Bollinger Breakout (20, 2)
Positive risk-adjusted return in 15 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.29); 3 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 54.3pp; 5 of 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.63 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.29); 3 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 | 0.44 | +218.8% | -1162.5pp | -52.7% | 36% | 1462 |
| BTCUSD 4H | 0.96 | +2188.8% | +821.5pp | -41.6% | 43% | 345 |
| BTCUSD 1D | 0.71 | +796.0% | -593.5pp | -61.9% | 39% | 67 |
| ETHUSD 1H | 0.78 | +1868.8% | +1340.6pp | -44.3% | 37% | 1416 |
| ETHUSD 4H | 0.61 | +703.0% | +187.8pp | -63.5% | 35% | 364 |
| ETHUSD 1D | 0.74 | +1613.3% | +1085.9pp | -39.9% | 52% | 58 |
| SPX500 1H | 0.82 | +19.0% | -53.3pp | -9.3% | 49% | 78 |
| SPX500 4H | 1.29 | +22.5% | -49.2pp | -5.7% | 63% | 27 |
| SPX500 1D | 0.19 | +17.0% | -566.3pp | -15.1% | 44% | 70 |
| QQQ 1H | 1.16 | +37.7% | -55.2pp | -12.1% | 47% | 85 |
| QQQ 4H | 0.65 | +15.6% | -76.2pp | -11.6% | 54% | 26 |
| QQQ 1D | 0.29 | +40.4% | -1369.2pp | -19.0% | 47% | 77 |
| GOLD 1H | 0.51 | +19.3% | -109.7pp | -25.4% | 46% | 95 |
| GOLD 4H | 1.09 | +49.5% | -79.0pp | -15.7% | 63% | 30 |
| GOLD 1D | 0.35 | +58.7% | -166.2pp | -19.7% | 43% | 72 |
| EURUSD 1H | -1.77 | -20.6% | -29.7pp | -22.5% | 36% | 321 |
| EURUSD 4H | -0.69 | -8.0% | -17.0pp | -10.1% | 47% | 81 |
| EURUSD 1D | -0.30 | -17.6% | +1.1pp | -22.9% | 34% | 74 |
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("Bollinger Breakout (20, 2)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)[mid, upper, lower] = ta.bb(close, 20, 2)longSig = ta.crossover(close, upper)exitSig = ta.crossunder(close, mid)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.