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

[
  {
    "name": "eq_days30",
    "category": "equity_momentum",
    "rule": "baseline only after previous 30 closed-trade net equity days are positive",
    "first_candle": "2020-02-07",
    "last_candle": "2026-05-03",
    "years": 6.238356164383561,
    "gross_total_return": 1.3284553890265833,
    "gross_max_drawdown_mark_to_market": 0.162901649508621,
    "worst_month_return": -0.13739999999999997,
    "return_3y": 0.196180596492598,
    "return_1y": 0.07742572046922191,
    "return_6m": 0.0,
    "return_3m": 0.0,
    "trades": 36,
    "win_rate": 0.8333333333333334,
    "payoff_ratio": 0.654157740830012,
    "net_total_return": 1.1395692956373327,
    "net_annualized_return": 0.12966810032522358,
    "net_max_drawdown": 0.13739999999999997,
    "net_calmar": 0.9437270766027919,
    "risk_reward_ratio": 1.0122311632211423
  },
  {
    "name": "eq_days60",
    "category": "equity_momentum",
    "rule": "baseline only after previous 60 closed-trade net equity days are positive",
    "first_candle": "2020-02-07",
    "last_candle": "2026-05-03",
    "years": 6.238356164383561,
    "gross_total_return": 1.0134403247070891,
    "gross_max_drawdown_mark_to_market": 0.3112487164059131,
    "worst_month_return": -0.13740000000000008,
    "return_3y": 0.3080595838573601,
    "return_1y": 0.10887022711041894,
    "return_6m": 0.0,
    "return_3m": 0.0,
    "trades": 39,
    "win_rate": 0.7948717948717948,
    "payoff_ratio": 0.5924741513900127,
    "net_total_return": 0.836124389111665,
    "net_annualized_return": 0.1023084769733742,
    "net_max_drawdown": 0.25592123999999994,
    "net_calmar": 0.3997654785252456,
    "risk_reward_ratio": 0.7611894728451367
  },
  {
    "name": "eth_daily_sma200",
    "category": "eth_daily_trend",
    "rule": "baseline plus ETH daily close>SMA200",
    "first_candle": "2020-02-07",
    "last_candle": "2026-05-03",
    "years": 6.238356164383561,
    "gross_total_return": 1.0218482712190224,
    "gross_max_drawdown_mark_to_market": 0.251781552112158,
    "worst_month_return": -0.25592123999999994,
    "return_3y": 0.30306610665383404,
    "return_1y": 0.14027025716219121,
    "return_6m": 0.0,
    "return_3m": 0.0,
    "trades": 44,
    "win_rate": 0.7954545454545454,
    "payoff_ratio": 0.5107255668935062,
    "net_total_return": 0.821716512460203,
    "net_annualized_return": 0.10091735181031858,
    "net_max_drawdown": 0.25592123999999994,
    "net_calmar": 0.3943297235130566,
    "risk_reward_ratio": 0.6901087712031871
  },
  {
    "name": "btc_daily_sma200",
    "category": "btc_trend",
    "rule": "baseline plus BTC daily close>SMA200",
    "first_candle": "2020-02-07",
    "last_candle": "2026-05-03",
    "years": 6.238356164383561,
    "gross_total_return": 1.0052783624746942,
    "gross_max_drawdown_mark_to_market": 0.3055035409994984,
    "worst_month_return": -0.25592123999999994,
    "return_3y": 0.4689551573991311,
    "return_1y": 0.15472090213120726,
    "return_6m": 0.0,
    "return_3m": 0.0,
    "trades": 47,
    "win_rate": 0.8085106382978723,
    "payoff_ratio": 0.4628057096474567,
    "net_total_return": 0.7938011414097652,
    "net_annualized_return": 0.09819553630083289,
    "net_max_drawdown": 0.29840782936315635,
    "net_calmar": 0.3290648791300006,
    "risk_reward_ratio": 0.7022083029621996
  },
  {
    "name": "adx_gt25",
    "category": "trend_strength",
    "rule": "baseline plus ETH 4H ADX14>25",
    "first_candle": "2020-02-07",
    "last_candle": "2026-05-03",
    "years": 6.238356164383561,
    "gross_total_return": 1.9292868055883963,
    "gross_max_drawdown_mark_to_market": 0.19050796410983192,
    "worst_month_return": -0.13739999999999997,
    "return_3y": 0.22014807009326365,
    "return_1y": 0.14798190630829855,
    "return_6m": -0.016310999999999964,
    "return_3m": -0.016310999999999964,
    "trades": 54,
    "win_rate": 0.7962962962962963,
    "payoff_ratio": 0.6299516982547197,
    "net_total_return": 1.5788472880168283,
    "net_annualized_return": 0.16399460549449985,
    "net_max_drawdown": 0.14814143161399987,
    "net_calmar": 1.1070137753346903,
    "risk_reward_ratio": 0.9397415849908051
  }
]