okx-codex-trader/reports/live-recent/recent-strategy-report.md

Recent Strategy Backtest Snapshot

Data end: 2026-05-17T06:45:00+00:00.

7d/14d/30d/90d Results

name	kind	7d	14d	30d	90d	trades_30d	mdd_30d	calmar_30d	trades_90d	mdd_90d	calmar_90d
BB squeeze long_only l48-bw960-q25 vc006	bb_squeeze	-2.50%	-6.01%	3.61%	48.81%	15	6.41%	8.43	42	15.25%	26.75
BB squeeze live l48-bw960-q25 both vc006	live_bb_squeeze	-2.65%	-8.73%	2.49%	69.08%	21	13.09%	2.87	68	18.22%	41.04
BTC risk ETH short overlay 5pct	short_overlay	0.00%	0.00%	0.00%	0.01%	0	0.00%	0.00	19	0.64%	0.08
eth_relmom-1H-lb24-tr720-re0.040-vq0.4-sw0.75-lw0.25	relative_momentum	0.00%	0.00%	0.00%	0.66%	0	0.00%	0.00	2	0.44%	6.09
eth_relmom-4H-lb12-tr180-re0.040-vq0.7-sw0.75-lw0.25	relative_momentum	0.00%	0.00%	0.00%	0.00%	0	0.00%	0.00	0	0.00%	0.00
eth_relmom-1H-lb24-tr720-re0.040-vq0.7-sw0.75-lw0.25	relative_momentum	0.00%	0.00%	0.00%	1.06%	0	0.00%	0.00	2	0.36%	12.25
ETH buy_hold_unlevered	benchmark	-6.21%	-5.17%	-6.26%	11.08%	1	11.88%	-4.58	1	17.26%	3.08
ETH buy_hold_3x_continuous	benchmark	-18.09%	-16.07%	-20.85%	7.51%	1	34.11%	-2.76	1	45.73%	0.75

Calendar Fusion Focused Pool

Focused fusion search produced no candidate passing the strict positive 1y/6m/3m selection filter. The populated total file is still useful for diagnostics; top rows by 3m are below.

name	total_return	annualized_return	max_drawdown	calmar	h1y_return	h6m_return	h3m_return
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.08-bg0.04-cal0.125	358.18%	27.30%	9.36%	2.92	20.32%	7.75%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.08-bg0.03-cal0.125	349.95%	26.93%	9.27%	2.90	20.04%	7.54%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.10-bg0.03-cal0.125	369.25%	27.78%	9.52%	2.92	21.05%	8.50%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.12-bg0.00-cal0.125	413.25%	29.61%	9.80%	3.02	22.76%	9.82%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.04-eg0.10-bg0.00-cal0.125	376.03%	28.07%	9.46%	2.97	21.23%	8.53%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.06-eg0.08-bg0.00-cal0.125	372.35%	27.91%	9.32%	3.00	20.72%	7.90%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.00-eg0.08-bg0.00-cal0.125	325.92%	25.83%	9.01%	2.87	19.19%	6.92%	-0.53%
fusion-cal-lr_riskoff00-l1.08-brs0.12-eth4hs0.00-btc4hs0.02-eg0.06-bg0.00-cal0.125	322.69%	25.68%	8.87%	2.90	18.70%	6.29%	-0.53%

Readout

• Current live BB squeeze remains the only active high-frequency live candidate: 30d +2.49%, 90d +69.08%, but 7d -2.65% and 14d -8.73% show recent degradation.
• BB squeeze long-only is less volatile than both-side over the last 30d: 30d +3.61%, 30d MDD 6.41%, but it also lost money in the last 7d/14d.
• Short overlay and relative-momentum candidates are mostly inactive in the last 30d, so they are not solving the current no-trade problem.
• Calendar fusion remains strong over full/1y/6m in the focused pool, but its best 3m rows are still about -0.53%; this is not an immediate replacement for the live 15m strategy.

Data Caveats

• reports/eth-exploration/eth-btc-nextgen-equity.csv ends at 2026-04-29, so eth-nextgen-micro outputs based on it are excluded from this 2026-05-17 recent snapshot.
• scripts/search_eth_btc_nextgen_variants.py reached the end of the search loop in the previous run but timed out before writing refreshed output files.
• A failed focused calendar-fusion report generation previously wrote empty fusion-calendar-horizons.csv and fusion-calendar-monthly.csv; fusion-calendar-total.csv is populated, and the script now handles empty selected sets explicitly.