MACD Cross (12/26/9)
Positive risk-adjusted return in 13 of 18 cells — strongest on SPX500 · 4H (Sharpe 1.30); 5 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 247.4pp on average.
§ Verdict rationale
Composite Sharpe 0.47 across 18 cells. The edge concentrates in SPX500 4H (Sharpe 1.3); 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 | -1.73 | -100.0% | -1509.0pp | -100.0% | 36% | 2999 |
| BTCUSD 4H | 0.46 | +279.8% | -1114.8pp | -75.5% | 39% | 733 |
| BTCUSD 1D | 0.83 | +2253.3% | +850.2pp | -51.8% | 40% | 116 |
| ETHUSD 1H | -1.05 | -100.0% | -635.8pp | -100.0% | 37% | 2964 |
| ETHUSD 4H | 0.49 | +404.9% | -117.6pp | -79.5% | 38% | 740 |
| ETHUSD 1D | 0.63 | +1054.8% | +523.7pp | -69.3% | 37% | 120 |
| SPX500 1H | 0.39 | +11.3% | -61.4pp | -17.8% | 41% | 186 |
| SPX500 4H | 1.30 | +33.6% | -39.1pp | -8.6% | 49% | 63 |
| SPX500 1D | 0.49 | +96.7% | -492.8pp | -15.7% | 46% | 171 |
| QQQ 1H | 0.18 | +5.0% | -88.0pp | -22.7% | 42% | 189 |
| QQQ 4H | 0.75 | +26.4% | -66.4pp | -19.6% | 44% | 66 |
| QQQ 1D | 0.58 | +170.8% | -1262.8pp | -25.1% | 48% | 155 |
| GOLD 1H | 0.57 | +23.7% | -99.5pp | -15.1% | 43% | 185 |
| GOLD 4H | 1.00 | +51.9% | -71.2pp | -28.4% | 46% | 59 |
| GOLD 1D | 0.30 | +55.9% | -164.2pp | -29.8% | 38% | 160 |
| EURUSD 1H | -5.49 | -64.0% | -73.2pp | -64.1% | 34% | 669 |
| EURUSD 4H | -0.42 | -6.8% | -15.1pp | -11.7% | 43% | 160 |
| EURUSD 1D | -0.43 | -34.3% | -16.4pp | -39.0% | 38% | 172 |
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("MACD Cross (12/26/9)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)[macdLine, signalLine, histLine] = ta.macd(close, 12, 26, 9)longSig = ta.crossover(macdLine, signalLine)exitSig = ta.crossunder(macdLine, signalLine)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.