Chandelier Exit Trend (22, 3)
Positive risk-adjusted return in 13 of 18 cells — strongest on GOLD · 4H (Sharpe 1.30); 5 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 155.6pp on average.
§ Verdict rationale
Composite Sharpe 0.65 across 18 cells. The edge concentrates in GOLD 4H (Sharpe 1.3); 5 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 | -0.74 | -100.0% | -1509.0pp | -100.0% | 37% | 1224 |
| BTCUSD 4H | 0.58 | +591.4% | -803.3pp | -66.6% | 40% | 295 |
| BTCUSD 1D | 0.80 | +1667.4% | +264.4pp | -63.2% | 46% | 48 |
| ETHUSD 1H | -0.77 | -100.0% | -635.8pp | -100.0% | 39% | 1227 |
| ETHUSD 4H | 0.47 | +281.9% | -240.7pp | -73.0% | 37% | 306 |
| ETHUSD 1D | 0.80 | +2924.6% | +2393.5pp | -63.1% | 45% | 51 |
| SPX500 1H | 0.84 | +24.6% | -48.1pp | -12.2% | 47% | 88 |
| SPX500 4H | 0.69 | +16.2% | -56.5pp | -9.6% | 34% | 32 |
| SPX500 1D | 0.66 | +148.4% | -441.0pp | -10.9% | 52% | 67 |
| QQQ 1H | 1.16 | +51.6% | -41.4pp | -12.1% | 48% | 81 |
| QQQ 4H | 1.17 | +41.0% | -51.7pp | -10.8% | 46% | 28 |
| QQQ 1D | 0.64 | +199.7% | -1233.8pp | -20.3% | 48% | 69 |
| GOLD 1H | 0.86 | +36.7% | -86.4pp | -16.5% | 50% | 99 |
| GOLD 4H | 1.30 | +66.6% | -56.6pp | -17.1% | 48% | 31 |
| GOLD 1D | 0.23 | +33.2% | -186.9pp | -29.6% | 37% | 78 |
| EURUSD 1H | -2.83 | -33.0% | -42.2pp | -33.6% | 36% | 318 |
| EURUSD 4H | -0.99 | -13.6% | -22.0pp | -15.4% | 37% | 85 |
| EURUSD 1D | -0.26 | -20.6% | -2.8pp | -30.5% | 28% | 58 |
13 of 18 cells positive · best GOLD · 4H · cells are not equal length — the composite is a median
§ The exact source that ran — Pine v5
//@version=5strategy("Chandelier Exit Trend (22, 3)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)hh = ta.highest(close, 22)prevHH = hh[1]stop = ta.highest(high, 22) - 3 * ta.atr(22)longSig = ta.crossover(close, prevHH)exitSig = ta.crossunder(close, stop)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.