OBV MA Cross (20)
Positive risk-adjusted return in 12 of 18 cells — strongest on QQQ · 4H (Sharpe 1.04); 6 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 76.7pp; 4 of 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.32 across 18 cells. The edge concentrates in QQQ 4H (Sharpe 1.04); 6 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 | -0.33 | -93.7% | -1475.0pp | -97.2% | 26% | 5744 |
| BTCUSD 4H | 0.32 | +92.4% | -1274.9pp | -75.4% | 24% | 1410 |
| BTCUSD 1D | 0.80 | +1935.8% | +546.4pp | -69.6% | 28% | 228 |
| ETHUSD 1H | 0.15 | -47.7% | -575.9pp | -73.6% | 28% | 5219 |
| ETHUSD 4H | 0.66 | +1344.9% | +829.7pp | -69.4% | 26% | 1332 |
| ETHUSD 1D | 0.75 | +2310.8% | +1783.4pp | -56.8% | 26% | 226 |
| SPX500 1H | -0.28 | -8.9% | -81.2pp | -22.9% | 33% | 361 |
| SPX500 4H | 0.61 | +16.3% | -55.3pp | -14.6% | 38% | 111 |
| SPX500 1D | 0.32 | +50.1% | -533.2pp | -22.7% | 46% | 291 |
| QQQ 1H | 0.55 | +20.9% | -72.1pp | -20.5% | 37% | 300 |
| QQQ 4H | 1.04 | +43.6% | -48.3pp | -13.1% | 44% | 111 |
| QQQ 1D | 0.63 | +200.0% | -1209.6pp | -28.0% | 44% | 269 |
| GOLD 1H | -0.30 | -16.4% | -145.4pp | -32.5% | 36% | 314 |
| GOLD 4H | 0.73 | +35.4% | -93.1pp | -22.4% | 39% | 112 |
| GOLD 1D | 0.14 | +16.6% | -208.3pp | -32.6% | 39% | 272 |
| EURUSD 1H | 0.00 | +0.0% | -9.1pp | 0.0% | 0% | 0 |
| EURUSD 4H | 0.00 | +0.0% | -9.1pp | 0.0% | 0% | 0 |
| EURUSD 1D | 0.00 | +0.0% | +18.6pp | 0.0% | 0% | 0 |
12 of 18 cells positive · best QQQ · 4H · cells are not equal length — the composite is a median
§ The exact source that ran — Pine v5
//@version=5strategy("OBV MA Cross (20)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)o = ta.obvoma = ta.sma(o, 20)longSig = ta.crossover(o, oma)exitSig = ta.crossunder(o, oma)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.