okx-codex-trader/reports/recent-regime/recent-regime-mean-reversion-report.md

Recent Regime False Breakout Mean Reversion

Scope: ETH/BTC perpetual swap local OKX candles, 3m/5m/15m, most recent 36 months only. No network and no live executor changes.

Signal definition: compressed rolling range, sweep beyond the prior range, close back inside, enter the opposite side on next open, exit at range midpoint, stop, take-profit, or max hold.

Selected by Calmar then annualized return among candidates with at least 30 trades: eth-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18.

Selected Horizons

horizon	total_return	annualized	max_drawdown	calmar	trades	win_rate	profit_factor	payoff_ratio
7d	0.0014	0.0749	0.0000	0.0000	1	1.0000	0.0000	0.0000
14d	0.0014	0.0368	0.0000	0.0000	1	1.0000	0.0000	0.0000
30d	-0.0095	-0.1094	0.0152	-7.2184	6	0.5000	0.3781	0.3781
90d	-0.0073	-0.0294	0.0152	-1.9425	9	0.4444	0.6000	0.7501
6m	0.0097	0.0197	0.0152	1.2985	17	0.5294	1.3110	1.1653
1y	0.0242	0.0242	0.0152	1.5948	28	0.6071	1.6924	1.0951
3y	0.0046	0.0015	0.0365	0.0416	80	0.5625	1.0358	0.8056

Selected Monthly Summary

Months: 37, active months: 32, positive active months: 16.

Worst active months:

month	total_return	trades
2025-05	-0.0293	6
2023-12	-0.0135	2
2026-04	-0.0120	6
2025-11	-0.0078	3
2024-09	-0.0075	3
2024-04	-0.0068	1
2024-02	-0.0068	1
2025-12	-0.0051	2
2023-05	-0.0025	2
2023-10	-0.0024	1

Top Candidates

name	symbol	bar	side_mode	total_return	annualized	max_drawdown	calmar	trades	win_rate	profit_factor	payoff_ratio
eth-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	short	0.0046	0.0015	0.0365	0.0416	80	0.5625	1.0358	0.8056
eth-5m-fbmr-bidir-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	bidir	-0.0037	-0.0012	0.0678	-0.0182	153	0.5752	0.9937	0.7340
eth-5m-fbmr-long-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	long	-0.0071	-0.0024	0.0491	-0.0482	146	0.5753	0.9843	0.7265
eth-5m-fbmr-long-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	long	-0.0082	-0.0027	0.0526	-0.0521	73	0.5890	0.9541	0.6657
btc-5m-fbmr-long-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h18	BTC-USDT-SWAP	5m	long	-0.0154	-0.0051	0.0404	-0.1275	37	0.5946	0.7615	0.5192
eth-5m-fbmr-bidir-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	bidir	-0.0501	-0.0170	0.1214	-0.1398	284	0.5528	0.9290	0.7515
btc-5m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h18	BTC-USDT-SWAP	5m	long	-0.0268	-0.0090	0.0634	-0.1424	81	0.6049	0.8218	0.5367
eth-5m-fbmr-short-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	short	-0.0433	-0.0146	0.0898	-0.1630	138	0.5290	0.8755	0.7795
btc-5m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h18	BTC-USDT-SWAP	5m	short	-0.0134	-0.0045	0.0267	-0.1681	42	0.5000	0.8076	0.8076
eth-3m-fbmr-short-rl48-cw288-cq0.2-sw0.0016-sl0.006-tp0.008-h30	ETH-USDT-SWAP	3m	short	-0.0309	-0.0104	0.0562	-0.1848	71	0.5775	0.8051	0.5891
btc-3m-fbmr-long-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h30	BTC-USDT-SWAP	3m	long	-0.0118	-0.0039	0.0207	-0.1904	38	0.6316	0.7959	0.4643
btc-3m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h30	BTC-USDT-SWAP	3m	long	-0.0325	-0.0109	0.0556	-0.1969	85	0.6235	0.7781	0.4698
eth-5m-fbmr-long-rl24-cw144-cq0.35-sw0.0016-sl0.006-tp0.008-h18	ETH-USDT-SWAP	5m	long	-0.0869	-0.0298	0.1475	-0.2021	200	0.5900	0.7869	0.5468
btc-15m-fbmr-short-rl24-cw144-cq0.2-sw0.0016-sl0.006-tp0.008-h10	BTC-USDT-SWAP	15m	short	-0.0365	-0.0123	0.0604	-0.2037	85	0.5412	0.7679	0.6510
eth-3m-fbmr-short-rl48-cw288-cq0.35-sw0.0016-sl0.006-tp0.008-h30	ETH-USDT-SWAP	3m	short	-0.0540	-0.0183	0.0860	-0.2129	115	0.5565	0.8010	0.6383

Output Files

• recent-regime-mean-reversion-total.csv
• recent-regime-mean-reversion-horizons.csv
• recent-regime-mean-reversion-monthly.csv
• recent-regime-mean-reversion-report.md