eth-twap-taker-entry-summary.md 6.1 KB
ETH TWAP taker entry search
Verdict: No ETH taker-entry TWAP candidate in this grid had positive taker_taker net Calmar across 3y/1y/6m/3m.
Data: cached continuous ETH-USDT-SWAP 15m candles from 2019-12-25 00:00 to 2026-04-29 17:00; actual span 6.35 years, requested horizon cap 10.0 years.
Execution: RSI2 long with trend guard. Time TWAP enters over the next 1/2/3 bar opens plus 0.05% entry slippage. Price trigger arms at the signal close for 1/2/3 bars and fills as taker at trigger price plus 0.05% entry slippage. Exits use next open for signal/time exit and stop price for stop exit. Costs are applied after gross trades; primary sort is taker_taker=0.003 roundtrip cost on margin, with maker_taker=0.0021 retained only for comparison.
Eligibility: taker_taker 3y/1y/6m/3m net Calmar all strictly positive. Ranking: taker_taker 3y net Calmar, then 3y net annualized return.
Eligible taker_taker top 15
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Total metrics for eligible names
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Horizon metrics for eligible names
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Best taker_taker 3y rows before all-horizon filter
| name | trades | entry_mode | entry_steps | trend_sma | rsi_threshold | exit_rsi | stop_loss_pct | entry_slippage | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| rsi2-long-guarded-taker-time_twap1-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 285 | time_twap | 1 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.1098378313487737 | 0.3195421084691844 | -0.3437350772797012 | -1.191213785235651 |
| rsi2-long-guarded-taker-price_trigger3-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 280 | price_trigger | 3 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.109798161441692 | 0.3194227968549882 | -0.3437392776055941 | -1.1905590872436984 |
| rsi2-long-guarded-taker-price_trigger1-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 279 | price_trigger | 1 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.1097981614416921 | 0.3194227968549882 | -0.3437392776055944 | -1.1905590872436955 |
| rsi2-long-guarded-taker-price_trigger2-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 279 | price_trigger | 2 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.1097981614416921 | 0.3194227968549882 | -0.3437392776055944 | -1.1905590872436955 |
| rsi2-long-guarded-taker-time_twap2-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 285 | time_twap | 2 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.09647617168622 | 0.2800792431970188 | -0.3444602698328304 | -1.2488679970759735 |
| rsi2-long-guarded-taker-time_twap3-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 285 | time_twap | 3 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.0869256232130324 | 0.2522276960994745 | -0.344631555365555 | -1.28200353963535 |
| rsi2-long-guarded-taker-time_twap1-slip0.0005-t50-l2.0-x50.0-sl0.015-mh48 | 285 | time_twap | 1 | 50 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.1031341693736918 | 0.2975423947390512 | -0.346620082372268 | -1.2588857110618183 |
| rsi2-long-guarded-taker-price_trigger3-slip0.0005-t50-l2.0-x50.0-sl0.015-mh48 | 280 | price_trigger | 3 | 50 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.1030939442256854 | 0.2974186223766235 | -0.3466290826104922 | -1.2580969286761936 |
| rsi2-long-guarded-taker-price_trigger2-slip0.0005-t50-l2.0-x50.0-sl0.015-mh48 | 279 | price_trigger | 2 | 50 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.1030939442256854 | 0.2974186223766232 | -0.3466290826104924 | -1.2580969286761947 |
| rsi2-long-guarded-taker-price_trigger1-slip0.0005-t50-l2.0-x50.0-sl0.015-mh48 | 279 | price_trigger | 1 | 50 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.1030939442256854 | 0.2974186223766232 | -0.3466290826104924 | -1.2580969286761947 |
Best maker_taker 3y rows for comparison
| name | trades | entry_mode | entry_steps | trend_sma | rsi_threshold | exit_rsi | stop_loss_pct | entry_slippage | net_annualized_return | net_max_drawdown | net_calmar | net_sharpe_daily |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| rsi2-long-guarded-taker-price_trigger3-slip0.0005-t60-l2.0-x50.0-sl0.015-mh48 | 369 | price_trigger | 3 | 60 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.085197170842481 | 0.324497367569479 | -0.2625511925739712 | -0.7696662322471871 |
| rsi2-long-guarded-taker-price_trigger1-slip0.0005-t60-l2.0-x50.0-sl0.015-mh48 | 368 | price_trigger | 1 | 60 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.0851971708424814 | 0.3244973675694796 | -0.2625511925739721 | -0.7696662322471906 |
| rsi2-long-guarded-taker-price_trigger2-slip0.0005-t60-l2.0-x50.0-sl0.015-mh48 | 368 | price_trigger | 2 | 60 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.0851971708424814 | 0.3244973675694796 | -0.2625511925739721 | -0.7696662322471906 |
| rsi2-long-guarded-taker-time_twap1-slip0.0005-t60-l2.0-x50.0-sl0.015-mh48 | 374 | time_twap | 1 | 60 | 2.0 | 50.0 | 0.015 | 0.0005 | -0.0851425311352601 | 0.3242815461632236 | -0.2625574354835615 | -0.7690477780610009 |
| rsi2-long-guarded-taker-time_twap2-slip0.0005-t50-l3.0-x55.0-sl0.015-mh48 | 540 | time_twap | 2 | 50 | 3.0 | 55.0 | 0.015 | 0.0005 | -0.0799079076525806 | 0.2966957486982189 | -0.2693260958513366 | -0.6834011657850324 |
| rsi2-long-guarded-taker-price_trigger1-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 279 | price_trigger | 1 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.0673839528774616 | 0.2498442384534725 | -0.2697038494646349 | -0.7018086529375474 |
| rsi2-long-guarded-taker-price_trigger2-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 279 | price_trigger | 2 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.0673839528774616 | 0.2498442384534725 | -0.2697038494646349 | -0.7018086529375474 |
| rsi2-long-guarded-taker-price_trigger3-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 280 | price_trigger | 3 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.067383952877462 | 0.2498442384534736 | -0.2697038494646349 | -0.7018086529375488 |
| rsi2-long-guarded-taker-time_twap1-slip0.0005-t50-l2.0-x55.0-sl0.015-mh48 | 285 | time_twap | 1 | 50 | 2.0 | 55.0 | 0.015 | 0.0005 | -0.0674254761266338 | 0.2498433591289666 | -0.2698709958179417 | -0.7024011917789866 |
| rsi2-long-guarded-taker-time_twap1-slip0.0005-t60-l3.0-x55.0-sl0.012-mh48 | 698 | time_twap | 1 | 60 | 3.0 | 55.0 | 0.012 | 0.0005 | -0.1372551001328055 | 0.5026620449785816 | -0.2730564233045563 | -0.7683711838230972 |