okx-codex-trader/reports/ultrashort/high-frequency-portfolio-observation-intent.json

{
  "created_at": "2026-05-24T16:49:49Z",
  "legs": [
    {
      "bar": "15m",
      "family": "rsi",
      "latest_candle_time": "2026-05-24T16:30:00Z",
      "latest_entry": {
        "price": 75538.6,
        "side": "short",
        "time": "2026-05-23T03:00:00Z"
      },
      "latest_exit": {
        "price": 75545.1,
        "side": "short",
        "time": "2026-05-23T04:30:00Z"
      },
      "leg": "BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0",
      "open_position": null,
      "symbol": "BTC-USDT-SWAP",
      "trade_count": 3065
    },
    {
      "bar": "15m",
      "family": "nextgen_btc_trend_eth_rsi",
      "latest_candle_time": "2026-05-24T16:30:00Z",
      "latest_entry": {
        "price": 2130.69,
        "side": "long",
        "time": "2026-05-21T23:00:00Z"
      },
      "latest_exit": {
        "price": 2132.11,
        "side": "long",
        "time": "2026-05-21T23:30:00Z"
      },
      "leg": "ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0",
      "open_position": null,
      "symbol": "ETH-USDT-SWAP",
      "trade_count": 287
    },
    {
      "bar": "15m",
      "family": "nextgen_btc_shock_guard_eth_rsi",
      "latest_candle_time": "2026-05-24T16:30:00Z",
      "latest_entry": {
        "price": 2361.24,
        "side": "long",
        "time": "2026-05-04T06:30:00Z"
      },
      "latest_exit": {
        "price": 2367.58,
        "side": "long",
        "time": "2026-05-04T07:00:00Z"
      },
      "leg": "ETH-USDT-SWAP:nextgen_btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05",
      "open_position": null,
      "symbol": "ETH-USDT-SWAP",
      "trade_count": 245
    }
  ],
  "mode": "readonly_observation_intent",
  "portfolio": "risk-3-hf00486",
  "portfolio_metrics": {
    "annualized_return": 0.1277589853319887,
    "calmar": 1.213156769475615,
    "max_drawdown": 0.1053111918810067,
    "ret_1y": 0.2293575871571369,
    "ret_3m": 0.0738744932387169,
    "ret_6m": 0.0278431582284719,
    "total_return": 1.1416618180241973,
    "trades_per_month": 46.43298551038063
  },
  "private_key_required": false,
  "risk_limits": {
    "blocked_for_live_trading": true,
    "no_cancel_submission": true,
    "no_order_submission": true,
    "reason": "high-frequency portfolio requires read-only observation before any live promotion"
  },
  "source_report": "reports/ultrashort/high-frequency-portfolio-report.md",
  "strategy_family": "cross_symbol_high_frequency_portfolio",
  "submitted_orders": 0,
  "target": {
    "active_legs": [],
    "long_unit": 0,
    "net_unit": 0,
    "short_unit": 0
  },
  "weights": {
    "BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0": 0.05370345233958788,
    "ETH-USDT-SWAP:nextgen_btc_shock_guard_eth_rsi:15m:eth-btc-shock-filter-et50-l3.0-x55.0-bt480-bm240-br0.01-sw96-sv0.01-sd0.05": 0.49448598160586454,
    "ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0": 0.4518105660545476
  }
}