regime-router-v2-report.md 15 KB
Recent BTC regime router v2
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_recent_regime_router_v2.py --bar 4H --years 10.0
Output files:
reports/recent-regime/regime-router-v2-total.csvreports/recent-regime/regime-router-v2-horizons.csvreports/recent-regime/regime-router-v2-regime.csvreports/recent-regime/regime-router-v2-top10.csvreports/recent-regime/regime-router-v2-summary.jsonreports/recent-regime/regime-router-v2-report.md
BTC drives regime selection. ETH is the traded instrument. Router states are long, short, and cash; weak trend and low-volatility drag are explicitly routed to cash.
Top maker_taker routers
| name | trades | total_return | annualized_return | max_drawdown | calmar | win_rate | profit_loss_ratio | profit_factor | min_recent_total_return |
|---|---|---|---|---|---|---|---|---|---|
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 643 | -0.600195 | -0.134038 | 0.795715 | -0.168449 | 0.387247 | 1.51396 | 0.956794 | -0.0321 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 643 | -0.600195 | -0.134038 | 0.795715 | -0.168449 | 0.387247 | 1.51396 | 0.956794 | -0.0321 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 649 | -0.642747 | -0.149201 | 0.817458 | -0.182518 | 0.385208 | 1.51275 | 0.947839 | -0.0321 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 649 | -0.642747 | -0.149201 | 0.817458 | -0.182518 | 0.385208 | 1.51275 | 0.947839 | -0.0321 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 557 | -0.327402 | -0.0606129 | 0.635872 | -0.0953225 | 0.391382 | 1.55295 | 0.998655 | -0.148663 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 557 | -0.327402 | -0.0606129 | 0.635872 | -0.0953225 | 0.391382 | 1.55295 | 0.998655 | -0.148663 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 564 | -0.418282 | -0.0818671 | 0.685072 | -0.119501 | 0.388298 | 1.55071 | 0.984363 | -0.148663 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 564 | -0.418282 | -0.0818671 | 0.685072 | -0.119501 | 0.388298 | 1.55071 | 0.984363 | -0.148663 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 745 | -0.882583 | -0.285556 | 0.934141 | -0.305688 | 0.373154 | 1.46952 | 0.874788 | -0.185498 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 745 | -0.882583 | -0.285556 | 0.934141 | -0.305688 | 0.373154 | 1.46952 | 0.874788 | -0.185498 |
Required horizons
| name | horizon | total_return | annualized_return | max_drawdown | calmar | trades | win_rate | profit_loss_ratio | profit_factor |
|---|---|---|---|---|---|---|---|---|---|
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 30d | -0.0107582 | -0.123309 | 0.0631696 | -1.95203 | 10 | 0.4 | 1.46359 | 0.975729 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 90d | -0.148663 | -0.479378 | 0.193768 | -2.47398 | 27 | 0.333333 | 1.45395 | 0.726977 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 6m | 0.158267 | 0.344854 | 0.193768 | 1.77972 | 35 | 0.457143 | 1.55702 | 1.31118 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 1y | 0.461269 | 0.461269 | 0.193768 | 2.38052 | 68 | 0.470588 | 1.60463 | 1.42634 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | 3y | 0.30952 | 0.0939608 | 0.34237 | 0.274442 | 255 | 0.4 | 1.66445 | 1.10963 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 30d | -0.0107582 | -0.123309 | 0.0631696 | -1.95203 | 10 | 0.4 | 1.46359 | 0.975729 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 90d | -0.148663 | -0.479378 | 0.193768 | -2.47398 | 27 | 0.333333 | 1.45395 | 0.726977 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 6m | 0.158267 | 0.344854 | 0.193768 | 1.77972 | 35 | 0.457143 | 1.55702 | 1.31118 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 1y | 0.461269 | 0.461269 | 0.193768 | 2.38052 | 68 | 0.470588 | 1.60463 | 1.42634 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | 3y | 0.30952 | 0.0939608 | 0.34237 | 0.274442 | 255 | 0.4 | 1.66445 | 1.10963 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 30d | -0.0107582 | -0.123309 | 0.0631696 | -1.95203 | 10 | 0.4 | 1.46359 | 0.975729 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 90d | -0.148663 | -0.479378 | 0.193768 | -2.47398 | 27 | 0.333333 | 1.45395 | 0.726977 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 6m | 0.158267 | 0.344854 | 0.193768 | 1.77972 | 35 | 0.457143 | 1.55702 | 1.31118 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 1y | 0.461269 | 0.461269 | 0.193768 | 2.38052 | 68 | 0.470588 | 1.60463 | 1.42634 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | 3y | 0.30952 | 0.0939608 | 0.34237 | 0.274442 | 255 | 0.4 | 1.66445 | 1.10963 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 30d | -0.0107582 | -0.123309 | 0.0631696 | -1.95203 | 10 | 0.4 | 1.46359 | 0.975729 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 90d | -0.148663 | -0.479378 | 0.193768 | -2.47398 | 27 | 0.333333 | 1.45395 | 0.726977 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 6m | 0.158267 | 0.344854 | 0.193768 | 1.77972 | 35 | 0.457143 | 1.55702 | 1.31118 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 1y | 0.461269 | 0.461269 | 0.193768 | 2.38052 | 68 | 0.470588 | 1.60463 | 1.42634 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | 3y | 0.30952 | 0.0939608 | 0.34237 | 0.274442 | 255 | 0.4 | 1.66445 | 1.10963 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 7d | -0.0631696 | -0.966709 | 0.0631696 | -15.3034 | 2 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 14d | 0.0365969 | 1.55254 | 0.0631696 | 24.5773 | 5 | 0.4 | 2.07788 | 1.38525 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 30d | -0.00414838 | -0.0493192 | 0.0631696 | -0.780744 | 11 | 0.363636 | 1.78673 | 1.02099 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 90d | -0.0163134 | -0.0645292 | 0.139402 | -0.462901 | 32 | 0.40625 | 1.47647 | 1.01022 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 6m | 0.372035 | 0.892375 | 0.139402 | 6.40147 | 51 | 0.490196 | 1.54607 | 1.4866 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 1y | 0.348442 | 0.348442 | 0.222483 | 1.56615 | 106 | 0.433962 | 1.60345 | 1.22931 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | 3y | -0.185498 | -0.0660482 | 0.548511 | -0.120414 | 352 | 0.386364 | 1.59357 | 1.00336 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 7d | -0.0631696 | -0.966709 | 0.0631696 | -15.3034 | 2 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 14d | 0.0365969 | 1.55254 | 0.0631696 | 24.5773 | 5 | 0.4 | 2.07788 | 1.38525 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 30d | -0.00414838 | -0.0493192 | 0.0631696 | -0.780744 | 11 | 0.363636 | 1.78673 | 1.02099 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 90d | -0.0163134 | -0.0645292 | 0.139402 | -0.462901 | 32 | 0.40625 | 1.47647 | 1.01022 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 6m | 0.372035 | 0.892375 | 0.139402 | 6.40147 | 51 | 0.490196 | 1.54607 | 1.4866 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 1y | 0.348442 | 0.348442 | 0.222483 | 1.56615 | 106 | 0.433962 | 1.60345 | 1.22931 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | 3y | -0.185498 | -0.0660482 | 0.548511 | -0.120414 | 352 | 0.386364 | 1.59357 | 1.00336 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 30d | 0.0405834 | 0.622566 | 0.0631696 | 9.85547 | 11 | 0.454545 | 1.53459 | 1.27883 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 90d | -0.0193155 | -0.0760538 | 0.128939 | -0.589844 | 31 | 0.419355 | 1.38653 | 1.00138 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 6m | 0.34031 | 0.805174 | 0.128939 | 6.24463 | 43 | 0.511628 | 1.46553 | 1.53532 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 1y | 0.690981 | 0.690981 | 0.137376 | 5.02984 | 86 | 0.5 | 1.49315 | 1.49315 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | 3y | 0.201325 | 0.0629901 | 0.456962 | 0.137845 | 299 | 0.401338 | 1.61208 | 1.08073 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 30d | 0.0405834 | 0.622566 | 0.0631696 | 9.85547 | 11 | 0.454545 | 1.53459 | 1.27883 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 90d | -0.0193155 | -0.0760538 | 0.128939 | -0.589844 | 31 | 0.419355 | 1.38653 | 1.00138 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 6m | 0.34031 | 0.805174 | 0.128939 | 6.24463 | 43 | 0.511628 | 1.46553 | 1.53532 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 1y | 0.690981 | 0.690981 | 0.137376 | 5.02984 | 86 | 0.5 | 1.49315 | 1.49315 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | 3y | 0.201325 | 0.0629901 | 0.456962 | 0.137845 | 299 | 0.401338 | 1.61208 | 1.08073 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 30d | 0.0405834 | 0.622566 | 0.0631696 | 9.85547 | 11 | 0.454545 | 1.53459 | 1.27883 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 90d | -0.0193155 | -0.0760538 | 0.128939 | -0.589844 | 31 | 0.419355 | 1.38653 | 1.00138 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 6m | 0.34031 | 0.805174 | 0.128939 | 6.24463 | 43 | 0.511628 | 1.46553 | 1.53532 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 1y | 0.690981 | 0.690981 | 0.137376 | 5.02984 | 86 | 0.5 | 1.49315 | 1.49315 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | 3y | 0.201325 | 0.0629901 | 0.456962 | 0.137845 | 299 | 0.401338 | 1.61208 | 1.08073 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 7d | -0.0321 | -0.817543 | 0.0321 | -25.4686 | 1 | 0 | 0 | 0 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 14d | 0.0483895 | 2.42811 | 0.0631696 | 38.438 | 6 | 0.5 | 1.53707 | 1.53707 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 30d | 0.0405834 | 0.622566 | 0.0631696 | 9.85547 | 11 | 0.454545 | 1.53459 | 1.27883 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 90d | -0.0193155 | -0.0760538 | 0.128939 | -0.589844 | 31 | 0.419355 | 1.38653 | 1.00138 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 6m | 0.34031 | 0.805174 | 0.128939 | 6.24463 | 43 | 0.511628 | 1.46553 | 1.53532 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 1y | 0.690981 | 0.690981 | 0.137376 | 5.02984 | 86 | 0.5 | 1.49315 | 1.49315 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | 3y | 0.201325 | 0.0629901 | 0.456962 | 0.137845 | 299 | 0.401338 | 1.61208 | 1.08073 |
Regime split
| name | regime | trades | win_rate | profit_loss_ratio | profit_factor |
|---|---|---|---|---|---|
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | btc_bull_eth_lag | 345 | 0.405797 | 1.53554 | 1.04866 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h12 | btc_bear_eth_lag | 212 | 0.367925 | 1.58783 | 0.924259 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | btc_bull_eth_lag | 345 | 0.405797 | 1.53554 | 1.04866 |
| regime-router-v2-ts120-ml18-vol0.03-mom0.02-rz0.25-h24 | btc_bear_eth_lag | 212 | 0.367925 | 1.58783 | 0.924259 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | btc_bull_eth_lag | 348 | 0.405172 | 1.53564 | 1.04602 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h12 | btc_bear_eth_lag | 216 | 0.361111 | 1.58275 | 0.894598 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | btc_bull_eth_lag | 348 | 0.405172 | 1.53564 | 1.04602 |
| regime-router-v2-ts120-ml18-vol0.04-mom0.02-rz0.25-h24 | btc_bear_eth_lag | 216 | 0.361111 | 1.58275 | 0.894598 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | btc_bull_eth_lag | 438 | 0.376712 | 1.43455 | 0.867038 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h12 | btc_bear_eth_lag | 307 | 0.368078 | 1.52086 | 0.885859 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | btc_bull_eth_lag | 438 | 0.376712 | 1.43455 | 0.867038 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.012-rz0.25-h24 | btc_bear_eth_lag | 307 | 0.368078 | 1.52086 | 0.885859 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | btc_bull_eth_lag | 384 | 0.403646 | 1.49963 | 1.01503 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h12 | btc_bear_eth_lag | 259 | 0.362934 | 1.54384 | 0.87952 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | btc_bull_eth_lag | 384 | 0.403646 | 1.49963 | 1.01503 |
| regime-router-v2-ts60-ml18-vol0.03-mom0.02-rz0.25-h24 | btc_bear_eth_lag | 259 | 0.362934 | 1.54384 | 0.87952 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | btc_bull_eth_lag | 387 | 0.403101 | 1.49998 | 1.01298 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h12 | btc_bear_eth_lag | 262 | 0.358779 | 1.54106 | 0.862257 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | btc_bull_eth_lag | 387 | 0.403101 | 1.49998 | 1.01298 |
| regime-router-v2-ts60-ml18-vol0.04-mom0.02-rz0.25-h24 | btc_bear_eth_lag | 262 | 0.358779 | 1.54106 | 0.862257 |