eth-twap-robustness-10y-summary.md 16 KB
ETH TWAP robustness 10y
Scope: targeted robustness review only. Base candidates are the ETH TWAP refine top candidates requested by parameter family; no broad grid search.
Robustness dimensions: fill_buffer 0/0.0002/0.0005, three cost models, continuous 10y backtest sliced into 3y/1y/6m/3m, plus rolling 365D and 30D worst return/drawdown statistics.
Decision: 建议纳入主报告: top 候选 rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 fill_buffer=0.0000; maker_taker 10y annualized=0.3113, 10y maxDD=0.1021, 3y Calmar=4.7017, min recent Calmar=4.5090, worst rolling 1y return=0.0602.
Top maker_taker robustness ranking
| candidate_id | name | trades | fill_buffer | net_annualized_return | net_max_drawdown | net_calmar | net_calmar_3y | min_recent_calmar | max_recent_drawdown | worst_rolling_total_return_rolling_1y | worst_rolling_max_drawdown_rolling_1y | worst_rolling_total_return_rolling_30d | worst_rolling_max_drawdown_rolling_30d | rolling_1y_positive | all_cost_positive_10y |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 339 | 0.0 | 0.31131736614097116 | 0.1020774541140694 | 3.0498151510820457 | 4.701687997217014 | 4.508990103945677 | 0.07891527996826082 | 0.06016105768910718 | 0.1020774541140694 | -0.09737114727596641 | 0.09737114727596635 | True | True |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 328 | 0.0002 | 0.28152511290806137 | 0.1020774541140693 | 2.757955861570208 | 3.7491270384134467 | 3.4454208098175703 | 0.08685221955983152 | 0.045911127837112264 | 0.1020774541140693 | -0.0973711472759663 | 0.09737114727596625 | True | True |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 304 | 0.0005 | 0.21984101528168587 | 0.1179401650827836 | 1.86400464275573 | 2.1669594789453255 | 1.3826772155610927 | 0.1179401650827836 | 0.02249763458834475 | 0.1179401650827836 | -0.0973711472759663 | 0.09737114727596632 | True | True |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 1056 | 0.0 | 0.5850338360689686 | 0.15013039913552262 | 3.8968379451310122 | 5.055349875425168 | 8.08015929686067 | 0.08984412911666517 | -0.04659433151829828 | 0.15013039913552262 | -0.11510833848457158 | 0.15013039913552262 | False | True |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 1002 | 0.0 | 0.574306466243893 | 0.14267774449422888 | 4.025200063820205 | 5.138373409474727 | 7.019262220208782 | 0.10648978548928498 | -0.050824810469965453 | 0.14267774449422888 | -0.09957642300412584 | 0.13484695125205495 | False | True |
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 935 | 0.0 | 0.611288038123698 | 0.1675770566526501 | 3.6478026905005376 | 4.915264197476649 | 6.717931775074919 | 0.1083615349770773 | -0.04240853610563122 | 0.1675770566526501 | -0.12083081234587156 | 0.13789347726936596 | False | True |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 1001 | 0.0 | 0.6330743136850177 | 0.16738941503555502 | 3.782045080631574 | 4.649660984047616 | 6.507014934566468 | 0.12069246665437879 | -0.06707757202350084 | 0.16059352258100135 | -0.12861502965351568 | 0.13789347726936635 | False | True |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 960 | 0.0002 | 0.4928208761491193 | 0.16953857843012096 | 2.906836194525756 | 3.8623049429839464 | 5.164588071244016 | 0.12241950493081558 | -0.09260379221909809 | 0.166748076396469 | -0.11834203626442696 | 0.1378934772693658 | False | True |
Top maker_taker 10y totals
| candidate_id | name | trades | fill_buffer | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|---|
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 935 | 0.0 | 0.611288038123698 | 0.1675770566526501 | 3.6478026905005376 | 2.355922032433321 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 960 | 0.0002 | 0.4928208761491193 | 0.16953857843012096 | 2.906836194525756 | 1.986184363696261 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 1002 | 0.0 | 0.574306466243893 | 0.14267774449422888 | 4.025200063820205 | 2.3326980975442013 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 1001 | 0.0 | 0.6330743136850177 | 0.16738941503555502 | 3.782045080631574 | 2.3423007003690612 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 1056 | 0.0 | 0.5850338360689686 | 0.15013039913552262 | 3.8968379451310122 | 2.316361766984651 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 328 | 0.0002 | 0.28152511290806137 | 0.1020774541140693 | 2.757955861570208 | 1.8495447984112667 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 304 | 0.0005 | 0.21984101528168587 | 0.1179401650827836 | 1.86400464275573 | 1.5206405006314583 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 339 | 0.0 | 0.31131736614097116 | 0.1020774541140694 | 3.0498151510820457 | 2.0029245604047996 |
Top recent horizons
| candidate_id | name | fill_buffer | horizon | net_total_return | net_annualized_return | net_max_drawdown | net_calmar |
|---|---|---|---|---|---|---|---|
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 1y | 0.7279653990183999 | 0.7279653990183999 | 0.1083615349770773 | 6.717931775074919 |
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 3m | 0.23950284164836577 | 1.388749038073819 | 0.051518790000000016 | 26.956165664485106 |
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 3y | 3.0546229245183323 | 0.5939153658756817 | 0.12083081234587152 | 4.915264197476649 |
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 6m | 0.31376725696640806 | 0.7285743634237833 | 0.06596160929224432 | 11.04543038354051 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | 1y | 0.6322463148532882 | 0.6322463148532882 | 0.12241950493081558 | 5.164588071244016 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | 3m | 0.3087882921006744 | 1.9783130867302008 | 0.0597705765203607 | 33.0984441158317 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | 3y | 2.1982395891607545 | 0.4728214590119366 | 0.12241950493081558 | 3.8623049429839464 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | 6m | 0.3095219427926208 | 0.7173904233751531 | 0.09934676956917275 | 7.22107448975129 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 1y | 0.7474797281230754 | 0.7474797281230754 | 0.10648978548928498 | 7.019262220208782 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 3m | 0.2996870581617912 | 1.8952065663249233 | 0.059770576520360635 | 31.708018838990586 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 3y | 2.9350252310277587 | 0.5781013645026336 | 0.11250668615026373 | 5.138373409474727 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 6m | 0.3175608020654428 | 0.7385989477351764 | 0.083834763517879 | 8.810175119986583 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 1y | 0.7853476830097081 | 0.7853476830097081 | 0.12069246665437879 | 6.507014934566468 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 3m | 0.34775783457523124 | 2.354656981148552 | 0.05977057652036056 | 39.394918339903406 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 3y | 3.1180931931881197 | 0.6021817191052796 | 0.1295108871746321 | 4.649660984047616 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | 6m | 0.3942691926635846 | 0.9475399549046959 | 0.08383476351787894 | 11.302470659473139 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 1y | 0.7828452042910043 | 0.7828452042910043 | 0.08984412911666517 | 8.713370723138263 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 3m | 0.29285607534631275 | 1.8339876584358983 | 0.0680223630606393 | 26.96153993946034 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 3y | 2.9769971173142586 | 0.5836872205821793 | 0.11545931240477984 | 5.055349875425168 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | 6m | 0.2981561498741816 | 0.6876273136977511 | 0.08510071255215357 | 8.08015929686067 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | 1y | 0.29924244465028815 | 0.29924244465028815 | 0.08685221955983152 | 3.4454208098175703 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | 3m | 0.17023003159537242 | 0.8918112487531358 | 0.006892000000000008 | 129.39803377149371 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | 3y | 1.3312698262657925 | 0.3256200046979856 | 0.08685221955983152 | 3.7491270384134467 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | 6m | 0.15286983654603437 | 0.3301481205602912 | 0.07891527996826092 | 4.18357662410973 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | 1y | 0.16307317905947882 | 0.16307317905947882 | 0.1179401650827836 | 1.3826772155610927 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | 3m | 0.13251537321033058 | 0.6564520716378255 | 0.006892000000000015 | 95.24841434094951 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | 3y | 0.9805928501155308 | 0.2555715586745144 | 0.1179401650827836 | 2.1669594789453255 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | 6m | 0.09281820079111314 | 0.19483418846756195 | 0.08870645262971556 | 2.1963925136410527 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | 1y | 0.3558282164269906 | 0.3558282164269906 | 0.07891527996826082 | 4.508990103945677 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | 3m | 0.19301089962043938 | 1.04567043636734 | 0.006892000000000078 | 151.7223500242786 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | 3y | 1.5794144229269746 | 0.3710350246237921 | 0.07891527996826082 | 4.701687997217014 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | 6m | 0.17531275365407595 | 0.38258664068100945 | 0.07891527996826082 | 4.848067963959364 |
Top rolling worst windows
| candidate_id | name | fill_buffer | window | worst_return_start | worst_return_end | worst_rolling_total_return | worst_return_window_max_drawdown | worst_drawdown_start | worst_drawdown_end | worst_rolling_max_drawdown |
|---|---|---|---|---|---|---|---|---|---|---|
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | rolling_1y | 2022-11-14 | 2023-11-14 | -0.04240853610563122 | 0.13916095660593594 | 2020-08-09 | 2021-08-09 | 0.1675770566526501 |
| x55-v2 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v2-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | rolling_30d | 2024-03-05 | 2024-04-04 | -0.12083081234587156 | 0.12083081234587152 | 2020-12-28 | 2021-01-27 | 0.13789347726936596 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | rolling_1y | 2022-11-17 | 2023-11-17 | -0.09260379221909809 | 0.165896665691217 | 2020-08-09 | 2021-08-09 | 0.166748076396469 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-fb0.0002-t60-l5.0-x55.0-sl0.008-mh48 | 0.0002 | rolling_30d | 2021-01-04 | 2021-02-03 | -0.11834203626442696 | 0.1378934772693658 | 2020-12-28 | 2021-01-27 | 0.1378934772693658 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | rolling_1y | 2022-11-17 | 2023-11-17 | -0.050824810469965453 | 0.13877955133872236 | 2020-08-09 | 2021-08-09 | 0.14267774449422888 |
| x45-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | rolling_30d | 2021-01-04 | 2021-02-03 | -0.09957642300412584 | 0.1261494422303317 | 2022-01-25 | 2022-02-24 | 0.13484695125205495 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | rolling_1y | 2022-11-17 | 2023-11-17 | -0.06707757202350084 | 0.16059352258100135 | 2022-05-10 | 2023-05-10 | 0.16059352258100135 |
| x55-v3 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v3-t60-l5.0-x55.0-sl0.008-mh48 | 0.0 | rolling_30d | 2024-03-05 | 2024-04-04 | -0.12861502965351568 | 0.12861502965351562 | 2020-12-28 | 2021-01-27 | 0.13789347726936635 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | rolling_1y | 2023-01-10 | 2024-01-10 | -0.04659433151829828 | 0.13210318661641454 | 2021-02-24 | 2022-02-24 | 0.15013039913552262 |
| x45-v4 | rsi2-long-guarded-price-twap-o0.0015-0.0040-0.0070-v4-t60-l5.0-x45.0-sl0.008-mh48 | 0.0 | rolling_30d | 2022-02-09 | 2022-03-11 | -0.11510833848457158 | 0.15013039913552262 | 2022-01-25 | 2022-02-24 | 0.15013039913552262 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | rolling_1y | 2020-03-27 | 2021-03-27 | 0.045911127837112264 | 0.09048796510800575 | 2021-05-01 | 2022-05-01 | 0.1020774541140693 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0002-t60-l3.0-x50.0-sl0.012-mh48 | 0.0002 | rolling_30d | 2022-03-24 | 2022-04-23 | -0.0973711472759663 | 0.09737114727596625 | 2022-03-22 | 2022-04-21 | 0.09737114727596625 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | rolling_1y | 2020-03-27 | 2021-03-27 | 0.02249763458834475 | 0.09048796510800568 | 2024-12-29 | 2025-12-29 | 0.1179401650827836 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-fb0.0005-t60-l3.0-x50.0-sl0.012-mh48 | 0.0005 | rolling_30d | 2022-03-24 | 2022-04-23 | -0.0973711472759663 | 0.09737114727596632 | 2022-03-22 | 2022-04-21 | 0.09737114727596632 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | rolling_1y | 2020-03-27 | 2021-03-27 | 0.06016105768910718 | 0.08224237814047757 | 2021-05-01 | 2022-05-01 | 0.1020774541140694 |
| r3x50 | rsi2-long-guarded-price-twap-o0.0030-0.0060-0.0090-v4-t60-l3.0-x50.0-sl0.012-mh48 | 0.0 | rolling_30d | 2022-03-24 | 2022-04-23 | -0.09737114727596641 | 0.09737114727596635 | 2022-03-22 | 2022-04-21 | 0.09737114727596635 |