recent-regime-exploration-summary.md 4.7 KB
Recent-Regime Strategy Exploration Summary
Local data end: ETH/BTC 15m 2026-05-17 06:45 UTC. 3m cache ends 2026-04-29; 5m cache ends 2026-05-10, so live-relevant recent exploration should prefer 15m until lower timeframes are refreshed.
Market Read
- Last 30d: ETH
-6.26%, BTC+4.25%, ETH/BTC-10.08%: ETH is materially weaker than BTC. - Same-bar BTC/ETH correlation remains high around
0.88-0.90, but BTC lead/lag edge is weak, so BTC should be a regime filter at most, not the main alpha. - Current ETH BB squeeze is active, but recent squeeze follow-through quality is low; breakouts need fast confirmation and tight exits.
Recent 120d Candidate Scan
| family | name | 90d_total_return | 30d_total_return | 14d_total_return | 7d_total_return | max_recent_drawdown | recent_trades |
|---|---|---|---|---|---|---|---|
| squeeze_breakout | squeeze-q0.2-th0.004-sl0.008-tp0.016 | -0.80% | 10.23% | 5.50% | 0.84% | 4.18% | 27 |
| squeeze_breakout | squeeze-q0.15-th0.004-sl0.008-tp0.016 | -1.32% | 3.93% | 2.62% | 0.84% | 4.18% | 19 |
| squeeze_breakout | squeeze-q0.2-th0.007-sl0.006-tp0.012 | -3.83% | 3.05% | 3.18% | 0.79% | 3.09% | 21 |
| squeeze_breakout | squeeze-q0.25-th0.007-sl0.006-tp0.012 | -8.05% | 3.22% | 2.34% | 0.79% | 2.13% | 24 |
| squeeze_breakout | squeeze-q0.2-th0.004-sl0.006-tp0.012 | -11.10% | 2.98% | 3.42% | 0.27% | 4.58% | 37 |
Read: the top squeeze-breakout row is attractive over 30d/14d/7d, but this scan only used a recent 120d candidate window. Treat as a tactical observation candidate, not robust strategy evidence.
3y Squeeze Refinement
| name | total_return | max_drawdown | trades | profit_factor | return_90d | return_30d | return_14d | return_7d |
|---|---|---|---|---|---|---|---|---|
| sqref-q0.2-tb4-tr0.004-sl0.008-tp0.016-h48-long-none-cd8 | -62.88% | 66.80% | 617 | 0.74 | -4.26% | 8.29% | 3.84% | 0.37% |
| sqref-q0.2-tb4-tr0.004-sl0.006-tp0.012-h48-long-none-cd8 | -64.51% | 66.70% | 691 | 0.70 | -5.92% | 3.79% | 2.33% | 0.17% |
| sqref-q0.15-tb4-tr0.004-sl0.008-tp0.016-h48-long-none-cd8 | -40.53% | 45.70% | 475 | 0.82 | -2.90% | 1.64% | 1.58% | 0.37% |
| sqref-q0.2-tb4-tr0.004-sl0.008-tp0.016-h48-long-directional-cd8 | -32.54% | 36.18% | 248 | 0.75 | -5.83% | 0.52% | 0.16% | 0.00% |
| sqref-q0.2-tb4-tr0.004-sl0.006-tp0.012-h48-long-directional-cd8 | -40.68% | 42.35% | 278 | 0.64 | -2.17% | 0.33% | 0.16% | 0.00% |
Read: extending the same family to 3y makes it unattractive. Even the best 30d rows have large full-period losses and profit factor below 1.0.
Mean-Reversion / False-Breakout Search
| name | symbol | bar | side_mode | total_return | max_drawdown | trades | win_rate | profit_factor |
|---|---|---|---|---|---|---|---|---|
| eth-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | short | 0.32% | 3.65% | 79 | 55.70% | 1.03 |
| eth-5m-fbmr-bidir-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | bidir | -0.51% | 6.78% | 152 | 57.24% | 0.99 |
| eth-5m-fbmr-long-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | long | -0.71% | 4.91% | 146 | 57.53% | 0.98 |
| eth-5m-fbmr-long-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | ETH-USDT-SWAP | 5m | long | -0.82% | 5.26% | 73 | 58.90% | 0.95 |
| btc-5m-fbmr-long-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h18 | BTC-USDT-SWAP | 5m | long | -1.54% | 4.04% | 37 | 59.46% | 0.76 |
Read: this direction is weak. Best result is near flat over 36 months and loses over recent 30/90d.
BTC Regime Router v2
| name | total_return | max_drawdown | min_recent_total_return | trades | win_rate | profit_factor |
|---|---|---|---|---|---|---|
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | -60.02% | 79.57% | -3.21% | 643 | 38.72% | 0.96 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | -60.02% | 79.57% | -3.21% | 643 | 38.72% | 0.96 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | -64.27% | 81.75% | -3.21% | 649 | 38.52% | 0.95 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | -64.27% | 81.75% | -3.21% | 649 | 38.52% | 0.95 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | -32.74% | 63.59% | -14.87% | 557 | 39.14% | 1.00 |
Read: no live candidate. It trades often but loses after fees; short regimes are the main drag.
Decision
- Do not replace the current live strategy with mean-reversion, BTC router, or the 3y squeeze-refine candidates.
- Keep the 120d squeeze-breakout candidate as a read-only observer candidate only:
squeeze-q0.2-th0.004-sl0.008-tp0.016. - Next useful exploration path: refresh 3m/5m through today, then test whether the 120d squeeze edge exists on lower timeframes and whether execution delay/slippage destroys it.