Parabolic SAR Flip (0.02, 0.2)
Positive risk-adjusted return in 14 of 18 cells — strongest on GOLD · 4H (Sharpe 1.06); 4 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 97.2pp; none of the 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.38 across 18 cells. The edge concentrates in GOLD 4H (Sharpe 1.06); 4 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 | -0.52 | -97.7% | -1479.0pp | -98.2% | 40% | 3086 |
| BTCUSD 4H | 0.66 | +993.3% | -373.9pp | -65.5% | 40% | 783 |
| BTCUSD 1D | 0.67 | +946.5% | -443.0pp | -69.7% | 42% | 134 |
| ETHUSD 1H | 0.10 | -64.5% | -592.6pp | -87.8% | 40% | 3093 |
| ETHUSD 4H | 0.25 | -14.8% | -530.0pp | -82.8% | 41% | 786 |
| ETHUSD 1D | 0.39 | +159.1% | -368.2pp | -81.3% | 39% | 128 |
| SPX500 1H | 0.06 | +0.3% | -72.0pp | -21.9% | 42% | 229 |
| SPX500 4H | 0.85 | +24.9% | -46.7pp | -15.5% | 49% | 80 |
| SPX500 1D | 0.36 | +68.6% | -514.7pp | -30.6% | 49% | 204 |
| QQQ 1H | 0.31 | +9.9% | -83.0pp | -22.8% | 44% | 213 |
| QQQ 4H | 0.87 | +35.9% | -56.0pp | -23.0% | 45% | 76 |
| QQQ 1D | 0.43 | +115.4% | -1294.2pp | -37.4% | 48% | 202 |
| GOLD 1H | 0.99 | +49.0% | -80.0pp | -18.0% | 49% | 162 |
| GOLD 4H | 1.06 | +51.8% | -76.6pp | -14.8% | 53% | 57 |
| GOLD 1D | 0.47 | +113.6% | -111.3pp | -30.2% | 47% | 163 |
| EURUSD 1H | -4.65 | -54.4% | -63.5pp | -54.9% | 35% | 738 |
| EURUSD 4H | -0.78 | -11.7% | -20.7pp | -13.8% | 42% | 189 |
| EURUSD 1D | -0.40 | -31.7% | -13.1pp | -38.3% | 40% | 191 |
14 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("Parabolic SAR Flip (0.02, 0.2)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)s = ta.sar(0.02, 0.02, 0.2)longSig = ta.crossover(close, s)exitSig = ta.crossunder(close, s)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.