EMA Cross (9/21)
Positive risk-adjusted return in 13 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.20); 5 cells lose after the 0.05% per-side fee. Beats buy-and-hold by 364.7pp on average.
§ Verdict rationale
Composite Sharpe 0.73 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.2); 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 | -1.03 | -100.0% | -1509.0pp | -100.0% | 28% | 1744 |
| BTCUSD 4H | 0.91 | +3525.7% | +2131.0pp | -62.2% | 31% | 408 |
| BTCUSD 1D | 0.91 | +3569.1% | +2166.1pp | -72.1% | 34% | 64 |
| ETHUSD 1H | -0.45 | -100.0% | -635.8pp | -100.0% | 28% | 1761 |
| ETHUSD 4H | 0.61 | +929.7% | +407.1pp | -68.7% | 31% | 431 |
| ETHUSD 1D | 0.90 | +6672.7% | +6141.6pp | -58.3% | 36% | 58 |
| SPX500 1H | 0.80 | +23.0% | -49.6pp | -15.4% | 36% | 104 |
| SPX500 4H | 1.20 | +35.7% | -37.0pp | -9.5% | 50% | 34 |
| SPX500 1D | 0.59 | +142.7% | -446.7pp | -18.7% | 42% | 78 |
| QQQ 1H | 1.02 | +43.8% | -49.2pp | -18.0% | 35% | 105 |
| QQQ 4H | 0.80 | +31.6% | -61.2pp | -12.6% | 43% | 42 |
| QQQ 1D | 0.65 | +232.8% | -1200.7pp | -28.1% | 39% | 85 |
| GOLD 1H | 1.13 | +63.6% | -59.5pp | -21.3% | 42% | 96 |
| GOLD 4H | 1.09 | +62.2% | -60.9pp | -19.6% | 44% | 39 |
| GOLD 1D | 0.43 | +106.4% | -113.7pp | -34.0% | 36% | 87 |
| EURUSD 1H | -2.79 | -37.7% | -46.9pp | -38.9% | 32% | 379 |
| EURUSD 4H | -0.40 | -6.6% | -15.0pp | -11.7% | 33% | 94 |
| EURUSD 1D | -0.15 | -14.0% | +3.8pp | -25.6% | 36% | 87 |
13 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("EMA Cross (9/21)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)fast = ta.ema(close, 9)slow = ta.ema(close, 21)longSig = ta.crossover(fast, slow)exitSig = ta.crossunder(fast, slow)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.