ADX-Filtered DI Cross (14, 20)
Positive risk-adjusted return in 10 of 18 cells — strongest on QQQ · 4H (Sharpe 1.25); 8 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 190.2pp; none of the 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.26 across 18 cells. The edge concentrates in QQQ 4H (Sharpe 1.25); 8 of 18 cells are negative after the 0.05% per-side fee.
§ 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 | -0.52 | -86.3% | -1467.6pp | -88.4% | 28% | 1288 |
| BTCUSD 4H | 0.56 | +331.7% | -1035.6pp | -41.5% | 30% | 333 |
| BTCUSD 1D | 0.57 | +345.3% | -1044.2pp | -54.8% | 29% | 51 |
| ETHUSD 1H | -0.13 | -67.5% | -595.7pp | -74.5% | 28% | 1271 |
| ETHUSD 4H | 0.40 | +156.9% | -358.3pp | -53.3% | 29% | 317 |
| ETHUSD 1D | 0.35 | +122.7% | -404.6pp | -77.5% | 28% | 60 |
| SPX500 1H | 0.18 | +3.0% | -69.3pp | -10.8% | 42% | 96 |
| SPX500 4H | 1.23 | +22.3% | -49.3pp | -7.7% | 61% | 28 |
| SPX500 1D | 0.52 | +54.4% | -528.9pp | -10.5% | 48% | 65 |
| QQQ 1H | -0.17 | -6.0% | -99.0pp | -19.8% | 37% | 105 |
| QQQ 4H | 1.25 | +34.2% | -57.7pp | -8.5% | 64% | 33 |
| QQQ 1D | 0.34 | +38.2% | -1371.4pp | -23.3% | 45% | 60 |
| GOLD 1H | 0.72 | +29.4% | -99.6pp | -22.5% | 38% | 105 |
| GOLD 4H | -0.11 | -4.8% | -133.3pp | -24.5% | 33% | 24 |
| GOLD 1D | -0.26 | -22.2% | -247.1pp | -30.5% | 35% | 54 |
| EURUSD 1H | -2.91 | -26.9% | -35.9pp | -28.4% | 30% | 307 |
| EURUSD 4H | -0.52 | -5.0% | -14.1pp | -7.6% | 28% | 67 |
| EURUSD 1D | -0.55 | -22.8% | -4.1pp | -27.0% | 28% | 53 |
10 of 18 cells positive · best QQQ · 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 median of the 18 cell Sharpes, not the mean — cells differ in length by an order of magnitude, and one long cell should not carry the other seventeen.
- 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. The headline figure is the deepest of the 18 cells, not their average.
- 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. Shown as the median of the 18 cells plus how many cells beat it; a mean would let one long cell stand in for the rest.
- Alpha score
- The desk’s 0–100 composite: out-of-sample edge (0–40; the methodology page defines what out of sample means for the catalog), 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: resin 0.2.2 (next-bar-open fills, TV rule) · scored UTC 2026-11-07 10:58 · 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.