okx-codex-trader/reports/short-bias/swing-stress-report.md

Short-Bias Swing Stress Test

Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/stress_short_bias_swing.py --years 10.0

Output files:

• reports/short-bias/swing-stress-totals.csv
• reports/short-bias/swing-stress-robustness.csv
• reports/short-bias/swing-stress-vol-expansion-4h.csv
• reports/short-bias/swing-stress-summary.json
• reports/short-bias/swing-stress-report.md

Scope: strategies from reports/short-bias/swing-qualified.csv; original search script was imported but not modified. Stress grid: fee 0.04/0.08/0.10% single-side, slippage 0/0.05/0.10%, funding every 8h -0.005/0/+0.005%. Positive funding is short receive; negative funding is short pay.

Conclusion: Yes, still worth continuing as a research candidate. The weakest focused variant is vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8 with worst stressed total return 146.99% and worst stressed 1y return 9.75%.

BTC/ETH 4H vol_expansion_short robustness

name	symbol	stress_cases	positive_cases	worst_stress_total_return	worst_stress_max_drawdown	worst_stress_calmar	worst_stress_return_3y	worst_stress_return_1y	worst_stress_return_6m	worst_stress_return_3m	worst_stress_fee_single_side	worst_stress_slippage	worst_stress_funding_8h	trades
vol_expansion_short-btc-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	BTC-USDT-SWAP	27	27	1.62008	0.288516	0.569768	0.0721816	0.0751235	0.149895	0.0775702	0.001	0.001	-5e-05	75
vol_expansion_short-btc-4H-fast30-slow120-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	BTC-USDT-SWAP	27	27	1.83178	0.308474	0.579532	0.0901567	0.154206	0.162296	0.0775702	0.001	0.001	-5e-05	70
vol_expansion_short-btc-4H-fast50-slow200-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	BTC-USDT-SWAP	27	27	1.95174	0.343712	0.546017	0.0386516	0.138317	0.146296	0.0775702	0.001	0.001	-5e-05	61
vol_expansion_short-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	27	27	1.62241	0.438446	0.376887	0.0666386	0.173769	0.184045	0.120187	0.001	0.001	-5e-05	99
vol_expansion_short-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	27	27	3.12926	0.344564	0.732108	0.305652	0.261604	0.389977	0.337286	0.001	0.001	-5e-05	88
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	27	27	1.46989	0.381053	0.404725	-0.0140435	0.097463	0.15508	0.0927847	0.001	0.001	-5e-05	95
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	27	27	2.42165	0.348357	0.61853	0.311473	0.164204	0.361192	0.337286	0.001	0.001	-5e-05	84
vol_expansion_short-eth-4H-fast50-slow200-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	27	27	1.76743	0.356487	0.494591	0.262734	0.229357	0.314295	0.337286	0.001	0.001	-5e-05	73

Worst stressed cases

name	symbol	bar	family	fee_single_side	slippage	funding_8h	total_return	annualized_return	max_drawdown	calmar	trades	profit_factor	return_3y	return_1y	return_6m	return_3m	total_funding_return
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	-5e-05	1.46989	0.154221	0.381053	0.404725	95	1.47416	-0.0140435	0.097463	0.15508	0.0927847	-0.02565
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	0	1.5332	0.158865	0.378314	0.419929	95	1.48534	-0.00346162	0.101683	0.157753	0.0935708	0
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.0008	0.001	-5e-05	1.56506	0.161164	0.37545	0.429257	95	1.49107	0.00512213	0.105373	0.159658	0.0934078	-0.02565
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	5e-05	1.59811	0.163525	0.375564	0.435413	95	1.49652	0.00722969	0.105918	0.160431	0.0943569	0.02565
vol_expansion_short-btc-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	BTC-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	-5e-05	1.62008	0.164387	0.288516	0.569768	75	1.75941	0.0721816	0.0751235	0.149895	0.0775702	-0.0258
donchian_breakdown-eth-4H-fast20-slow80-entry55-exit20-atr14-stop_atr3.0-take_atr5.0-max_hold120	ETH-USDT-SWAP	4H	donchian_breakdown	0.001	0.001	-5e-05	1.62026	0.164553	0.327669	0.502194	123	1.43916	0.0334447	0.0118985	0.0364478	-0.000118424	-0.04425
vol_expansion_short-eth-4H-fast20-slow80-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	-5e-05	1.62241	0.165244	0.438446	0.376887	99	1.49574	0.0666386	0.173769	0.184045	0.120187	-0.02515
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.0008	0.001	0	1.63078	0.165834	0.372687	0.444968	95	1.50236	0.0159054	0.109622	0.16234	0.0941939	0
vol_expansion_short-eth-4H-fast30-slow120-entry20-exit10-atr14-stop_atr2.0-take_atr4.0-max_hold120-vol_window120-vol_quantile0.8	ETH-USDT-SWAP	4H	vol_expansion_short	0.001	0.0005	-5e-05	1.64393	0.166756	0.371319	0.449091	95	1.5049	0.0193043	0.111642	0.163591	0.0937628	-0.02565
vol_expansion_short-btc-4H-fast20-slow80-entry20-exit10-atr14-stop_atr3.0-take_atr6.0-max_hold120-vol_window120-vol_quantile0.8	BTC-USDT-SWAP	4H	vol_expansion_short	0.001	0.001	0	1.68673	0.169018	0.285372	0.592272	75	1.77963	0.0835573	0.0802285	0.152775	0.0780416	0