ADX-Filtered DI Cross (14, 20)
Positive risk-adjusted return in 10 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.26); 8 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 433.6pp on average.
§ Verdict rationale
Composite Sharpe 0.26 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.26); 8 of 18 cells are negative after the 0.05% per-side fee. Trails buy-and-hold on average. The account is wiped out entirely in 2 of 18 cells — the fee drag alone, before any question of signal quality.
§ Alpha score breakdown
alpha = edge (0-40: clamp(compositeSharpe/2,0,1)*40) + stability (0-25: positiveCells/18*25) + flaw penalty (0 to -25: static findings, 0 across v1 catalog) + reproduction (0-10: engine oracle parity vs pine2py, 251/257 scripts = 9)
§ Equity vs buy-and-hold — fee-adjusted, per cell
§ All 18 cells — including the ugly ones
| Market · TF | Sharpe | Return | vs B&H | Max DD | Win | Trades |
|---|---|---|---|---|---|---|
| BTCUSD 1H | -1.64 | -100.0% | -1509.0pp | -100.0% | 28% | 1286 |
| BTCUSD 4H | 0.54 | +301.8% | -1092.9pp | -41.5% | 30% | 333 |
| BTCUSD 1D | 0.57 | +344.7% | -1058.4pp | -54.8% | 29% | 51 |
| ETHUSD 1H | -1.18 | -100.0% | -635.8pp | -100.0% | 28% | 1268 |
| ETHUSD 4H | 0.38 | +145.9% | -376.7pp | -55.6% | 29% | 316 |
| ETHUSD 1D | 0.35 | +123.6% | -407.5pp | -77.5% | 28% | 60 |
| SPX500 1H | 0.19 | +3.4% | -69.3pp | -10.3% | 41% | 100 |
| SPX500 4H | 1.26 | +23.1% | -49.6pp | -7.8% | 59% | 27 |
| SPX500 1D | 0.55 | +58.9% | -530.5pp | -10.5% | 47% | 68 |
| QQQ 1H | -0.22 | -7.6% | -100.5pp | -20.9% | 36% | 105 |
| QQQ 4H | 1.23 | +33.3% | -59.5pp | -8.5% | 63% | 32 |
| QQQ 1D | 0.32 | +35.5% | -1398.1pp | -23.4% | 45% | 60 |
| GOLD 1H | 0.95 | +39.7% | -83.4pp | -16.3% | 38% | 107 |
| GOLD 4H | 0.00 | -1.8% | -124.9pp | -24.5% | 32% | 25 |
| GOLD 1D | -0.34 | -27.7% | -247.8pp | -31.1% | 32% | 53 |
| EURUSD 1H | -3.26 | -30.5% | -39.7pp | -31.9% | 29% | 306 |
| EURUSD 4H | -0.64 | -6.3% | -14.6pp | -7.9% | 27% | 70 |
| EURUSD 1D | -0.59 | -23.6% | -5.8pp | -26.5% | 26% | 53 |
10 of 18 cells positive · best SPX500 · 4H · cells are not equal length — the composite is a median
§ The exact source that ran — Pine v5
//@version=5strategy("ADX-Filtered DI Cross (14, 20)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)[diPlus, diMinus, adx] = ta.dmi(14, 14)longSig = ta.crossover(diPlus, diMinus) and adx > 20exitSig = ta.crossunder(diPlus, diMinus)if longSig strategy.entry("L", strategy.long)if exitSig strategy.close("L")plot(strategy.equity, "equity")plot(strategy.position_size, "pos")plot(strategy.closedtrades, "closed")plot(strategy.wintrades, "wins")plot(strategy.grossprofit, "gp")plot(strategy.grossloss, "gl")This source was executed verbatim by the wavealgo JS engine — there is no port step to drift. The engine is oracle-verified bar-by-bar (1e-9 tolerance) against an independent Python implementation on 251/257 corpus scripts.
§ Flaw checklist
Verdict rules: pass: composite Sharpe >= 0.9 and >= 12/18 cells positive · cond: composite Sharpe > 0 and best cell Sharpe >= 0.9 · fail: otherwise · rep: static repaint/look-ahead finding (none in the authored v1 catalog: confirmed-bar signals, next-bar-open fills)
§ What the numbers mean
- Sharpe ratio
- Risk-adjusted return: mean daily return divided by its standard deviation, annualized ×√252. The composite figure is the mean of the 18 cell Sharpes — one bad market drags it honestly.
- Max drawdown
- The worst peak-to-trough equity loss over the window, measured on the fee-adjusted curve. What you would have sat through, not what you would have ended with.
- Profit factor (PF)
- Gross profit divided by gross loss, with fees charged to the loss side. Above 1.0 means gross gains exceeded gross losses; 1.0–1.2 is usually noise.
- Win rate
- Share of closed trades that closed profitable. A high win rate with a profit factor near 1 means many small wins and a few large losses — common in mean-reversion.
- vs buy-and-hold
- Strategy total return minus the return of simply holding the asset over the same window — the benchmark any active strategy must beat to justify existing.
- Alpha score
- The desk’s 0–100 composite: out-of-sample edge (0–40), regime stability across cells (0–25), flaw penalty (0 to −25), reproduction accuracy (0–10). The exact formula ships with the data.
Bring your own. We grade it the same.
Engine: pine2js (next-bar-open fills, TV rule) · scored UTC 2026-08-08 04:53 · deterministic rerun — same data, same numbers. Backtested results are measurements of the past, not investment advice; nothing here is a recommendation to trade. wavealgo is operated by Streamize LLC.