high-frequency-portfolio-report.md 10 KB
Cross-symbol high-frequency portfolio ranking
Run command: rtk .venv/bin/python /home/lxy/okx-codex-trader/scripts/search_cross_symbol_high_frequency_portfolios.py --years 10.0 --max-legs-per-symbol 8 --max-leg-count 4
No exchange API, order placement, or live trading path is used. The search reads local BTC/ETH candle data and existing local strategy modules only. Primary ranking uses maker/taker roundtrip margin cost 0.21%. Taker/taker stress uses 0.30%. Funding and slippage remain excluded.
Output files:
reports/ultrashort/high-frequency-portfolio-legs.csvreports/ultrashort/high-frequency-portfolio-total.csvreports/ultrashort/high-frequency-portfolio-qualified.csvreports/ultrashort/high-frequency-portfolio-robust-survivors.csvreports/ultrashort/high-frequency-portfolio-horizon.csvreports/ultrashort/high-frequency-portfolio-monthly.csvreports/ultrashort/high-frequency-portfolio-worst-months.csvreports/ultrashort/high-frequency-portfolio-leg-contribution.csvreports/ultrashort/high-frequency-portfolio-equity.csvreports/ultrashort/high-frequency-portfolio-summary.jsonreports/ultrashort/high-frequency-portfolio-report.md
Selection target: at least 15 trades/month, max DD below 20%, and positive 1y/6m/3m return. Strict robust survivors with positive full/3y/1y/6m/3m net return and Calmar: 27.
Top portfolios: maker/taker
| cost_model | portfolio | mode | leg_count | symbols | families | total_return | annualized_return | max_drawdown | calmar | risk_reward_ratio | trades_per_month | worst_month_return | positive_month_rate | recent_positive | qualified |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| maker_taker | risk-3-hf00486 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 1.14166 | 0.127759 | 0.105311 | 1.21316 | 1.40507 | 46.433 | -0.0593464 | 0.727273 | True | True |
| maker_taker | risk-3-hf00596 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 1.04193 | 0.1193 | 0.109806 | 1.08646 | 1.28917 | 66.3911 | -0.0633495 | 0.675325 | True | True |
| maker_taker | risk-4-hf03342 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.832678 | 0.100358 | 0.10653 | 0.942065 | 1.1203 | 79.543 | -0.0533945 | 0.623377 | True | True |
| maker_taker | risk-4-hf02916 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.931325 | 0.109503 | 0.118791 | 0.921812 | 1.18875 | 88.6927 | -0.0609867 | 0.61039 | True | True |
| maker_taker | risk-2-hf00026 | risk | 2 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_trend_eth_rsi,rsi | 0.936858 | 0.110004 | 0.120273 | 0.91462 | 1.18479 | 43.2602 | -0.0585449 | 0.636364 | True | True |
| maker_taker | risk-4-hf02918 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.917624 | 0.108257 | 0.119279 | 0.907591 | 1.22791 | 59.5848 | -0.0571725 | 0.675325 | True | True |
| maker_taker | risk-4-hf03338 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.879282 | 0.104729 | 0.117404 | 0.892038 | 1.16434 | 80.7805 | -0.0556544 | 0.662338 | True | True |
| maker_taker | risk-4-hf02544 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.767126 | 0.0940486 | 0.113799 | 0.826444 | 1.03567 | 105.939 | -0.0585816 | 0.623377 | True | True |
| maker_taker | risk-4-hf02914 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.96637 | 0.112658 | 0.141234 | 0.797665 | 1.27228 | 60.8223 | -0.0574982 | 0.714286 | True | True |
| maker_taker | risk-3-hf00694 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.783139 | 0.0956078 | 0.121523 | 0.786748 | 1.05295 | 86.0333 | -0.0622439 | 0.649351 | True | True |
Qualified portfolios: maker/taker
| cost_model | portfolio | mode | leg_count | symbols | families | total_return | annualized_return | max_drawdown | calmar | trades_per_month | worst_month_return | positive_month_rate | ret_3y | ret_1y | ret_6m | ret_3m |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| maker_taker | risk-3-hf00486 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 1.14166 | 0.127759 | 0.105311 | 1.21316 | 46.433 | -0.0593464 | 0.727273 | 0.282354 | 0.229358 | 0.0278432 | 0.0738745 |
| maker_taker | risk-3-hf00596 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 1.04193 | 0.1193 | 0.109806 | 1.08646 | 66.3911 | -0.0633495 | 0.675325 | 0.252273 | 0.207706 | 0.0294639 | 0.0715634 |
| maker_taker | risk-4-hf03342 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.832678 | 0.100358 | 0.10653 | 0.942065 | 79.543 | -0.0533945 | 0.623377 | 0.209844 | 0.177323 | 0.0219322 | 0.0641178 |
| maker_taker | risk-2-hf00026 | risk | 2 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_trend_eth_rsi,rsi | 0.936858 | 0.110004 | 0.120273 | 0.91462 | 43.2602 | -0.0585449 | 0.636364 | 0.22799 | 0.233766 | 0.0404124 | 0.0875674 |
| maker_taker | risk-4-hf02916 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.931325 | 0.109503 | 0.118791 | 0.921812 | 88.6927 | -0.0609867 | 0.61039 | 0.197537 | 0.195453 | 0.0101368 | 0.0608445 |
| maker_taker | risk-4-hf02918 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.917624 | 0.108257 | 0.119279 | 0.907591 | 59.5848 | -0.0571725 | 0.675325 | 0.237397 | 0.197335 | 0.0204152 | 0.0663046 |
| maker_taker | risk-4-hf03338 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.879282 | 0.104729 | 0.117404 | 0.892038 | 80.7805 | -0.0556544 | 0.662338 | 0.252918 | 0.187447 | 0.0221538 | 0.0661107 |
| maker_taker | risk-4-hf02544 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.767126 | 0.0940486 | 0.113799 | 0.826444 | 105.939 | -0.0585816 | 0.623377 | 0.170162 | 0.184748 | 0.0311162 | 0.0837115 |
| maker_taker | risk-4-hf02914 | risk | 4 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_lead_eth_lag,nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.96637 | 0.112658 | 0.141234 | 0.797665 | 60.8223 | -0.0574982 | 0.714286 | 0.281441 | 0.207637 | 0.0206319 | 0.0682996 |
| maker_taker | risk-3-hf00694 | risk | 3 | BTC-USDT-SWAP,ETH-USDT-SWAP | nextgen_btc_shock_guard_eth_rsi,nextgen_btc_trend_eth_rsi,rsi | 0.783139 | 0.0956078 | 0.121523 | 0.786748 | 86.0333 | -0.0622439 | 0.649351 | 0.159134 | 0.171537 | 0.00022343 | 0.0530997 |
Taker/taker stress survivors
No taker/taker portfolio cleared all target filters.
Best portfolio horizons
| horizon | total_return | annualized_return | max_drawdown | calmar | win_rate | payoff_ratio | profit_factor | risk_reward_ratio | trades | trades_per_month | worst_month | worst_month_return | positive_month_rate | negative_months |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| full | 1.14166 | 0.127759 | 0.105311 | 1.21316 | 0.60533 | 0.987035 | 1.51388 | 1.40507 | 3527 | 46.433 | 2022-01 | -0.0593464 | 0.727273 | 21 |
| 3y | 0.282354 | 0.0863501 | 0.0990428 | 0.871846 | 0.571675 | 1.03546 | 1.382 | 1.03847 | 1737 | 48.239 | 2024-04 | -0.0570829 | 0.756757 | 9 |
| 1y | 0.229358 | 0.229358 | 0.068774 | 3.33495 | 0.584786 | 1.37007 | 1.9296 | 2.27189 | 631 | 52.6193 | 2025-12 | -0.0345821 | 0.769231 | 3 |
| 6m | 0.0278432 | 0.056621 | 0.0554176 | 1.02172 | 0.579805 | 0.881428 | 1.21623 | 0.624772 | 307 | 51.3424 | 2025-12 | -0.0345821 | 0.571429 | 3 |
| 3m | 0.0738745 | 0.335161 | 0.00575268 | 58.2618 | 0.685535 | 1.93926 | 4.22758 | 4.15371 | 159 | 53.7729 | 2026-01 | 0.000345528 | 1 | 0 |
Best portfolio leg contribution
| portfolio | cost_model | horizon | leg | weight | contribution_return_sum | contribution_share |
|---|---|---|---|---|---|---|
| risk-3-hf00486 | maker_taker | 1y | ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.451811 | 0.118501 | 0.561842 |
| risk-3-hf00486 | maker_taker | 1y | 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 | 0.494486 | 0.102428 | 0.485634 |
| risk-3-hf00486 | maker_taker | 1y | BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0 | 0.0537035 | -0.0100133 | -0.0474752 |
| risk-3-hf00486 | maker_taker | 3m | 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 | 0.494486 | 0.029143 | 0.404801 |
| risk-3-hf00486 | maker_taker | 3m | ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.451811 | 0.0271619 | 0.377283 |
| risk-3-hf00486 | maker_taker | 3m | BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0 | 0.0537035 | 0.0156886 | 0.217916 |
| risk-3-hf00486 | maker_taker | 6m | ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.451811 | 0.0179459 | 0.590989 |
| risk-3-hf00486 | maker_taker | 6m | 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 | 0.494486 | 0.00851999 | 0.280578 |
| risk-3-hf00486 | maker_taker | 6m | BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0 | 0.0537035 | 0.0039 | 0.128433 |
| risk-3-hf00486 | maker_taker | full | ETH-USDT-SWAP:nextgen_btc_trend_eth_rsi:15m:eth-btc-rsi-filter-et50-l3.0-x55.0-bt480-bm240-br0.0 | 0.451811 | 0.459865 | 0.585331 |
| risk-3-hf00486 | maker_taker | full | 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 | 0.494486 | 0.438777 | 0.558489 |
| risk-3-hf00486 | maker_taker | full | BTC-USDT-SWAP:rsi:15m:rsi2-both-t30-l8.0-s92.0-x50.0 | 0.0537035 | -0.112992 | -0.14382 |