 | -0.0890213222189308 | -0.0418963023820626 | 0.0602065918350917 | 2024-11-12 | 2025-11-12 | -0.0332935652464153 | 0.03554829566367 |
| False | rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 59 | 101 | 25 | 0.2475247524752475 | 50 | 2.0 | 55.0 | 0.012 | 0.0040-0.0080-0.0120 | 2 | -0.0020663557747977 | 0.0789559552316287 | -0.0261709932928528 | -0.042966919638019 | 0.0730136956793155 | 2024-11-12 | 2025-11-12 | -0.0419962395000869 | 0.0419962395000868 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 65 | 119 | 29 | 0.2436974789915966 | 80 | 2.0 | 55.0 | 0.015 | 0.0060-0.0100-0.0150 | 2 | 0.0103221246632652 | 0.0563069502645207 | 0.1833188374574289 | -0.043211864614687 | 0.0563069502645207 | 2025-04-27 | 2026-04-27 | -0.0401577725018134 | 0.0515581452351363 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 65 | 119 | 29 | 0.2436974789915966 | 80 | 2.0 | 50.0 | 0.015 | 0.0060-0.0100-0.0150 | 2 | 0.0113603011344225 | 0.0539038456150052 | 0.2107512183000942 | -0.0432118646146875 | 0.0539038456150052 | 2022-06-20 | 2023-06-20 | -0.038276850346015 | 0.0392270547955476 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 44 | 80 | 20 | 0.25 | 60 | 2.0 | 45.0 | 0.01 | 0.0060-0.0100-0.0150 | 2 | 0.0005513677197115 | 0.0607321581848535 | 0.0090786781861647 | -0.0433336342634838 | 0.0607321581848535 | 2020-07-24 | 2021-07-24 | -0.0380200513379179 | 0.0552230318567647 |
| False | rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 44 | 80 | 20 | 0.25 | 60 | 2.0 | 50.0 | 0.01 | 0.0060-0.0100-0.0150 | 2 | -0.0006113615894547 | 0.0621426640706593 | -0.0098380331547999 | -0.0433336342634838 | 0.0621426640706593 | 2020-07-24 | 2021-07-24 | -0.0416157816599899 | 0.0552230318567647 |
Top maker_taker horizons
| name | horizon | net_total_return | net_annualized_return | net_max_drawdown | net_calmar |
|---|---|---|---|---|---|
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0418963023820626 | -0.0141523053342894 | 0.0602065918350917 | -0.2350623893983766 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0280592513354229 | -0.0280592513354229 | 0.0387232487968759 | -0.7246099489897844 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0361673467119471 | -0.0712146257019721 | 0.0387232487968759 | -1.839066398471131 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0051988422229148 | -0.0209173242703425 | 0.006590000007 | -3.1741007963768806 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0414438331033227 | -0.0139972808368853 | 0.0594073600027812 | -0.2356152644424872 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0289900187425571 | -0.0289900187425571 | 0.0392807893058448 | -0.7380202703371723 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0370903494987371 | -0.0729975343032038 | 0.0392807893058448 | -1.8583520238057456 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0061515016268038 | -0.0247142810353866 | 0.0071661778000421 | -3.448739582660292 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0343366002440036 | -0.0115685877623721 | 0.0614978354464074 | -0.1881137389372612 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0311480969955832 | -0.0311480969955832 | 0.0392807893058449 | -0.7929600587467952 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0370903494987372 | -0.0729975343032041 | 0.0392807893058449 | -1.858352023805747 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.006151501626804 | -0.024714281035387 | 0.0071661778000421 | -3.448739582660334 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.040011253061707 | -0.0135067735912993 | 0.0730136956793155 | -0.1849895894959579 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0370609322856007 | -0.0370609322856007 | 0.0451439913444376 | -0.8209493928623823 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.042966919638019 | -0.0843086697017936 | 0.0451439913444376 | -1.8675501919743671 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0061515016268037 | -0.0247142810353862 | 0.0071661778000421 | -3.448739582660212 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0274587777235285 | -0.0092296140121072 | 0.0607321581848535 | -0.1519724358224609 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0323968532590479 | -0.0323968532590479 | 0.0474277896303208 | -0.683077442815013 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0433336342634838 | -0.0850122087207114 | 0.0474277896303208 | -1.792455633782324 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0032949999929999 | -0.0132959372770029 | 0.0032949999929999 | -4.035185828603778 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0289192505057743 | -0.0097253590746749 | 0.0621426640706593 | -0.1565005173195786 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.032396853259048 | -0.032396853259048 | 0.0474277896303209 | -0.6830774428150145 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0433336342634838 | -0.0850122087207114 | 0.0474277896303209 | -1.7924556337823214 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.003294999993 | -0.0132959372770034 | 0.003294999993 | -4.03518582860378 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0051729337522351 | -0.0017257184376092 | 0.0539038456150052 | -0.0320147554950862 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0380202209616027 | -0.0380202209616027 | 0.0515581452351365 | -0.7374241410005608 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0432118646146875 | -0.0847786247082028 | 0.0515581452351365 | -1.6443303831346272 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0232491052696359 | -0.0909920003572407 | 0.0320947909682022 | -2.835101822205059 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0180795930537349 | -0.0060577040023268 | 0.0563069502645207 | -0.1075835926802778 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0401577725018134 | -0.0401577725018134 | 0.0515581452351363 | -0.7788831874899628 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.043211864614687 | -0.0847786247082019 | 0.0515581452351363 | -1.644330383134618 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 3m | -0.0232491052696359 | -0.0909920003572407 | 0.0320947909682022 | -2.835101822205066 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.0196528697562879 | -0.0065883495284476 | 0.0721389722653883 | -0.0913285748542428 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0271113243629521 | -0.0271113243629521 | 0.0442786879136866 | -0.6122883409689293 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.039728323627358 | -0.0780836798844225 | 0.0442786879136866 | -1.763459658891264 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | 0.000461200983961 | 0.0018717445551608 | 0.0025680000069998 | 0.7288724883406478 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3y | -0.019723905839022 | -0.0066123224617203 | 0.0722062051981918 | -0.0915755431762528 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 1y | -0.0271113243629523 | -0.0271113243629523 | 0.0442786879136866 | -0.6122883409689343 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 6m | -0.0397283236273581 | -0.0780836798844227 | 0.0442786879136866 | -1.7634596588912692 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 3m | 0.0004612009839608 | 0.0018717445551597 | 0.002568000007 | 0.7288724883401803 |
Top maker_taker rolling365
| name | worst_365_start | worst_365_end | worst_365_total_return | worst_365_max_drawdown |
|---|---|---|---|---|
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2024-11-12 | 2025-11-12 | -0.0332935652464153 | 0.03554829566367 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2021-05-01 | 2022-05-01 | -0.0355991314254146 | 0.0355991314254146 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2021-05-01 | 2022-05-01 | -0.0355991314254146 | 0.0355991314254146 |
| rsi2-long-guarded-price-twap-o0.0040-0.0080-0.0120-v2-t50-l2.0-x55.0-sl0.012-mh48-fb0.0010-ps0.0005-mm25 | 2024-11-12 | 2025-11-12 | -0.0419962395000869 | 0.0419962395000868 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2020-07-24 | 2021-07-24 | -0.0380200513379179 | 0.0552230318567647 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2020-07-24 | 2021-07-24 | -0.0416157816599899 | 0.0552230318567647 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x50.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 2022-06-20 | 2023-06-20 | -0.038276850346015 | 0.0392270547955476 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v2-t80-l2.0-x55.0-sl0.015-mh48-fb0.0010-ps0.0005-mm25 | 2025-04-27 | 2026-04-27 | -0.0401577725018134 | 0.0515581452351363 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x45.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2024-04-11 | 2025-04-11 | -0.0494442261097698 | 0.0494442261097698 |
| rsi2-long-guarded-price-twap-o0.0060-0.0100-0.0150-v3-t60-l2.0-x50.0-sl0.01-mh48-fb0.0010-ps0.0005-mm25 | 2024-04-11 | 2025-04-11 | -0.0495131035068816 | 0.0495131035068816 |