Golden Cross (SMA 50/200)
Positive risk-adjusted return in 17 of 18 cells — strongest on SPX500 · 1H (Sharpe 1.82); 1 cell loses after the 0.05% per-side fee. Beats buy-and-hold by 783.1pp on average.
§ Verdict rationale
Composite Sharpe 0.78 across 18 cells. The edge concentrates in SPX500 1H (Sharpe 1.82); 1 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 | 0.70 | +1155.8% | -253.2pp | -63.1% | 34% | 257 |
| BTCUSD 4H | 0.92 | +3580.6% | +2185.9pp | -61.6% | 37% | 57 |
| BTCUSD 1D | 0.60 | +629.7% | -773.4pp | -66.7% | 63% | 8 |
| ETHUSD 1H | 0.74 | +2328.2% | +1792.4pp | -60.2% | 34% | 245 |
| ETHUSD 4H | 0.99 | +12918.5% | +12395.9pp | -59.1% | 49% | 49 |
| ETHUSD 1D | 0.56 | +604.2% | +73.1pp | -78.7% | 63% | 8 |
| SPX500 1H | 1.82 | +64.2% | -8.5pp | -6.7% | 70% | 10 |
| SPX500 4H | 0.85 | +19.2% | -53.5pp | -6.5% | 50% | 4 |
| SPX500 1D | 0.66 | +255.9% | -333.5pp | -34.1% | 67% | 6 |
| QQQ 1H | 1.54 | +78.8% | -14.2pp | -12.9% | 60% | 10 |
| QQQ 4H | 0.81 | +36.5% | -56.3pp | -13.5% | 100% | 2 |
| QQQ 1D | 0.88 | +781.4% | -652.1pp | -28.6% | 75% | 8 |
| GOLD 1H | 1.18 | +72.0% | -51.1pp | -14.4% | 43% | 14 |
| GOLD 4H | 1.47 | +109.1% | -14.0pp | -19.3% | 100% | 2 |
| GOLD 1D | 0.37 | +83.5% | -136.6pp | -26.8% | 36% | 11 |
| EURUSD 1H | 0.08 | +0.9% | -8.3pp | -7.7% | 39% | 52 |
| EURUSD 4H | 0.21 | +2.8% | -5.5pp | -6.6% | 30% | 10 |
| EURUSD 1D | -0.11 | -9.3% | +8.5pp | -19.0% | 33% | 12 |
17 of 18 cells positive · best SPX500 · 1H · cells are not equal length — the composite is a median
§ The exact source that ran — Pine v5
//@version=5strategy("Golden Cross (SMA 50/200)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)fast = ta.sma(close, 50)slow = ta.sma(close, 200)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.