okx-codex-trader/reports/eth-exploration/live-bb-squeeze-recent-risk-exit-report.md

Live BB squeeze recent risk/exit exploration

Scope: offline local-candle research only. Live executor, deploy files, and order paths were not changed.

Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/evaluate_live_bb_squeeze_recent_risk_exit.py --bar 15m --output-dir reports/eth-exploration Local aligned history: 2019-12-25 00:00 to 2026-05-19 07:45. Primary cost model: maker_taker from existing BB squeeze evaluation helpers. Frequency rule: eligible variants require at least 60 closed trades/year in full, 1y, 6m, and 3m windows.

Output files:

• reports/eth-exploration/live-bb-squeeze-recent-risk-exit-summary.csv
• reports/eth-exploration/live-bb-squeeze-recent-risk-exit-windows.csv
• reports/eth-exploration/live-bb-squeeze-recent-risk-exit-report.md

Current live baseline

window	window_trades	trades_per_year	net_total_return	net_max_drawdown	net_calmar
full	1622	254.382	3.75436	0.940904	0.294395
1y	250	250	3.75069	0.362307	10.3522
6m	124	250.055	2.37246	0.208803	50.7894
3m	64	262.472	0.923032	0.184086	73.9351

Top recent-ranked eligible variants

name	full_trades_per_year	recent_min_return	recent_min_calmar	full_net_total_return	full_net_max_drawdown	full_net_calmar
live-bb-squeeze-risk-exit-mxbuf0.0005-mxc1-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	228.035	0.709539	14.8883	6.03665	0.892943	0.400903
live-bb-squeeze-risk-exit-mxbuf0.0005-mxc1-sl0.01-tpnone-vc0.006-eth_24h_not_crash-mhnone	238.072	0.771508	14.2927	4.83839	0.931384	0.342289
live-bb-squeeze-risk-exit-mxbuf0.001-mxc1-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	223.486	0.710877	11.8804	9.80048	0.841426	0.537624
live-bb-squeeze-risk-exit-mxbuf0.0005-mxc1-sl0.01-tpnone-vc0.006-none-mh96	255.01	0.840564	11.6635	5.24664	0.936915	0.355268
live-bb-squeeze-risk-exit-mxbuf0.001-mxc3-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	210.783	0.450895	11.6428	13.2024	0.865604	0.59623
live-bb-squeeze-risk-exit-mxbuf0.001-mxc1-sl0.01-tpnone-vc0.006-eth_24h_not_crash-mhnone	233.524	0.772894	11.3858	7.7341	0.867325	0.466719
live-bb-squeeze-risk-exit-mxbuf0.001-mxc3-sl0.01-tpnone-vc0.006-eth_24h_not_crash-mhnone	220.193	0.490977	11.2876	10.0323	0.900534	0.507717
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	212.194	0.437054	11.1295	17.1362	0.87242	0.659504
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.006-eth_24h_not_crash-mhnone	221.761	0.485371	10.7079	13.9072	0.888029	0.594192
live-bb-squeeze-risk-exit-mxbuf0.0005-mxc1-sl0.01-tpnone-vc0.006-none-mh192	254.382	0.923032	10.3522	3.75436	0.940904	0.294395

Top full-window eligible variants

name	full_trades_per_year	full_net_total_return	full_net_max_drawdown	full_net_calmar	recent_min_return	recent_min_calmar
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	212.194	17.1362	0.87242	0.659504	0.437054	11.1295
live-bb-squeeze-risk-exit-mxbuf0.001-mxc1-sl0.01-tpnone-vc0.005-btc_trend_aligned-mhnone	176.123	11.9023	0.752995	0.655308	0.110488	2.9195
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.008-tpnone-vc0.006-none-mhnone	244.031	16.937	0.932757	0.61392	0.542956	7.81085
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.012-tpnone-vc0.006-none-mhnone	231.799	15.1536	0.897586	0.609435	0.632424	6.78692
live-bb-squeeze-risk-exit-mxbuf0.001-mxc3-sl0.01-tpnone-vc0.005-eth_24h_not_crash-mhnone	210.783	13.2024	0.865604	0.59623	0.450895	11.6428
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.005-trend_aligned-mhnone	199.805	12.2142	0.838072	0.595473	-0.210978	-2.0219
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.006-eth_24h_not_crash-mhnone	221.761	13.9072	0.888029	0.594192	0.485371	10.7079
live-bb-squeeze-risk-exit-mxbuf0.001-mxc1-sl0.01-tpnone-vc0.005-trend_aligned-mhnone	208.43	11.1584	0.810182	0.591964	-0.062641	-1.1207
live-bb-squeeze-risk-exit-mxbuf0.0015-mxc2-sl0.01-tpnone-vc0.005-btc_trend_aligned-mhnone	170.163	10.6163	0.809847	0.579187	-0.0515388	-0.757522
live-bb-squeeze-risk-exit-mxbuf0.001-mxc3-sl0.008-tpnone-vc0.006-none-mhnone	242.934	13.2889	0.922681	0.560914	0.565142	8.18428

Replacement verdict

• Recommend replacing live strategy now: No.
• Reason: Best eligible candidate did not clear every recent window versus the current live parameter set.