eth-twap-evaluation-diff.md 2.4 KB
ETH RSI2 Price TWAP deep evaluation diff
Parameter under test: trend_sma=50, rsi_threshold=3.0, exit_rsi=55.0, stop_loss_pct=0.008, max_hold_bars=48, entry_offsets=(0.002, 0.005, 0.008), entry_valid_bars=3, fill_buffer=0.0.
| evaluation | window | first_candle | last_candle | bars | trades | gross_return | maker_taker_net_return |
|---|---|---|---|---|---|---|---|
| main_report_10y_eval | total | 2019-12-25 00:00 | 2026-04-29 16:45 | 222500 | 321 | 582.29% | 255.57% |
| main_report_10y_eval | 3y | 2023-04-29 16:45 | 2026-04-29 16:45 | 321 | 90.59% | ||
| main_report_10y_eval | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | 321 | 45.84% | ||
| main_report_10y_eval | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | 321 | 24.50% | ||
| main_report_10y_eval | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 321 | 24.72% | ||
| search_script_3y_eval | total | 2023-04-30 17:00 | 2026-04-29 16:45 | 105120 | 170 | 28.36% | 5.65% |
| search_script_3y_eval | 3y | 2023-05-01 05:30 | 2026-04-29 16:45 | 170 | 5.65% | ||
| search_script_3y_eval | 1y | 2025-04-29 16:45 | 2026-04-29 16:45 | 170 | 10.70% | ||
| search_script_3y_eval | 6m | 2025-10-29 16:45 | 2026-04-29 16:45 | 170 | 6.40% | ||
| search_script_3y_eval | 3m | 2026-01-29 16:45 | 2026-04-29 16:45 | 170 | 12.47% |
Readout
main_report_10y_evalmatchesscripts/generate_ultrashort_report.py: load up to 10 years, run the sharedexplore_ultrashortcandidate gross, then apply maker_taker cost withcost_weightper closed trade.search_script_3y_evalmatchesscripts/search_eth_price_twap_variants.py: load 3 years, run its local price-TWAP segment, and deduct maker_taker cost inside each close.- The prior search grid did not include the main-report ETH deep parameter. It searched
trend_sma in {80,160},rsi_threshold in {5,8,10},entry_valid_bars in {2,4}, and offset sets(0.001,0.003,0.005)/(0.003,0.006,0.009), nottrend_sma=50,rsi_threshold=3, deep offsets(0.002,0.005,0.008),entry_valid_bars=3. - Therefore the sign mismatch is primarily parameter universe plus total-sample scope: the main report's cost table is 10-year total, while the search table was a different 3-year grid sorted by maker_taker
net_calmarthennet_annualized_return.
Adopt the main-report evaluation口径 for reporting selected strategies: shared explore_ultrashort runner, 10-year cached history for total cost sensitivity, and explicit recent horizons for 3y/1y/6m/3m.