layered-bb-squeeze-position-report.md 6.4 KB
Layered BB squeeze position exploration
Scope: offline local-candle research only. No live executor, deployment, credentials, or order path was changed.
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/evaluate_layered_bb_squeeze_position.py --bar 15m --output-dir reports/eth-exploration
Layer model: long-term regime cap + medium-term live BB squeeze signal + optional dynamic exposure + optional in-position T overlay.
Output files:
reports/eth-exploration/layered-bb-squeeze-position-summary.csvreports/eth-exploration/layered-bb-squeeze-position-horizons.csvreports/eth-exploration/layered-bb-squeeze-position-events.csvreports/eth-exploration/layered-bb-squeeze-position-equity.csvreports/eth-exploration/layered-bb-squeeze-position-report.md
Summary Ranking
| variant | full_total_return | full_max_drawdown | full_calmar | recent_min_return | recent_min_calmar | trades | t_reduce_events | t_readd_events |
|---|---|---|---|---|---|---|---|---|
| layered_vol_t_p024_f20_never | 3.81027 | 0.88 | 0.317428 | -0.0406241 | -6.27533 | 2277 | 655 | 0 |
| layered_vol_dynamic_t_p018_f20_middle_trend | 2.22557 | 0.892772 | 0.22583 | -0.0415376 | -6.35434 | 2373 | 751 | 244 |
| layered_vol_dynamic_t_p012_f30 | 1.08541 | 0.882006 | 0.138515 | -0.043511 | -6.39311 | 2502 | 880 | 434 |
| regime_vol_scaled | 5.41619 | 0.892953 | 0.379035 | -0.0454651 | -6.47692 | 1622 | 0 | 0 |
| layered_vol_ratio_t_p024_f20_never | 3.00735 | 0.881518 | 0.275905 | -0.0472031 | -7.44789 | 2277 | 655 | 0 |
| t_overlay_p018_f30 | 0.896299 | 0.948006 | 0.111355 | -0.0527724 | -6.05214 | 2390 | 768 | 387 |
| vol_dynamic_t_p024_f20_never | 2.5655 | 0.939801 | 0.234778 | -0.054043 | -6.03298 | 2277 | 655 | 0 |
| t_overlay_p024_f20_never | 2.56461 | 0.944117 | 0.233654 | -0.054043 | -6.03298 | 2277 | 655 | 0 |
| dynamic_t_p018_f20_middle_trend | 1.35266 | 0.949103 | 0.151294 | -0.0549436 | -6.07842 | 2375 | 753 | 252 |
| t_overlay_p018_f20_middle_trend | 1.68884 | 0.94747 | 0.177105 | -0.0549436 | -6.07842 | 2375 | 753 | 252 |
| t_overlay_p012_f30_never | 1.26908 | 0.925093 | 0.148228 | -0.0568126 | -6.40689 | 2461 | 839 | 0 |
| ratio_dynamic_t_p024_f20_never | 2.54817 | 0.936255 | 0.234672 | -0.0588305 | -6.73412 | 2277 | 655 | 0 |
| t_overlay_p012_f20_never | 2.00168 | 0.931888 | 0.201884 | -0.0595618 | -6.30217 | 2461 | 839 | 0 |
| t_overlay_p012_f30 | 0.77495 | 0.936132 | 0.100582 | -0.060964 | -6.46228 | 2506 | 884 | 445 |
| dynamic_t_p012_f30 | 0.433441 | 0.943116 | 0.0616001 | -0.060964 | -6.46228 | 2506 | 884 | 444 |
| dynamic_vol_only | 3.93093 | 0.940986 | 0.302149 | -0.065067 | -6.09342 | 1622 | 0 | 0 |
| baseline | 3.75439 | 0.946091 | 0.292778 | -0.065067 | -6.09342 | 1622 | 0 | 0 |
| dynamic_exposure | 4.37231 | 0.922065 | 0.327202 | -0.065067 | -6.09342 | 1622 | 0 | 0 |
| regime_directional_dynamic | 1.63186 | 0.894605 | 0.183193 | -0.0671375 | -5.38699 | 1208 | 0 | 0 |
| regime_directional | 1.72166 | 0.918383 | 0.185135 | -0.0671375 | -5.38699 | 1208 | 0 | 0 |
| dynamic_ratio_soft | 3.60205 | 0.938529 | 0.288205 | -0.0694696 | -6.67335 | 1622 | 0 | 0 |
| layered_directional_dynamic_t_p012_f30 | 0.306129 | 0.879055 | 0.048659 | -0.0705739 | -5.41378 | 1841 | 633 | 324 |
| regime_directional_t_p012_f30 | 0.190952 | 0.904717 | 0.0307119 | -0.0705739 | -5.41378 | 1841 | 633 | 324 |
Baseline Horizons
| horizon | total_return | annualized_return | max_drawdown | calmar | trades | trades_per_30d | win_rate | profit_factor |
|---|---|---|---|---|---|---|---|---|
| full | 3.75439 | 0.276995 | 0.946091 | 0.292778 | 1622 | 20.9079 | 0.281751 | 1.15212 |
| 3y | 3.81511 | 0.687826 | 0.674119 | 1.02033 | 749 | 20.5018 | 0.284379 | 1.24284 |
| 1y | 3.75069 | 3.75069 | 0.400194 | 9.37217 | 250 | 20.5479 | 0.348 | 1.54601 |
| 6m | 2.37248 | 10.6051 | 0.279065 | 38.0023 | 124 | 20.5525 | 0.330645 | 1.85034 |
| 3m | 0.923034 | 13.6105 | 0.214142 | 63.5586 | 64 | 21.573 | 0.375 | 1.97036 |
| 30d | 0.0272864 | 0.387545 | 0.176658 | 2.19375 | 22 | 22 | 0.318182 | 1.63836 |
| 14d | -0.065067 | -0.826937 | 0.13571 | -6.09342 | 11 | 23.5714 | 0.181818 | 0.599087 |
Best Variant Horizons
| horizon | total_return | annualized_return | max_drawdown | calmar | trades | trades_per_30d | win_rate | profit_factor |
|---|---|---|---|---|---|---|---|---|
| full | 3.81027 | 0.279337 | 0.88 | 0.317428 | 2277 | 29.3509 | 0.488362 | 1.97648 |
| 3y | 1.69057 | 0.390435 | 0.54299 | 0.719048 | 1027 | 28.1113 | 0.478092 | 2.0817 |
| 1y | 1.7465 | 1.7465 | 0.296321 | 5.89395 | 360 | 29.589 | 0.547222 | 2.63715 |
| 6m | 1.13995 | 3.63749 | 0.212531 | 17.1151 | 177 | 29.337 | 0.531073 | 2.95889 |
| 3m | 0.484985 | 4.06119 | 0.176076 | 23.065 | 92 | 31.0112 | 0.565217 | 3.35689 |
| 30d | 0.0487761 | 0.78501 | 0.148331 | 5.29228 | 30 | 30 | 0.5 | 2.88687 |
| 14d | -0.0406241 | -0.660826 | 0.105305 | -6.27533 | 14 | 30 | 0.357143 | 1.51519 |
Event Counts
| variant | entry_events | middle_exit_events | stop_events | t_reduce_events | t_readd_events |
|---|---|---|---|---|---|
| baseline | 1622 | 1085 | 537 | 0 | 0 |
| dynamic_exposure | 1622 | 1085 | 537 | 0 | 0 |
| dynamic_vol_only | 1622 | 1085 | 537 | 0 | 0 |
| dynamic_ratio_soft | 1622 | 1085 | 537 | 0 | 0 |
| regime_directional | 1208 | 812 | 396 | 0 | 0 |
| regime_vol_scaled | 1622 | 1085 | 537 | 0 | 0 |
| t_overlay_p012_f20_never | 1622 | 1085 | 537 | 839 | 0 |
| t_overlay_p012_f30 | 1622 | 1085 | 537 | 884 | 445 |
| t_overlay_p012_f30_never | 1622 | 1085 | 537 | 839 | 0 |
| t_overlay_p018_f20_middle_trend | 1622 | 1085 | 537 | 753 | 252 |
| t_overlay_p018_f30 | 1622 | 1085 | 537 | 768 | 387 |
| t_overlay_p024_f20_never | 1622 | 1085 | 537 | 655 | 0 |
| dynamic_t_p012_f30 | 1622 | 1085 | 537 | 884 | 444 |
| dynamic_t_p018_f20_middle_trend | 1622 | 1085 | 537 | 753 | 252 |
| vol_dynamic_t_p024_f20_never | 1622 | 1085 | 537 | 655 | 0 |
| ratio_dynamic_t_p024_f20_never | 1622 | 1085 | 537 | 655 | 0 |
| regime_directional_dynamic | 1208 | 812 | 396 | 0 | 0 |
| regime_directional_t_p012_f30 | 1208 | 812 | 396 | 633 | 324 |
| layered_directional_dynamic_t_p012_f30 | 1208 | 812 | 396 | 633 | 324 |
| layered_vol_dynamic_t_p012_f30 | 1622 | 1085 | 537 | 880 | 434 |
| layered_vol_dynamic_t_p018_f20_middle_trend | 1622 | 1085 | 537 | 751 | 244 |
| layered_vol_t_p024_f20_never | 1622 | 1085 | 537 | 655 | 0 |
| layered_vol_ratio_t_p024_f20_never | 1622 | 1085 | 537 | 655 | 0 |
Decision
- Best ranked variant:
layered_vol_t_p024_f20_never. - Replace live strategy now: No.