okx-codex-trader/reports/recent-market-adaptation/summary.json

{
  "command": "rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/explore_recent_market_adaptation.py --output-dir reports/recent-market-adaptation",
  "first_candle": "2019-12-25T00:15:00+00:00",
  "last_candle": "2026-05-19T07:45:00+00:00",
  "cost_model": {
    "roundtrip_cost_on_margin": 0.0021,
    "leverage": 3.0
  },
  "top_summary": [
    {
      "strategy": "eth-btc-relative-weakness-short",
      "description": "Short ETH when BTC is rising over 6h while ETH/BTC keeps falling; fixed stop, take-profit, or 6h max hold.",
      "total_return": -0.9877010680714006,
      "annualized_return": -0.4968362121704051,
      "max_drawdown": 0.9885040975577316,
      "calmar": -0.5026142161655414,
      "trades": 1381,
      "trades_per_30d": 17.725486001550927,
      "win_rate": 0.36278059377262856,
      "profit_factor": 0.8033573396528738,
      "avg_trade_return": -0.0028274552914042644,
      "first_candle": "2019-12-25 00:15",
      "last_candle": "2026-05-19 07:45",
      "min_recent_return": -0.05942917836744677
    },
    {
      "strategy": "eth-compression-breakout",
      "description": "Trade ETH 15m close breakouts from a compressed 12h range; fixed stop, take-profit, or 6h max hold.",
      "total_return": -0.9645635029666804,
      "annualized_return": -0.40642041242750304,
      "max_drawdown": 0.9835761563568581,
      "calmar": -0.4132068572431384,
      "trades": 2421,
      "trades_per_30d": 31.074150332914407,
      "win_rate": 0.38909541511771994,
      "profit_factor": 0.9344153166059748,
      "avg_trade_return": -0.0009412249684747143,
      "first_candle": "2019-12-25 00:15",
      "last_candle": "2026-05-19 07:45",
      "min_recent_return": -0.11800580482263134
    },
    {
      "strategy": "recent-style-router",
      "description": "Use prior 30d ETH-vs-BTC relative return and prior 90d volatility: relative weakness routes short, trend/high-vol routes breakout, otherwise BTC lead momentum.",
      "total_return": -0.984214298625294,
      "annualized_return": -0.4768372453837778,
      "max_drawdown": 0.9937262116517644,
      "calmar": -0.4798477083453222,
      "trades": 3106,
      "trades_per_30d": 39.866299435783624,
      "win_rate": 0.40019317450096586,
      "profit_factor": 0.929744901395893,
      "avg_trade_return": -0.0009528583405892506,
      "first_candle": "2019-12-25 00:15",
      "last_candle": "2026-05-19 07:45",
      "min_recent_return": -0.5343821055274585
    },
    {
      "strategy": "btc-lead-momentum",
      "description": "Trade ETH in the direction of BTC 2h momentum when ETH confirms over 1h; fixed stop, take-profit, or 4h max hold.",
      "total_return": -0.9999999998976633,
      "annualized_return": -0.9724612683680345,
      "max_drawdown": 0.9999999999151225,
      "calmar": -0.9724612684505746,
      "trades": 10024,
      "trades_per_30d": 128.6605877476803,
      "win_rate": 0.3932561851556265,
      "profit_factor": 0.8527709738173547,
      "avg_trade_return": -0.0019693092407505916,
      "first_candle": "2019-12-25 00:15",
      "last_candle": "2026-05-19 07:45",
      "min_recent_return": -0.6305812634798883
    }
  ],
  "outputs": [
    "reports/recent-market-adaptation/recent-style.csv",
    "reports/recent-market-adaptation/strategy-summary.csv",
    "reports/recent-market-adaptation/strategy-horizons.csv",
    "reports/recent-market-adaptation/strategy-trades.csv",
    "reports/recent-market-adaptation/router-regime-split.csv",
    "reports/recent-market-adaptation/summary.json",
    "reports/recent-market-adaptation/report.md"
  ]
}