Keltner Breakout (20, 2)
Positive risk-adjusted return in 15 of 18 cells — strongest on GOLD · 4H (Sharpe 1.12); 3 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 53.3pp; 5 of 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.71 across 18 cells. The edge concentrates in GOLD 4H (Sharpe 1.12); 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 | 0.79 | +833.2% | -548.1pp | -37.5% | 41% | 767 |
| BTCUSD 4H | 1.00 | +1833.5% | +466.3pp | -38.6% | 45% | 196 |
| BTCUSD 1D | 0.88 | +1353.2% | -36.3pp | -35.7% | 58% | 36 |
| ETHUSD 1H | 0.67 | +788.4% | +260.3pp | -35.8% | 40% | 786 |
| ETHUSD 4H | 0.80 | +1685.5% | +1170.3pp | -64.5% | 45% | 194 |
| ETHUSD 1D | 0.69 | +1031.0% | +503.7pp | -37.5% | 59% | 39 |
| SPX500 1H | 0.81 | +17.1% | -55.1pp | -9.9% | 52% | 69 |
| SPX500 4H | 1.09 | +20.2% | -51.5pp | -7.3% | 62% | 26 |
| SPX500 1D | 0.21 | +18.8% | -564.5pp | -12.8% | 49% | 68 |
| QQQ 1H | 0.91 | +27.2% | -65.7pp | -11.8% | 42% | 74 |
| QQQ 4H | 0.74 | +19.3% | -72.5pp | -10.7% | 46% | 26 |
| QQQ 1D | 0.33 | +47.1% | -1362.5pp | -21.1% | 48% | 69 |
| GOLD 1H | 0.65 | +25.9% | -103.1pp | -27.1% | 51% | 84 |
| GOLD 4H | 1.12 | +51.7% | -76.7pp | -15.7% | 50% | 28 |
| GOLD 1D | 0.36 | +60.8% | -164.1pp | -19.8% | 45% | 60 |
| EURUSD 1H | -1.79 | -19.5% | -28.6pp | -20.4% | 33% | 235 |
| EURUSD 4H | -0.69 | -7.2% | -16.3pp | -8.2% | 39% | 61 |
| EURUSD 1D | -0.28 | -11.5% | +7.1pp | -14.5% | 30% | 30 |
15 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("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 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.