Keltner Breakout (20, 2)
Positive risk-adjusted return in 15 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.09); 3 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 102.9pp on average.
§ Verdict rationale
Composite Sharpe 0.71 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.09); 3 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 | 0.59 | +372.8% | -1036.2pp | -60.2% | 41% | 765 |
| BTCUSD 4H | 0.99 | +1791.3% | +396.7pp | -39.2% | 45% | 196 |
| BTCUSD 1D | 0.88 | +1352.2% | -50.9pp | -35.7% | 58% | 36 |
| ETHUSD 1H | 0.50 | +323.9% | -211.9pp | -46.5% | 40% | 785 |
| ETHUSD 4H | 0.80 | +1648.3% | +1125.7pp | -64.4% | 45% | 194 |
| ETHUSD 1D | 0.69 | +1030.1% | +499.0pp | -37.5% | 59% | 39 |
| SPX500 1H | 0.82 | +17.3% | -55.4pp | -9.9% | 52% | 68 |
| SPX500 4H | 1.09 | +20.3% | -52.5pp | -7.3% | 62% | 26 |
| SPX500 1D | 0.23 | +22.4% | -567.0pp | -12.9% | 50% | 68 |
| QQQ 1H | 0.90 | +27.1% | -65.9pp | -11.9% | 42% | 74 |
| QQQ 4H | 0.73 | +19.2% | -73.6pp | -10.7% | 46% | 26 |
| QQQ 1D | 0.33 | +46.7% | -1386.9pp | -21.1% | 48% | 69 |
| GOLD 1H | 0.75 | +29.8% | -93.4pp | -24.2% | 52% | 85 |
| GOLD 4H | 1.08 | +49.2% | -73.9pp | -15.7% | 50% | 28 |
| GOLD 1D | 0.35 | +57.7% | -162.4pp | -19.8% | 45% | 60 |
| EURUSD 1H | -2.02 | -21.8% | -31.0pp | -22.8% | 33% | 233 |
| EURUSD 4H | -0.79 | -8.2% | -16.5pp | -8.8% | 39% | 62 |
| EURUSD 1D | -0.34 | -14.3% | +3.6pp | -15.2% | 29% | 31 |
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("Keltner Breakout (20, 2)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)[kmid, kupper, klower] = ta.kc(close, 20, 2)longSig = ta.crossover(close, kupper)exitSig = ta.crossunder(close, kmid)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.