Parabolic SAR Flip (0.02, 0.2)
Positive risk-adjusted return in 12 of 18 cells — strongest on GOLD · 4H (Sharpe 1.00); 6 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 390.8pp on average.
§ Verdict rationale
Composite Sharpe 0.36 across 18 cells. The edge concentrates in GOLD 4H (Sharpe 1); 6 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 | -2.23 | -100.0% | -1509.0pp | -100.0% | 40% | 3082 |
| BTCUSD 4H | 0.52 | +424.2% | -970.5pp | -75.0% | 40% | 782 |
| BTCUSD 1D | 0.67 | +954.6% | -448.5pp | -69.7% | 42% | 134 |
| ETHUSD 1H | -1.61 | -100.0% | -635.8pp | -100.0% | 40% | 3087 |
| ETHUSD 4H | 0.13 | -59.8% | -582.3pp | -90.7% | 41% | 785 |
| ETHUSD 1D | 0.39 | +159.1% | -372.0pp | -81.4% | 39% | 128 |
| SPX500 1H | -0.06 | -3.2% | -75.9pp | -22.7% | 42% | 230 |
| SPX500 4H | 0.79 | +22.8% | -49.9pp | -15.5% | 48% | 80 |
| SPX500 1D | 0.34 | +62.1% | -527.3pp | -30.9% | 49% | 204 |
| QQQ 1H | 0.16 | +3.7% | -89.3pp | -24.6% | 43% | 215 |
| QQQ 4H | 0.81 | +32.7% | -60.0pp | -23.0% | 43% | 76 |
| QQQ 1D | 0.41 | +107.7% | -1325.9pp | -37.6% | 48% | 202 |
| GOLD 1H | 0.91 | +43.9% | -79.3pp | -20.8% | 48% | 162 |
| GOLD 4H | 1.00 | +48.2% | -74.9pp | -14.8% | 52% | 58 |
| GOLD 1D | 0.45 | +106.1% | -114.0pp | -30.3% | 47% | 163 |
| EURUSD 1H | -7.58 | -75.0% | -84.1pp | -75.2% | 35% | 741 |
| EURUSD 4H | -0.85 | -12.6% | -21.0pp | -15.5% | 43% | 188 |
| EURUSD 1D | -0.42 | -33.1% | -15.2pp | -39.3% | 40% | 191 |
12 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 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.