short-overlay-report.md 14 KB
BTC/ETH Short Overlay Search
Run command: scripts/search_btc_eth_short_overlay_variants.py --years 10 --output-dir reports/ultrashort --prefix short-overlay
Output files:
reports/ultrashort/short-overlay-totals.csvreports/ultrashort/short-overlay-horizons.csvreports/ultrashort/short-overlay-monthly.csvreports/ultrashort/short-overlay-qualified.csvreports/ultrashort/short-overlay-summary.jsonreports/ultrashort/short-overlay-report.md
Scope: cached BTC/ETH perpetual candles only. All candidates are short-only overlays; no live OKX calls and no order submission. Costs: maker_taker=0.0021 and taker_taker=0.0030 roundtrip on margin at 3x. Candidate families: trend bounce failure, crash continuation, VWAP deviation fade, RSI overbought under downtrend, BB upper rejection, and ETH short by BTC downside.
Qualified maker_taker candidates with >=8 trades/month and positive 1y/6m/3m: 0.
Top qualified or fallback candidates
| name | family | symbol | signal_symbol | bar | trades | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| vwap_deviation_fade-btc-15m-trend96-vwap48-atr48-deviation0.007-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 288 | 3.78334 | -0.434865 | -0.0859788 | 0.469404 | -0.183166 | 0.472222 | 0.880445 | 0.787766 | -0.732141 | -0.15826 |
| rsi_overbought_downtrend-btc-15m-trend96-fast16-atr48-rsi14-entry_rsi70.0-exit_rsi45.0-stop0.006-take0.01-hold12 | rsi_overbought_downtrend | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 717 | 9.41894 | -0.713567 | -0.178771 | 0.782444 | -0.228478 | 0.391911 | 1.23797 | 0.797866 | -1.0234 | -0.164167 |
| vwap_deviation_fade-eth-15m-trend96-vwap48-atr48-deviation0.007-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 477 | 6.26616 | -0.834413 | -0.246693 | 0.840065 | -0.293659 | 0.389937 | 1.01789 | 0.65061 | -1.67942 | -0.13131 |
| vwap_deviation_fade-btc-15m-trend96-vwap48-atr48-deviation0.004-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 917 | 12.0463 | -0.852926 | -0.260632 | 0.852926 | -0.305574 | 0.466739 | 0.851725 | 0.745477 | -1.39724 | -0.324436 |
| trend_bounce_fail-btc-15m-trend96-fast16-atr48-pullback0.003-stop0.009-take0.01-hold12 | trend_bounce_fail | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 1663 | 21.8462 | -0.895623 | -0.299514 | 0.931274 | -0.321617 | 0.321106 | 1.8616 | 0.880511 | -0.861656 | -0.272836 |
| trend_bounce_fail-btc-15m-trend96-fast16-atr48-pullback0.003-stop0.006-take0.01-hold12 | trend_bounce_fail | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 1672 | 21.9644 | -0.913361 | -0.319769 | 0.917784 | -0.348414 | 0.299641 | 2.01072 | 0.860265 | -1.08656 | -0.2994 |
| bb_upper_rejection-btc-15m-trend96-bb48-atr48-std1.5-stop0.006-take0.01-hold12 | bb_upper_rejection | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 1142 | 15.002 | -0.914418 | -0.321083 | 0.916004 | -0.350526 | 0.389667 | 1.07611 | 0.68704 | -1.95905 | -0.151299 |
| bb_upper_rejection-eth-15m-trend96-bb48-atr48-std1.5-stop0.006-take0.01-hold12 | bb_upper_rejection | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 1169 | 15.3567 | -0.953211 | -0.382687 | 0.963342 | -0.397249 | 0.361848 | 1.20531 | 0.683438 | -2.08489 | -0.192716 |
| rsi_overbought_downtrend-eth-15m-trend96-fast16-atr48-rsi14-entry_rsi70.0-exit_rsi45.0-stop0.006-take0.01-hold12 | rsi_overbought_downtrend | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 873 | 11.4683 | -0.954679 | -0.385779 | 0.963905 | -0.400225 | 0.340206 | 1.27941 | 0.659697 | -2.06817 | -0.178328 |
| vwap_deviation_fade-eth-15m-trend96-vwap48-atr48-deviation0.004-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 1276 | 16.7623 | -0.968134 | -0.418932 | 0.970141 | -0.431826 | 0.437304 | 0.905933 | 0.704054 | -2.15839 | -0.20689 |
Horizon metrics for top candidate
| horizon | horizon_start | horizon_end | net_total_return | net_annualized_return | net_max_drawdown | net_calmar | trades_per_month | profit_factor | risk_reward_ratio |
|---|---|---|---|---|---|---|---|---|---|
| 1y | 2025-04-29 | 2026-04-29 | -0.0347627 | -0.0347627 | 0.0831145 | -0.418251 | 1.50103 | 0.772524 | -0.488521 |
| 3m | 2026-01-29 | 2026-04-29 | -0.00102447 | -0.00414831 | 0.039796 | -0.104239 | 3.04375 | 1.0022 | 0.00571895 |
| 3y | 2023-04-29 | 2026-04-29 | -0.0367587 | -0.0123949 | 0.12886 | -0.0961893 | 1.77737 | 0.944668 | -0.108468 |
| 6m | 2025-10-29 | 2026-04-29 | -0.0312533 | -0.0616936 | 0.0831145 | -0.742273 | 2.34135 | 0.731905 | -0.719003 |
| full | 2019-12-25 | 2026-04-29 | -0.434865 | -0.0859788 | 0.469404 | -0.183166 | 3.78334 | 0.787766 | -0.732141 |
Monthly summary
| name | family | symbol | signal_symbol | bar | positive_months | negative_months | avg_month_return | worst_month_return |
|---|---|---|---|---|---|---|---|---|
| vwap_deviation_fade-btc-15m-trend96-vwap48-atr48-deviation0.007-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 25 | 39 | -0.00682411 | -0.15826 |
| rsi_overbought_downtrend-btc-15m-trend96-fast16-atr48-rsi14-entry_rsi70.0-exit_rsi45.0-stop0.006-take0.01-hold12 | rsi_overbought_downtrend | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 30 | 47 | -0.0147138 | -0.164167 |
| vwap_deviation_fade-btc-15m-trend96-vwap48-atr48-deviation0.004-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 23 | 52 | -0.022384 | -0.324436 |
| vwap_deviation_fade-eth-15m-trend96-vwap48-atr48-deviation0.007-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 22 | 52 | -0.0224868 | -0.13131 |
| trend_bounce_fail-btc-15m-trend96-fast16-atr48-pullback0.003-stop0.009-take0.01-hold12 | trend_bounce_fail | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 28 | 49 | -0.0236999 | -0.272836 |
| trend_bounce_fail-btc-15m-trend96-fast16-atr48-pullback0.003-stop0.006-take0.01-hold12 | trend_bounce_fail | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 29 | 48 | -0.0268181 | -0.2994 |
| bb_upper_rejection-btc-15m-trend96-bb48-atr48-std1.5-stop0.006-take0.01-hold12 | bb_upper_rejection | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 24 | 53 | -0.0300729 | -0.151299 |
| bb_upper_rejection-eth-15m-trend96-bb48-atr48-std1.5-stop0.006-take0.01-hold12 | bb_upper_rejection | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 22 | 55 | -0.036759 | -0.192716 |
| rsi_overbought_downtrend-eth-15m-trend96-fast16-atr48-rsi14-entry_rsi70.0-exit_rsi45.0-stop0.006-take0.01-hold12 | rsi_overbought_downtrend | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 19 | 58 | -0.0375348 | -0.178328 |
| vwap_deviation_fade-eth-15m-trend96-vwap48-atr48-deviation0.004-exit_deviation0.001-stop0.006-take0.01-hold12 | vwap_deviation_fade | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 18 | 59 | -0.0418579 | -0.20689 |
| crash_continuation-btc-15m-trend96-lookback3-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.016-stop0.006-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 24 | 53 | -0.0480158 | -0.541707 |
| crash_continuation-btc-15m-trend96-lookback3-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.016-stop0.01-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 21 | 56 | -0.0555715 | -0.585114 |
| crash_continuation-btc-15m-trend96-lookback6-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.016-stop0.01-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 25 | 50 | -0.0558742 | -0.595083 |
| trend_bounce_fail-eth-15m-trend96-fast16-atr48-pullback0.003-stop0.009-take0.01-hold12 | trend_bounce_fail | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 24 | 53 | -0.0614349 | -0.331188 |
| crash_continuation-btc-15m-trend96-lookback6-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.016-stop0.006-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 22 | 53 | -0.0635806 | -0.460965 |
| rsi_overbought_downtrend-btc-15m-trend96-fast16-atr48-rsi14-entry_rsi60.0-exit_rsi45.0-stop0.006-take0.01-hold12 | rsi_overbought_downtrend | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 16 | 61 | -0.0637091 | -0.236867 |
| trend_bounce_fail-eth-15m-trend96-fast16-atr48-pullback0.003-stop0.006-take0.01-hold12 | trend_bounce_fail | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 20 | 57 | -0.0750625 | -0.315322 |
| crash_continuation-btc-15m-trend96-lookback3-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.01-stop0.006-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 22 | 55 | -0.0776491 | -0.5153 |
| crash_continuation-eth-15m-trend96-lookback3-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.016-stop0.01-take0.01-hold8 | crash_continuation | ETH-USDT-SWAP | ETH-USDT-SWAP | 15m | 19 | 57 | -0.0797634 | -0.703144 |
| crash_continuation-btc-15m-trend96-lookback3-break_lookback12-break_buffer0.002-exit_fast8-atr48-drop0.01-stop0.01-take0.01-hold8 | crash_continuation | BTC-USDT-SWAP | BTC-USDT-SWAP | 15m | 23 | 54 | -0.0842049 | -0.661969 |
Worst months
| name | month | start_equity | end_equity | return | cost_model | family | symbol | signal_symbol | bar |
|---|---|---|---|---|---|---|---|---|---|
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 127.237 | 6.26907 | -0.950729 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 23.8218 | 1.22517 | -0.948569 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback3-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 153.158 | 8.3599 | -0.945417 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback3-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 238.158 | 13.045 | -0.945226 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 164.267 | 9.46226 | -0.942397 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 202.204 | 12.3394 | -0.938975 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-05 | 0.512411 | 0.0321762 | -0.937206 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-05 | 0.0294095 | 0.00195589 | -0.933494 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 37.1444 | 2.47276 | -0.933428 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 288.39 | 19.2082 | -0.933395 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback3-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-05 | 0.403197 | 0.0277439 | -0.93119 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 69.1322 | 4.81489 | -0.930352 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback3-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 419.37 | 29.3394 | -0.930039 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback3-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 282.703 | 20.1023 | -0.928893 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 274.577 | 20.4849 | -0.925395 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback12-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 334.74 | 25.118 | -0.924963 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-01 | 318.523 | 24.3733 | -0.92348 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.015-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 278.036 | 21.5259 | -0.922579 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.006-take0.01-hold8 | 2021-05 | 0.166819 | 0.0131539 | -0.921149 | taker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |
| eth_by_btc_down-eth-15m-trend96-fast16-atr48-btc_trend96-btc_lookback6-eth_lookback3-btc_drop0.01-eth_max_rebound-0.002-stop0.01-take0.01-hold8 | 2021-01 | 424.427 | 34.0144 | -0.919858 | maker_taker | eth_by_btc_down | ETH-USDT-SWAP | BTC-USDT-SWAP | 15m |