okx-codex-trader/reports/eth-exploration/trend-exhaustion-narrow-validation.md

Trend Exhaustion Narrow Validation

Run command: rtk .venv/bin/python scripts/validate_trend_exhaustion_candidate.py

Output files:

• reports/eth-exploration/trend-exhaustion-narrow-validation-neighborhood.csv
• reports/eth-exploration/trend-exhaustion-narrow-validation-filters.csv
• reports/eth-exploration/trend-exhaustion-narrow-validation-overlay.csv
• reports/eth-exploration/trend-exhaustion-narrow-validation.md

Candidate: trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h72-none. Scope: local OKX ETH-USDT-SWAP and BTC-USDT-SWAP candles only. No live path touched. All filters use current or historical completed 1H candles; entries execute on the next open.

Small Parameter Neighborhood

Neighborhood pass count under fixed left-tail thresholds: 0/17.

name	full_total_return	full_annualized_return	full_max_drawdown	full_profit_factor	full_trades	3y_total_return	1y_total_return	6m_total_return	3m_total_return	return_2022	return_2023	worst_year
trend_exhaustion-1H-f50-s220-lb8-th0.012-sl0.03-tp0.045-h72-none	0.9884	0.1144	0.3351	1.2164	284	0.3369	0.3233	0.3526	0.0869	-0.2087	-0.1183	-0.2087
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h60-none	0.8558	0.1024	0.3388	1.2007	275	0.2885	0.2807	0.3091	0.0519	-0.2099	-0.1219	-0.2099
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h72-none	0.7577	0.0930	0.3615	1.1832	275	0.2572	0.2958	0.3091	0.0519	-0.2279	-0.1167	-0.2279
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h84-none	0.7577	0.0930	0.3615	1.1832	275	0.2572	0.2958	0.3091	0.0519	-0.2279	-0.1167	-0.2279
trend_exhaustion-1H-f50-s260-lb8-th0.012-sl0.03-tp0.045-h72-none	0.7364	0.0909	0.3403	1.1805	271	0.2798	0.2915	0.3091	0.0519	-0.2279	-0.1112	-0.2279
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.025-tp0.045-h72-none	0.7204	0.0893	0.3796	1.1761	292	0.3111	0.3473	0.3283	0.0571	-0.2515	-0.1364	-0.2515
trend_exhaustion-1H-f50-s240-lb8-th0.01-sl0.03-tp0.045-h72-none	0.6565	0.0828	0.3835	1.1603	294	0.1924	0.2242	0.2974	0.0425	-0.2429	-0.1440	-0.2429
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.035-tp0.045-h72-none	0.6217	0.0792	0.3868	1.1593	270	0.2169	0.2782	0.2902	0.0468	-0.2271	-0.1199	-0.2271
trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.04-h72-none	0.6131	0.0783	0.3524	1.1594	279	0.1679	0.2758	0.3024	0.0742	-0.1865	-0.1167	-0.1865
trend_exhaustion-1H-f60-s260-lb8-th0.012-sl0.03-tp0.045-h72-none	0.6004	0.0769	0.3361	1.1850	228	0.0772	0.0709	0.1198	0.0406	-0.1214	-0.1638	-0.1638
trend_exhaustion-1H-f60-s240-lb8-th0.012-sl0.03-tp0.045-h72-none	0.5809	0.0748	0.3603	1.1803	232	0.0852	0.0745	0.1198	0.0406	-0.1346	-0.1783	-0.1783
trend_exhaustion-1H-f50-s240-lb10-th0.012-sl0.03-tp0.045-h72-none	0.5380	0.0702	0.4320	1.1376	301	0.0665	0.0931	0.2319	0.0519	-0.2408	-0.1086	-0.2408

Structural Filters

Filter objective: improve 2022/2023 left tail without using future candles.

name	full_total_return	full_annualized_return	full_max_drawdown	full_profit_factor	full_trades	3y_total_return	1y_total_return	6m_total_return	3m_total_return	return_2022	return_2023	worst_year
btc_up_and_mid_vol	0.0393	0.0061	0.1023	1.1288	30	-0.0115	0.0473	0.0000	0.0000	0.0351	-0.0453	-0.0453
btc_up_mid_vol_eth_slope	0.0393	0.0061	0.1023	1.1288	30	-0.0115	0.0473	0.0000	0.0000	0.0351	-0.0453	-0.0453
btc_sma240_slope_ge_0	0.2805	0.0397	0.1217	1.4005	59	0.1340	0.0198	0.0244	0.0244	0.0439	-0.0508	-0.0578
btc_up_eth_slopege-0.015	-0.0129	-0.0020	0.1862	1.0105	45	-0.1046	0.0416	0.0000	0.0000	0.0351	-0.0716	-0.0716
btc_above_sma240	-0.0424	-0.0068	0.2106	0.9628	46	-0.1314	0.0416	0.0000	0.0000	0.0351	-0.0716	-0.0716
btc_slope_up_mid_vol_eth_slope	-0.0456	-0.0073	0.2010	0.9235	34	0.1509	0.0253	0.0244	0.0244	-0.0835	-0.0264	-0.0952
eth_slopege-0.015	0.0999	0.0151	0.3612	1.0726	181	-0.0282	0.1952	0.2255	0.0459	-0.1343	-0.1167	-0.1343
ethslope-0.015_to_0	0.0760	0.0116	0.3809	1.0635	179	-0.0493	0.1693	0.2371	0.0558	-0.1343	-0.1167	-0.1343
vol_rank_0.35_to_0.85	0.0265	0.0041	0.3283	1.0471	138	0.2654	0.0731	0.0542	0.0034	-0.1886	-0.0845	-0.1886
vol_rank_le_0.85	0.0446	0.0069	0.3420	1.0495	194	0.1395	0.1211	0.1152	0.0519	-0.1941	-0.1028	-0.1941
unfiltered	0.7577	0.0930	0.3615	1.1832	275	0.2572	0.2958	0.3091	0.0519	-0.2279	-0.1167	-0.2279

Unfiltered 2022/2023:

• 2022 -0.2279, 2023 -0.1167

Conservative Portfolio Overlay

Overlay source: trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h72-none filtered by btc_up_and_mid_vol.

overlay_weight	horizon	total_return	max_drawdown	calmar	delta_total_return	delta_max_drawdown	delta_calmar
0.0250	full	0.5598	0.0728	1.0004	-0.0149	-0.0000	-0.0199
0.0250	3y	0.2227	0.0670	1.0344	-0.0002	0.0005	-0.0080
0.0250	1y	0.1259	0.0645	1.9507	0.0013	-0.0004	0.0315
0.0500	full	0.5616	0.0728	1.0032	-0.0131	-0.0000	-0.0171
0.0500	3y	0.2225	0.0678	1.0207	-0.0004	0.0013	-0.0216
0.0500	1y	0.1272	0.0642	1.9826	0.0027	-0.0007	0.0633
0.0750	full	0.5634	0.0728	1.0059	-0.0113	-0.0000	-0.0144
0.0750	3y	0.2223	0.0686	1.0074	-0.0007	0.0021	-0.0349
0.0750	1y	0.1285	0.0638	2.0147	0.0040	-0.0011	0.0954
0.1000	full	0.5652	0.0728	1.0085	-0.0095	-0.0000	-0.0118
0.1000	3y	0.2220	0.0695	0.9944	-0.0009	0.0029	-0.0480
0.1000	1y	0.1299	0.0634	2.0471	0.0053	-0.0015	0.1279

Verdict

Reject trend_exhaustion-1H-f50-s240-lb8-th0.012-sl0.03-tp0.045-h72-none for portfolio search. The narrow validation does not satisfy stability, left-tail, and overlay drawdown/Calmar requirements together.