mean-reversion-regime-report.md 21 KB

Mean reversion regime review

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

Output files:

  • reports/strategy-expansion/mean-reversion-regime-totals.csv
  • reports/strategy-expansion/mean-reversion-regime-horizons.csv
  • reports/strategy-expansion/mean-reversion-regime-monthly-returns.csv
  • reports/strategy-expansion/mean-reversion-regime-best.json
  • reports/strategy-expansion/mean-reversion-regime-report.md

Scope: ETH-USDT-SWAP 4H RSI2 long mean reversion from existing expansion best candidate. Cost: roundtrip taker cost on margin at 3x = 0.002400.

Baseline

name trades net_total_return net_annualized_return net_max_drawdown net_calmar win_rate payoff_ratio return_3y return_1y return_6m return_3m
baseline 71 2.18849 0.204271 0.255921 0.798177 0.788732 0.61539 0.260487 0.0532755 -0.0878527 -0.0878527

Conditions improving both 6m and 3m

name category trades net_total_return net_annualized_return net_max_drawdown net_calmar win_rate payoff_ratio return_3y return_1y return_6m return_3m rule
eq_days30 equity_momentum 36 1.13957 0.129668 0.1374 0.943727 0.833333 0.654158 0.196181 0.0774257 0 0 baseline only after previous 30 closed-trade net equity days are positive
eq_days60 equity_momentum 39 0.836124 0.102308 0.255921 0.399765 0.794872 0.592474 0.30806 0.10887 0 0 baseline only after previous 60 closed-trade net equity days are positive
eth_daily_sma200 eth_daily_trend 44 0.821717 0.100917 0.255921 0.39433 0.795455 0.510726 0.303066 0.14027 0 0 baseline plus ETH daily close>SMA200
btc_daily_sma200 btc_trend 47 0.793801 0.0981955 0.298408 0.329065 0.808511 0.462806 0.468955 0.154721 0 0 baseline plus BTC daily close>SMA200
adx_gt25 trend_strength 54 1.57885 0.163995 0.148141 1.10701 0.796296 0.629952 0.220148 0.147982 -0.016311 -0.016311 baseline plus ETH 4H ADX14>25
adx_lt25 trend_strength 18 0.347925 0.0490235 0.1374 0.356794 0.777778 0.627261 0.0330605 -0.0824982 -0.072728 -0.072728 baseline plus ETH 4H ADX14<25
eq_trades5 equity_momentum 49 0.584205 0.0765383 0.21655 0.353444 0.755102 0.541682 -0.0664252 -0.00747307 -0.072728 -0.072728 baseline only after last 5 closed net trades have positive summed return
eq_trades3 equity_momentum 50 0.424578 0.0583656 0.358158 0.162961 0.76 0.470417 0.0859118 0.082098 -0.072728 -0.072728 baseline only after last 3 closed net trades have positive summed return
adx_lt20 trend_strength 10 0.0383035 0.00604352 0.1374 0.0439849 0.7 0.529668 0.00916513 -0.0609767 -0.072728 -0.072728 baseline plus ETH 4H ADX14<20

All regime tests

name category trades net_total_return net_annualized_return net_max_drawdown net_calmar win_rate payoff_ratio return_3y return_1y return_6m return_3m worst_month_return
eq_days30 equity_momentum 36 1.13957 0.129668 0.1374 0.943727 0.833333 0.654158 0.196181 0.0774257 0 0 -0.1374
eq_days60 equity_momentum 39 0.836124 0.102308 0.255921 0.399765 0.794872 0.592474 0.30806 0.10887 0 0 -0.1374
eth_daily_sma200 eth_daily_trend 44 0.821717 0.100917 0.255921 0.39433 0.795455 0.510726 0.303066 0.14027 0 0 -0.255921
btc_daily_sma200 btc_trend 47 0.793801 0.0981955 0.298408 0.329065 0.808511 0.462806 0.468955 0.154721 0 0 -0.255921
adx_gt25 trend_strength 54 1.57885 0.163995 0.148141 1.10701 0.796296 0.629952 0.220148 0.147982 -0.016311 -0.016311 -0.1374
adx_lt25 trend_strength 18 0.347925 0.0490235 0.1374 0.356794 0.777778 0.627261 0.0330605 -0.0824982 -0.072728 -0.072728 -0.1374
eq_trades5 equity_momentum 49 0.584205 0.0765383 0.21655 0.353444 0.755102 0.541682 -0.0664252 -0.00747307 -0.072728 -0.072728 -0.1374
eq_trades3 equity_momentum 50 0.424578 0.0583656 0.358158 0.162961 0.76 0.470417 0.0859118 0.082098 -0.072728 -0.072728 -0.255921
adx_lt20 trend_strength 10 0.0383035 0.00604352 0.1374 0.0439849 0.7 0.529668 0.00916513 -0.0609767 -0.072728 -0.072728 -0.1374
baseline baseline 71 2.18849 0.204271 0.255921 0.798177 0.788732 0.61539 0.260487 0.0532755 -0.0878527 -0.0878527 -0.255921
btc_4h_mom24 btc_trend 61 1.80648 0.179885 0.255921 0.702892 0.786885 0.603357 0.168833 0.0579944 -0.0878527 -0.0878527 -0.255921
eth_daily_mom20 eth_daily_trend 55 1.68224 0.171352 0.265187 0.646158 0.781818 0.725481 0.35879 -0.0263416 -0.0878527 -0.0878527 -0.255921
btc_4h_sma400 btc_trend 59 1.53254 0.160618 0.255921 0.627608 0.79661 0.588927 0.415068 -0.00643609 -0.0878527 -0.0878527 -0.255921
eth_daily_sma50 eth_daily_trend 57 1.30668 0.143369 0.255921 0.560208 0.789474 0.58213 0.224773 0.0255378 -0.0878527 -0.0878527 -0.255921
eth_daily_sma100 eth_daily_trend 55 1.21913 0.136299 0.255921 0.532582 0.781818 0.59493 0.129451 0.0532755 -0.0878527 -0.0878527 -0.255921
btc_daily_sma100 btc_trend 54 1.20706 0.135306 0.255921 0.528702 0.777778 0.606705 0.364548 0.0532755 -0.0878527 -0.0878527 -0.255921
vol_q60 volatility 63 1.33953 0.145964 0.298408 0.489142 0.777778 0.565753 0.213596 0.0532755 -0.0878527 -0.0878527 -0.255921
vol_q50 volatility 57 1.02794 0.120006 0.298408 0.402155 0.77193 0.546825 0.153067 0.0644479 -0.0878527 -0.0878527 -0.255921

Horizon metrics

name horizon horizon_start horizon_end net_total_return net_annualized_return net_max_drawdown net_calmar trades win_rate payoff_ratio
adx_gt25 full 2020-02-07 2026-05-03 1.57885 0.163995 0.148141 1.10701 54 0.796296 0.629952
adx_gt25 3y 2023-05-03 2026-05-03 0.220148 0.0685083 0.1374 0.498605 22 0.772727 0.48817
adx_gt25 1y 2025-05-03 2026-05-03 0.147982 0.147982 0.022879 6.46802 7 0.714286 1.8499
adx_gt25 6m 2025-11-03 2026-05-03 -0.016311 -0.0326197 0.016311 -1.99986 1 0 0
adx_gt25 3m 2026-02-03 2026-05-03 -0.016311 -0.0652209 0.016311 -3.99858 1 0 0
adx_lt20 full 2020-02-07 2026-05-03 0.0383035 0.00604352 0.1374 0.0439849 10 0.7 0.529668
adx_lt20 3y 2023-05-03 2026-05-03 0.00916513 0.00304297 0.072728 0.0418405 5 0.6 0.763321
adx_lt20 1y 2025-05-03 2026-05-03 -0.0609767 -0.0609767 0.072728 -0.838421 2 0.5 0.174252
adx_lt20 6m 2025-11-03 2026-05-03 -0.072728 -0.141242 0.072728 -1.94206 1 0 0
adx_lt20 3m 2026-02-03 2026-05-03 -0.072728 -0.26631 0.072728 -3.66173 1 0 0
adx_lt25 full 2020-02-07 2026-05-03 0.347925 0.0490235 0.1374 0.356794 18 0.777778 0.627261
adx_lt25 3y 2023-05-03 2026-05-03 0.0330605 0.0108909 0.0939801 0.115885 9 0.666667 0.645266
adx_lt25 1y 2025-05-03 2026-05-03 -0.0824982 -0.0824982 0.0939801 -0.877825 3 0.333333 0.264995
adx_lt25 6m 2025-11-03 2026-05-03 -0.072728 -0.141242 0.072728 -1.94206 1 0 0
adx_lt25 3m 2026-02-03 2026-05-03 -0.072728 -0.26631 0.072728 -3.66173 1 0 0
baseline full 2020-02-07 2026-05-03 2.18849 0.204271 0.255921 0.798177 71 0.788732 0.61539
baseline 3y 2023-05-03 2026-05-03 0.260487 0.0801453 0.1374 0.583299 31 0.741935 0.541526
baseline 1y 2025-05-03 2026-05-03 0.0532755 0.0532755 0.0878527 0.606418 10 0.6 0.958772
baseline 6m 2025-11-03 2026-05-03 -0.0878527 -0.169254 0.0878527 -1.92657 2 0 0
baseline 3m 2026-02-03 2026-05-03 -0.0878527 -0.314162 0.0878527 -3.57601 2 0 0
btc_daily_sma200 full 2020-02-07 2026-05-03 0.793801 0.0981955 0.298408 0.329065 47 0.808511 0.462806
btc_daily_sma200 3y 2023-05-03 2026-05-03 0.468955 0.136629 0.146454 0.932915 23 0.826087 0.59344
btc_daily_sma200 1y 2025-05-03 2026-05-03 0.154721 0.154721 0.022919 6.75077 8 0.75 1.41139
btc_daily_sma200 6m 2025-11-03 2026-05-03 0 0 0 0 0 0 0
btc_daily_sma200 3m 2026-02-03 2026-05-03 0 0 0 0 0 0 0
eq_days30 full 2020-02-07 2026-05-03 1.13957 0.129668 0.1374 0.943727 36 0.833333 0.654158
eq_days30 3y 2023-05-03 2026-05-03 0.196181 0.0614721 0.1374 0.447395 13 0.846154 0.405393
eq_days30 1y 2025-05-03 2026-05-03 0.0774257 0.0774257 0.022919 3.37823 4 0.75 1.45357
eq_days30 6m 2025-11-03 2026-05-03 0 0 0 0 0 0 0
eq_days30 3m 2026-02-03 2026-05-03 0 0 0 0 0 0 0
eq_days60 full 2020-02-07 2026-05-03 0.836124 0.102308 0.255921 0.399765 39 0.794872 0.592474
eq_days60 3y 2023-05-03 2026-05-03 0.30806 0.0935543 0.146454 0.638798 17 0.823529 0.552782
eq_days60 1y 2025-05-03 2026-05-03 0.10887 0.10887 0.022919 4.75022 7 0.714286 1.33253
eq_days60 6m 2025-11-03 2026-05-03 0 0 0 0 0 0 0
eq_days60 3m 2026-02-03 2026-05-03 0 0 0 0 0 0 0
eq_trades3 full 2020-02-07 2026-05-03 0.424578 0.0583656 0.358158 0.162961 50 0.76 0.470417
eq_trades3 3y 2023-05-03 2026-05-03 0.0859118 0.0278284 0.142914 0.194722 21 0.761905 0.402079
eq_trades3 1y 2025-05-03 2026-05-03 0.082098 0.082098 0.072728 1.12884 7 0.714286 0.75797
eq_trades3 6m 2025-11-03 2026-05-03 -0.072728 -0.141242 0.072728 -1.94206 1 0 0
eq_trades3 3m 2026-02-03 2026-05-03 -0.072728 -0.26631 0.072728 -3.66173 1 0 0
eq_trades5 full 2020-02-07 2026-05-03 0.584205 0.0765383 0.21655 0.353444 49 0.755102 0.541682
eq_trades5 3y 2023-05-03 2026-05-03 -0.0664252 -0.0226305 0.21655 -0.104505 20 0.7 0.396348
eq_trades5 1y 2025-05-03 2026-05-03 -0.00747307 -0.00747307 0.072728 -0.102754 6 0.666667 0.482739
eq_trades5 6m 2025-11-03 2026-05-03 -0.072728 -0.141242 0.072728 -1.94206 1 0 0
eq_trades5 3m 2026-02-03 2026-05-03 -0.072728 -0.26631 0.072728 -3.66173 1 0 0
eth_daily_sma200 full 2020-02-07 2026-05-03 0.821717 0.100917 0.255921 0.39433 44 0.795455 0.510726
eth_daily_sma200 3y 2023-05-03 2026-05-03 0.303066 0.0921623 0.157135 0.586515 19 0.789474 0.606509
eth_daily_sma200 1y 2025-05-03 2026-05-03 0.14027 0.14027 0.022919 6.12026 7 0.714286 1.58299
eth_daily_sma200 6m 2025-11-03 2026-05-03 0 0 0 0 0 0 0
eth_daily_sma200 3m 2026-02-03 2026-05-03 0 0 0 0 0 0 0

Monthly returns

name month return start_equity end_equity
eq_trades3 2024-02 0 12899.3 12899.3
eq_trades3 2024-03 0.0636581 12899.3 13720.5
eq_trades3 2024-04 0 13720.5 13720.5
eq_trades3 2024-05 0.065696 13720.5 14621.9
eq_trades3 2024-06 0.0504907 14621.9 15360.1
eq_trades3 2024-07 0 15360.1 15360.1
eq_trades3 2024-08 0 15360.1 15360.1
eq_trades3 2024-09 -0.1374 15360.1 13249.7
eq_trades3 2024-10 0.070957 13249.7 14189.8
eq_trades3 2024-11 0.038638 14189.8 14738.1
eq_trades3 2024-12 0.0355461 14738.1 15262
eq_trades3 2025-01 -0.1374 15262 13165
eq_trades3 2025-02 0 13165 13165
eq_trades3 2025-03 0 13165 13165
eq_trades3 2025-04 0 13165 13165
eq_trades3 2025-05 0 13165 13165
eq_trades3 2025-06 0 13165 13165
eq_trades3 2025-07 0.104062 13165 14534.9
eq_trades3 2025-08 0 14534.9 14534.9
eq_trades3 2025-09 0.0291427 14534.9 14958.5
eq_trades3 2025-10 0.027047 14958.5 15363.1
eq_trades3 2025-11 0 15363.1 15363.1
eq_trades3 2025-12 0 15363.1 15363.1
eq_trades3 2026-01 0 15363.1 15363.1
eq_trades3 2026-02 0 15363.1 15363.1
eq_trades3 2026-03 0 15363.1 15363.1
eq_trades3 2026-04 -0.072728 15363.1 14245.8
eq_trades3 2026-05 0 14245.8 14245.8
eq_trades5 2020-02 0 10000 10000
eq_trades5 2020-03 0 10000 10000
eq_trades5 2020-04 0 10000 10000
eq_trades5 2020-05 0 10000 10000
eq_trades5 2020-06 0 10000 10000
eq_trades5 2020-07 0 10000 10000
eq_trades5 2020-08 0.00122903 10000 10012.3
eq_trades5 2020-09 0 10012.3 10012.3
eq_trades5 2020-10 0.131183 10012.3 11325.7
eq_trades5 2020-11 0.014521 11325.7 11490.2
eq_trades5 2020-12 0.0939489 11490.2 12569.7
eq_trades5 2021-01 0.041042 12569.7 13085.6
eq_trades5 2021-02 -0.1374 13085.6 11287.6
eq_trades5 2021-03 0.0930911 11287.6 12338.4
eq_trades5 2021-04 0 12338.4 12338.4
eq_trades5 2021-05 0 12338.4 12338.4
eq_trades5 2021-06 0 12338.4 12338.4
eq_trades5 2021-07 0 12338.4 12338.4
eq_trades5 2021-08 0.14485 12338.4 14125.6
eq_trades5 2021-09 -0.1374 14125.6 12184.7
eq_trades5 2021-10 0 12184.7 12184.7
eq_trades5 2021-11 0.050961 12184.7 12805.7
eq_trades5 2021-12 0 12805.7 12805.7
eq_trades5 2022-01 0 12805.7 12805.7
eq_trades5 2022-02 0.061134 12805.7 13588.6
eq_trades5 2022-03 3.2e-05 13588.6 13589
eq_trades5 2022-04 0 13589 13589
eq_trades5 2022-05 0 13589 13589
eq_trades5 2022-06 0 13589 13589
eq_trades5 2022-07 0 13589 13589
eq_trades5 2022-08 0.0873844 13589 14776.5
eq_trades5 2022-09 0.052335 14776.5 15549.8
eq_trades5 2022-10 0.032426 15549.8 16054
eq_trades5 2022-11 -0.00366603 16054 15995.2
eq_trades5 2022-12 -0.025034 15995.2 15594.7
eq_trades5 2023-01 0.039397 15594.7 16209.1
eq_trades5 2023-02 -0.0163535 16209.1 15944
eq_trades5 2023-03 0 15944 15944
eq_trades5 2023-04 0.0642993 15944 16969.2
eq_trades5 2023-05 0 16969.2 16969.2
eq_trades5 2023-06 0 16969.2 16969.2
eq_trades5 2023-07 0 16969.2 16969.2
eq_trades5 2023-08 0 16969.2 16969.2
eq_trades5 2023-09 -0.041963 16969.2 16257.1
eq_trades5 2023-10 0.012847 16257.1 16466
eq_trades5 2023-11 -0.04224 16466 15770.5
eq_trades5 2023-12 0 15770.5 15770.5
eq_trades5 2024-01 0 15770.5 15770.5
eq_trades5 2024-02 0 15770.5 15770.5
eq_trades5 2024-03 0.0636581 15770.5 16774.4
eq_trades5 2024-04 0 16774.4 16774.4
eq_trades5 2024-05 0.065696 16774.4 17876.4
eq_trades5 2024-06 0.0504907 17876.4 18779
eq_trades5 2024-07 0 18779 18779
eq_trades5 2024-08 0 18779 18779
eq_trades5 2024-09 -0.122933 18779 16470.4
eq_trades5 2024-10 0 16470.4 16470.4
eq_trades5 2024-11 0 16470.4 16470.4
eq_trades5 2024-12 0.0355461 16470.4 17055.9
eq_trades5 2025-01 -0.1374 17055.9 14712.4
eq_trades5 2025-02 0 14712.4 14712.4
eq_trades5 2025-03 0 14712.4 14712.4
eq_trades5 2025-04 0.084888 14712.4 15961.3
eq_trades5 2025-05 0.012673 15961.3 16163.6
eq_trades5 2025-06 0 16163.6 16163.6
eq_trades5 2025-07 0 16163.6 16163.6
eq_trades5 2025-08 0 16163.6 16163.6
eq_trades5 2025-09 0.0291427 16163.6 16634.7
eq_trades5 2025-10 0.027047 16634.7 17084.6
eq_trades5 2025-11 0 17084.6 17084.6
eq_trades5 2025-12 0 17084.6 17084.6
eq_trades5 2026-01 0 17084.6 17084.6
eq_trades5 2026-02 0 17084.6 17084.6
eq_trades5 2026-03 0 17084.6 17084.6
eq_trades5 2026-04 -0.072728 17084.6 15842
eq_trades5 2026-05 0 15842 15842
eth_daily_sma200 2020-02 0 10000 10000
eth_daily_sma200 2020-03 0 10000 10000
eth_daily_sma200 2020-04 0 10000 10000
eth_daily_sma200 2020-05 0 10000 10000
eth_daily_sma200 2020-06 0 10000 10000
eth_daily_sma200 2020-07 0 10000 10000
eth_daily_sma200 2020-08 0.00122903 10000 10012.3
eth_daily_sma200 2020-09 0 10012.3 10012.3
eth_daily_sma200 2020-10 0.131183 10012.3 11325.7
eth_daily_sma200 2020-11 0.014521 11325.7 11490.2
eth_daily_sma200 2020-12 0.0939489 11490.2 12569.7
eth_daily_sma200 2021-01 0.041042 12569.7 13085.6
eth_daily_sma200 2021-02 -0.1374 13085.6 11287.6
eth_daily_sma200 2021-03 0.0930911 11287.6 12338.4
eth_daily_sma200 2021-04 0 12338.4 12338.4
eth_daily_sma200 2021-05 0 12338.4 12338.4
eth_daily_sma200 2021-06 0 12338.4 12338.4
eth_daily_sma200 2021-07 0 12338.4 12338.4
eth_daily_sma200 2021-08 0.14485 12338.4 14125.6
eth_daily_sma200 2021-09 -0.255921 14125.6 10510.6
eth_daily_sma200 2021-10 0.129442 10510.6 11871.1
eth_daily_sma200 2021-11 0.0738888 11871.1 12748.2
eth_daily_sma200 2021-12 0 12748.2 12748.2
eth_daily_sma200 2022-01 0 12748.2 12748.2
eth_daily_sma200 2022-02 0 12748.2 12748.2
eth_daily_sma200 2022-03 0 12748.2 12748.2
eth_daily_sma200 2022-04 0 12748.2 12748.2
eth_daily_sma200 2022-05 0 12748.2 12748.2
eth_daily_sma200 2022-06 0 12748.2 12748.2
eth_daily_sma200 2022-07 0 12748.2 12748.2
eth_daily_sma200 2022-08 0 12748.2 12748.2
eth_daily_sma200 2022-09 0 12748.2 12748.2
eth_daily_sma200 2022-10 0 12748.2 12748.2
eth_daily_sma200 2022-11 0 12748.2 12748.2
eth_daily_sma200 2022-12 0 12748.2 12748.2
eth_daily_sma200 2023-01 0.039397 12748.2 13250.5
eth_daily_sma200 2023-02 -0.0163535 13250.5 13033.8
eth_daily_sma200 2023-03 0 13033.8 13033.8
eth_daily_sma200 2023-04 0.0726168 13033.8 13980.2
eth_daily_sma200 2023-05 0 13980.2 13980.2
eth_daily_sma200 2023-06 0 13980.2 13980.2
eth_daily_sma200 2023-07 0 13980.2 13980.2
eth_daily_sma200 2023-08 0 13980.2 13980.2
eth_daily_sma200 2023-09 0 13980.2 13980.2
eth_daily_sma200 2023-10 0 13980.2 13980.2
eth_daily_sma200 2023-11 -0.04224 13980.2 13389.7
eth_daily_sma200 2023-12 0 13389.7 13389.7
eth_daily_sma200 2024-01 0.011475 13389.7 13543.4
eth_daily_sma200 2024-02 0.067766 13543.4 14461.1
eth_daily_sma200 2024-03 0.0636581 14461.1 15381.7
eth_daily_sma200 2024-04 0 15381.7 15381.7
eth_daily_sma200 2024-05 0.065696 15381.7 16392.2
eth_daily_sma200 2024-06 0.0504907 16392.2 17219.9
eth_daily_sma200 2024-07 0 17219.9 17219.9
eth_daily_sma200 2024-08 0 17219.9 17219.9
eth_daily_sma200 2024-09 0 17219.9 17219.9
eth_daily_sma200 2024-10 0 17219.9 17219.9
eth_daily_sma200 2024-11 0.038638 17219.9 17885.2
eth_daily_sma200 2024-12 0.0355461 17885.2 18521
eth_daily_sma200 2025-01 -0.1374 18521 15976.2
eth_daily_sma200 2025-02 0 15976.2 15976.2
eth_daily_sma200 2025-03 0 15976.2 15976.2
eth_daily_sma200 2025-04 0 15976.2 15976.2
eth_daily_sma200 2025-05 0 15976.2 15976.2
eth_daily_sma200 2025-06 0 15976.2 15976.2
eth_daily_sma200 2025-07 0.0788023 15976.2 17235.1
eth_daily_sma200 2025-08 0 17235.1 17235.1
eth_daily_sma200 2025-09 0.0291427 17235.1 17737.4
eth_daily_sma200 2025-10 0.027047 17737.4 18217.2
eth_daily_sma200 2025-11 0 18217.2 18217.2
eth_daily_sma200 2025-12 0 18217.2 18217.2
eth_daily_sma200 2026-01 0 18217.2 18217.2
eth_daily_sma200 2026-02 0 18217.2 18217.2
eth_daily_sma200 2026-03 0 18217.2 18217.2
eth_daily_sma200 2026-04 0 18217.2 18217.2
eth_daily_sma200 2026-05 0 18217.2 18217.2