executable-bidir-report.md 9.2 KB
Executable bidirectional strategy search
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_executable_bidir_variants.py --symbols ETH-USDT-SWAP BTC-USDT-SWAP --bars 15m
Execution safety: local CSV backtest only; no private API, no order submission, no commit.
Cost model: fixed roundtrip cost on margin 0.0021; leverage 3x.
Output files:
reports/ultrashort/executable-bidir-total.csvreports/ultrashort/executable-bidir-horizons.csvreports/ultrashort/executable-bidir-top.csvreports/ultrashort/executable-bidir-top.jsonreports/ultrashort/executable-bidir-report.md
Eligibility: directly liveable, supports short, no synthetic portfolio bookkeeping, at least 10 trades/month.
Decision: positive >=10 trades/month candidates found: 0.
Top executable candidates: | family | symbol | bar | name | trades_per_month | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 42.468 | -0.544348 | -0.116431 | 0.994124 | -0.117119 | 0.238875 | 3.55147 | 1.11461 | -0.547565 | -0.688547 | | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 43.4851 | -0.881902 | -0.284775 | 0.986084 | -0.288794 | 0.24534 | 3.28863 | 1.06913 | -0.894348 | -0.561012 | | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 16.7874 | -0.960082 | -0.396699 | 0.9634 | -0.411769 | 0.544393 | 0.704174 | 0.841398 | -0.996556 | -0.190729 | | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 20.7097 | -0.972734 | -0.431719 | 0.974526 | -0.443004 | 0.462121 | 0.93671 | 0.804779 | -0.998161 | -0.215344 | | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 17.5725 | -0.989463 | -0.511788 | 0.99004 | -0.516937 | 0.476475 | 0.902155 | 0.821077 | -0.999417 | -0.334309 | | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 23.045 | -0.993731 | -0.550123 | 0.993797 | -0.553556 | 0.415148 | 1.08879 | 0.772864 | -0.999934 | -0.379722 | | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 70.5524 | -0.999962 | -0.799042 | 0.999965 | -0.79907 | 0.251674 | 2.939 | 0.988432 | -0.999998 | -0.552233 | | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 72.8761 | -0.999983 | -0.821756 | 0.999991 | -0.821764 | 0.25906 | 2.71194 | 0.948193 | -0.999993 | -0.633099 | | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f8-s34-sl0.01 | 115.54 | -1 | -0.915413 | 1 | -0.915413 | 0.263517 | 2.6954 | 0.964424 | -1 | -0.646765 | | Donchian false breakout | BTC-USDT-SWAP | 15m | donchian-false-l96-r2-sl0.006-tp0.009 | 94.6056 | -1 | -0.953099 | 1 | -0.953099 | 0.394417 | 1.22472 | 0.797659 | -1 | -0.556361 | | Donchian false breakout | BTC-USDT-SWAP | 15m | donchian-false-l96-r4-sl0.006-tp0.009 | 94.6056 | -1 | -0.953099 | 1 | -0.953099 | 0.394417 | 1.22472 | 0.797659 | -1 | -0.556361 | | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f8-s34-sl0.01 | 119.303 | -1 | -0.959228 | 1 | -0.959228 | 0.263123 | 2.48809 | 0.888446 | -1 | -0.694351 | | Donchian false breakout | ETH-USDT-SWAP | 15m | donchian-false-l96-r2-sl0.006-tp0.009 | 107.666 | -1 | -0.974441 | 1 | -0.974441 | 0.389688 | 1.2346 | 0.788301 | -1 | -0.731506 | | Donchian false breakout | ETH-USDT-SWAP | 15m | donchian-false-l96-r4-sl0.006-tp0.009 | 107.666 | -1 | -0.974441 | 1 | -0.974441 | 0.389688 | 1.2346 | 0.788301 | -1 | -0.731506 | | Donchian false breakout | BTC-USDT-SWAP | 15m | donchian-false-l48-r2-sl0.006-tp0.009 | 144.262 | -1 | -0.991389 | 1 | -0.991389 | 0.402755 | 1.16592 | 0.786243 | -1 | -0.616758 |
Family leaders: | family | symbol | bar | name | trades_per_month | net_calmar | net_annualized_return | net_max_drawdown | profit_factor | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 16.7874 | -0.411769 | -0.396699 | 0.9634 | 0.841398 | | Donchian false breakout | BTC-USDT-SWAP | 15m | donchian-false-l96-r2-sl0.006-tp0.009 | 94.6056 | -0.953099 | -0.953099 | 1 | 0.797659 | | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 42.468 | -0.117119 | -0.116431 | 0.994124 | 1.11461 | | RSI2 both | ETH-USDT-SWAP | 15m | rsi2-both-t192-e10-x55-sl0.006 | 449.575 | -1 | -1 | 1 | 0.74779 | | VWAP reversion | BTC-USDT-SWAP | 15m | vwap-reversion-w96-z2-sl0.006 | 98.0834 | -0.991716 | -0.991716 | 1 | 0.756324 |
Positive but below 10 trades/month: | family | symbol | bar | name | trades_per_month | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | profit_factor | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l96-atr0.01-sl0.01-tp0.015 | 3.20216 | 0.530784 | 0.0693523 | 0.339043 | 0.204553 | 1.15463 | -0.122349 | | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l96-atr0.01-sl0.01-tp0.015 | 3.15091 | 0.190468 | 0.027731 | 0.270528 | 0.102507 | 1.0889 | -0.137824 |
Recent horizon leaders: | horizon | family | symbol | bar | name | trades_per_month | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | worst_month_return | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | full | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 42.468 | -0.544348 | -0.116431 | 0.994124 | -0.117119 | -0.688547 | | full | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 43.4851 | -0.881902 | -0.284775 | 0.986084 | -0.288794 | -0.561012 | | full | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 16.7874 | -0.960082 | -0.396699 | 0.9634 | -0.411769 | -0.190729 | | full | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 20.7097 | -0.972734 | -0.431719 | 0.974526 | -0.443004 | -0.215344 | | full | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 17.5725 | -0.989463 | -0.511788 | 0.99004 | -0.516937 | -0.334309 | | 3y | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 20.9531 | -0.785346 | -0.400968 | 0.794866 | -0.504448 | -0.189232 | | 3y | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 22.313 | -0.837006 | -0.45345 | 0.853347 | -0.531378 | -0.196521 | | 3y | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 17.484 | -0.855245 | -0.474629 | 0.867935 | -0.546848 | -0.201736 | | 3y | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 43.4048 | -0.900577 | -0.536411 | 0.971893 | -0.551923 | -0.534547 | | 3y | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 17.373 | -0.88664 | -0.515707 | 0.89379 | -0.57699 | -0.190729 | | 1y | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 18 | -0.236248 | -0.236248 | 0.364538 | -0.648076 | -0.201736 | | 1y | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 23.75 | -0.313912 | -0.313912 | 0.422588 | -0.742833 | -0.172238 | | 1y | BBMR risk-filtered | BTC-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.006-tp0.009 | 18.9167 | -0.206376 | -0.206376 | 0.276866 | -0.745401 | -0.117092 | | 1y | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 45.5 | -0.763553 | -0.763553 | 0.939355 | -0.812848 | -0.534547 | | 1y | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 68.6667 | -0.836967 | -0.836967 | 0.942814 | -0.887733 | -0.552233 | | 6m | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 45.9592 | -0.304988 | -0.517923 | 0.745901 | -0.694359 | -0.534547 | | 6m | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 45.9592 | -0.701259 | -0.911344 | 0.805632 | -1.13122 | -0.372131 | | 6m | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 70.3594 | -0.831896 | -0.972017 | 0.85149 | -1.14155 | -0.552233 | | 6m | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 67.0169 | -0.50757 | -0.758455 | 0.618875 | -1.22554 | -0.279001 | | 6m | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 18.5508 | -0.282099 | -0.485555 | 0.331369 | -1.4653 | -0.201736 | | 3m | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 40.8935 | 1.38981 | 33.2351 | 0.275028 | 120.842 | -0.0882781 | | 3m | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 67.2546 | 0.11643 | 0.563088 | 0.454966 | 1.23765 | -0.17755 | | 3m | MA cross both | BTC-USDT-SWAP | 15m | ma-cross-both-f21-s89-sl0.01 | 43.5972 | -0.261547 | -0.707601 | 0.517902 | -1.36628 | -0.284862 | | 3m | MA cross both | ETH-USDT-SWAP | 15m | ma-cross-both-f13-s55-sl0.01 | 68.6065 | -0.527518 | -0.952197 | 0.647104 | -1.47148 | -0.357393 | | 3m | BBMR risk-filtered | ETH-USDT-SWAP | 15m | bbmr-risk-t192-l48-atr0.01-sl0.01-tp0.015 | 18.9259 | -0.103745 | -0.358666 | 0.228283 | -1.57115 | -0.201736 |