ATR Channel Breakout (20, 2×ATR14)
Positive risk-adjusted return in 15 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.09); 3 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 138.2pp on average.
§ Verdict rationale
Composite Sharpe 0.58 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.09); 3 of 18 cells are negative after the 0.05% per-side fee. Trails buy-and-hold on average.
§ 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 | 0.14 | +2.4% | -1406.5pp | -89.8% | 42% | 945 |
| BTCUSD 4H | 0.92 | +1606.0% | +211.3pp | -33.1% | 45% | 258 |
| BTCUSD 1D | 1.00 | +2255.0% | +851.9pp | -45.1% | 59% | 44 |
| ETHUSD 1H | 0.05 | -41.1% | -576.9pp | -95.8% | 42% | 984 |
| ETHUSD 4H | 0.63 | +709.7% | +187.1pp | -65.2% | 41% | 265 |
| ETHUSD 1D | 0.71 | +1243.8% | +712.7pp | -43.9% | 60% | 47 |
| SPX500 1H | 0.42 | +9.1% | -63.5pp | -14.4% | 46% | 90 |
| SPX500 4H | 1.09 | +20.9% | -51.8pp | -6.2% | 53% | 32 |
| SPX500 1D | 0.45 | +62.1% | -527.3pp | -15.0% | 54% | 81 |
| QQQ 1H | 0.70 | +21.4% | -71.5pp | -14.9% | 46% | 89 |
| QQQ 4H | 0.91 | +26.1% | -66.6pp | -8.2% | 44% | 34 |
| QQQ 1D | 0.53 | +105.4% | -1328.2pp | -19.7% | 55% | 77 |
| GOLD 1H | 0.74 | +29.5% | -93.7pp | -17.8% | 48% | 99 |
| GOLD 4H | 1.04 | +48.8% | -74.4pp | -19.3% | 58% | 33 |
| GOLD 1D | 0.44 | +84.0% | -136.1pp | -17.5% | 49% | 75 |
| EURUSD 1H | -1.99 | -22.2% | -31.4pp | -23.5% | 38% | 269 |
| EURUSD 4H | -0.71 | -7.8% | -16.1pp | -10.2% | 40% | 72 |
| EURUSD 1D | -0.56 | -24.2% | -6.3pp | -24.7% | 24% | 50 |
15 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("ATR Channel Breakout (20, 2×ATR14)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)basis = ta.sma(close, 20)upper = basis + 2 * ta.atr(14)longSig = ta.crossover(close, upper)exitSig = ta.crossunder(close, basis)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.