Stochastic Cross (14,3,3)
Positive risk-adjusted return in 14 of 18 cells — strongest on SPX500 · 4H (Sharpe 0.82); 4 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 479.0pp on average.
§ Verdict rationale
Composite Sharpe 0.28 across 18 cells — expectancy does not survive the 0.05% per-side fee. Best cell: SPX500 4H (Sharpe 0.82). 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 | -1.42 | -100.0% | -1509.0pp | -100.0% | 65% | 1259 |
| BTCUSD 4H | 0.14 | -28.7% | -1423.4pp | -80.0% | 69% | 342 |
| BTCUSD 1D | 0.22 | +12.0% | -1391.1pp | -74.9% | 64% | 56 |
| ETHUSD 1H | -1.42 | -100.0% | -635.8pp | -100.0% | 62% | 1288 |
| ETHUSD 4H | -0.08 | -90.5% | -613.1pp | -95.0% | 63% | 339 |
| ETHUSD 1D | 0.14 | -49.2% | -580.4pp | -82.7% | 68% | 53 |
| SPX500 1H | 0.44 | +13.0% | -59.7pp | -12.5% | 71% | 86 |
| SPX500 4H | 0.82 | +28.2% | -44.6pp | -17.5% | 89% | 28 |
| SPX500 1D | 0.48 | +131.4% | -458.0pp | -28.7% | 74% | 66 |
| QQQ 1H | 0.54 | +21.4% | -71.6pp | -12.5% | 66% | 83 |
| QQQ 4H | 0.56 | +23.9% | -68.9pp | -17.6% | 79% | 29 |
| QQQ 1D | 0.34 | +85.1% | -1348.5pp | -40.9% | 76% | 63 |
| GOLD 1H | 0.58 | +20.8% | -102.4pp | -21.3% | 78% | 92 |
| GOLD 4H | 0.69 | +26.2% | -97.0pp | -17.2% | 69% | 35 |
| GOLD 1D | 0.17 | +22.4% | -197.7pp | -37.2% | 59% | 71 |
| EURUSD 1H | -2.80 | -30.5% | -39.6pp | -30.8% | 61% | 313 |
| EURUSD 4H | 0.44 | +6.6% | -1.7pp | -6.6% | 65% | 88 |
| EURUSD 1D | 0.06 | +3.3% | +21.1pp | -22.2% | 60% | 74 |
14 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("Stochastic Cross (14,3,3)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)k = ta.sma(ta.stoch(close, high, low, 14), 3)d = ta.sma(k, 3)longSig = ta.crossover(k, d) and k < 30exitSig = ta.crossunder(k, d) and k > 70if 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.