okx-codex-trader/reports/strategy-expansion/mean-reversion-best.json

[
  {
    "name": "ETH-USDT-SWAP-4H-rsi-long-r2-8-55-bb20-2-kc1.5-sq8-vw24-vq240-0.75-bt200-bm12-0-mid0-mh24-sl0.045-cd6",
    "symbol": "ETH-USDT-SWAP",
    "bar": "4H",
    "family": "rsi",
    "eligible_sample": true,
    "roundtrip_cost_on_margin": 0.0024000000000000002,
    "first_candle": "2020-02-07 00:00",
    "last_candle": "2026-05-03 12:00",
    "years": 6.239726027397261,
    "gross_total_return": 2.7707398470130693,
    "gross_max_drawdown_mark_to_market": 0.2517815521121581,
    "worst_month_return": -0.25592123999999994,
    "return_3y": 0.2604868279238457,
    "return_1y": 0.05327551434316069,
    "return_6m": -0.08785273359199985,
    "return_3m": -0.08785273359199985,
    "side_mode": "long",
    "rsi_length": 2,
    "rsi_entry": 8.0,
    "rsi_exit": 55.0,
    "bb_length": 20,
    "bb_mult": 2.0,
    "kc_mult": 1.5,
    "squeeze_lookback": 8,
    "vol_lookback": 24,
    "vol_quantile_lookback": 240,
    "vol_quantile": 0.75,
    "btc_trend_sma": 200,
    "btc_momentum_lookback": 12,
    "btc_min_momentum": 0.0,
    "exit_midline": false,
    "max_hold_bars": 24,
    "stop_loss_pct": 0.045,
    "cooldown_bars": 6,
    "trades": 71,
    "win_rate": 0.7887323943661971,
    "payoff_ratio": 0.6153904637693438,
    "net_total_return": 2.188492617118884,
    "net_annualized_return": 0.2042705238524556,
    "net_max_drawdown": 0.25592123999999994,
    "net_calmar": 0.7981772980330027,
    "risk_reward_ratio": 1.0291811792055638,
    "eligible_candidate": true
  },
  {
    "name": "ETH-USDT-SWAP-4H-rsi-long-r2-8-55-bb20-2-kc1.5-sq8-vw24-vq240-0.75-bt100-bm12-0-mid0-mh24-sl0.045-cd6",
    "symbol": "ETH-USDT-SWAP",
    "bar": "4H",
    "family": "rsi",
    "eligible_sample": true,
    "roundtrip_cost_on_margin": 0.0024000000000000002,
    "first_candle": "2020-02-07 00:00",
    "last_candle": "2026-05-03 12:00",
    "years": 6.239726027397261,
    "gross_total_return": 2.274934713432463,
    "gross_max_drawdown_mark_to_market": 0.2648168118570985,
    "worst_month_return": -0.1589529235999999,
    "return_3y": 0.32603045603100567,
    "return_1y": 0.04884387089017772,
    "return_6m": -0.058729695670125315,
    "return_3m": -0.058729695670125315,
    "side_mode": "long",
    "rsi_length": 2,
    "rsi_entry": 8.0,
    "rsi_exit": 55.0,
    "bb_length": 20,
    "bb_mult": 2.0,
    "kc_mult": 1.5,
    "squeeze_lookback": 8,
    "vol_lookback": 24,
    "vol_quantile_lookback": 240,
    "vol_quantile": 0.75,
    "btc_trend_sma": 100,
    "btc_momentum_lookback": 12,
    "btc_min_momentum": 0.0,
    "exit_midline": false,
    "max_hold_bars": 24,
    "stop_loss_pct": 0.045,
    "cooldown_bars": 6,
    "trades": 76,
    "win_rate": 0.7631578947368421,
    "payoff_ratio": 0.6146800370532696,
    "net_total_return": 1.7351692388239304,
    "net_annualized_return": 0.1750273432553342,
    "net_max_drawdown": 0.23013622206463435,
    "net_calmar": 0.7605380052088337,
    "risk_reward_ratio": 0.8790930349159388,
    "eligible_candidate": true
  },
  {
    "name": "ETH-USDT-SWAP-1H-rsi-long-r4-12-55-bb20-2-kc1.5-sq8-vw24-vq240-0.75-bt200-bm24-0-mid0-mh48-sl0.045-cd12",
    "symbol": "ETH-USDT-SWAP",
    "bar": "1H",
    "family": "rsi",
    "eligible_sample": true,
    "roundtrip_cost_on_margin": 0.0024000000000000002,
    "first_candle": "2020-01-05 00:00",
    "last_candle": "2026-05-03 15:00",
    "years": 6.330479452054795,
    "gross_total_return": 0.9990854290711737,
    "gross_max_drawdown_mark_to_market": 0.15094435273908302,
    "worst_month_return": -0.13739999999999986,
    "return_3y": 0.1748474300485825,
    "return_1y": 0.028482441189843888,
    "return_6m": 0.0405939026865072,
    "return_3m": -0.02016687227200009,
    "side_mode": "long",
    "rsi_length": 4,
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    "rsi_exit": 55.0,
    "bb_length": 20,
    "bb_mult": 2.0,
    "kc_mult": 1.5,
    "squeeze_lookback": 8,
    "vol_lookback": 24,
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    "vol_quantile": 0.75,
    "btc_trend_sma": 200,
    "btc_momentum_lookback": 24,
    "btc_min_momentum": 0.0,
    "exit_midline": false,
    "max_hold_bars": 48,
    "stop_loss_pct": 0.045,
    "cooldown_bars": 12,
    "trades": 40,
    "win_rate": 0.85,
    "payoff_ratio": 0.491217258917311,
    "net_total_return": 0.8186983323339461,
    "net_annualized_return": 0.09911828947218981,
    "net_max_drawdown": 0.13739999999999994,
    "net_calmar": 0.7213849306564036,
    "risk_reward_ratio": 0.8253992811631978,
    "eligible_candidate": true
  }
]