EMA Cross (9/21)
Positive risk-adjusted return in 15 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.20); 3 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 43.2pp; 6 of 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.73 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.2); 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 | +255.2% | -1126.1pp | -74.3% | 28% | 1747 |
| BTCUSD 4H | 0.93 | +3910.3% | +2543.1pp | -61.6% | 31% | 409 |
| BTCUSD 1D | 0.91 | +3491.6% | +2102.1pp | -72.1% | 34% | 65 |
| ETHUSD 1H | 0.62 | +1053.0% | +524.8pp | -70.9% | 28% | 1766 |
| ETHUSD 4H | 0.63 | +1050.9% | +535.7pp | -66.7% | 31% | 432 |
| ETHUSD 1D | 0.90 | +6644.1% | +6116.7pp | -58.3% | 36% | 58 |
| SPX500 1H | 0.87 | +25.4% | -46.8pp | -15.2% | 37% | 103 |
| SPX500 4H | 1.20 | +35.6% | -36.0pp | -9.5% | 50% | 34 |
| SPX500 1D | 0.59 | +144.7% | -438.6pp | -18.6% | 42% | 78 |
| QQQ 1H | 1.08 | +47.0% | -45.9pp | -17.9% | 37% | 104 |
| QQQ 4H | 0.80 | +31.8% | -60.0pp | -12.6% | 43% | 42 |
| QQQ 1D | 0.65 | +235.6% | -1174.0pp | -28.0% | 39% | 85 |
| GOLD 1H | 1.10 | +62.4% | -66.6pp | -23.9% | 42% | 94 |
| GOLD 4H | 1.09 | +61.9% | -66.5pp | -19.6% | 44% | 39 |
| GOLD 1D | 0.45 | +115.3% | -109.6pp | -33.9% | 36% | 87 |
| EURUSD 1H | -2.26 | -31.4% | -40.5pp | -33.1% | 32% | 381 |
| EURUSD 4H | -0.33 | -5.6% | -14.7pp | -11.2% | 34% | 94 |
| EURUSD 1D | -0.15 | -13.7% | +4.9pp | -25.4% | 36% | 87 |
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("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 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.