Supertrend Follow (10, 3)
Positive risk-adjusted return in 13 of 18 cells — strongest on SPX500 · 4H (Sharpe 0.72); 5 cells lose after the 0.05% per-side fee. Median cell trails buy-and-hold by 133.3pp; 1 of 18 cells beat it.
§ Verdict rationale
Composite Sharpe 0.31 across 18 cells — expectancy does not survive the 0.05% per-side fee. Best cell: SPX500 4H (Sharpe 0.72).
§ 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 | -0.03 | -71.0% | -1452.3pp | -90.3% | 63% | 801 |
| BTCUSD 4H | 0.06 | -57.9% | -1425.1pp | -88.0% | 65% | 218 |
| BTCUSD 1D | 0.28 | +41.9% | -1347.6pp | -77.7% | 68% | 40 |
| ETHUSD 1H | -0.09 | -91.5% | -619.6pp | -97.6% | 65% | 835 |
| ETHUSD 4H | 0.15 | -66.3% | -581.5pp | -97.0% | 62% | 219 |
| ETHUSD 1D | -0.04 | -88.1% | -615.4pp | -94.4% | 54% | 35 |
| SPX500 1H | 0.44 | +13.4% | -58.8pp | -15.7% | 71% | 79 |
| SPX500 4H | 0.72 | +24.3% | -47.4pp | -17.4% | 87% | 31 |
| SPX500 1D | 0.45 | +127.5% | -455.8pp | -26.4% | 77% | 69 |
| QQQ 1H | 0.48 | +18.7% | -74.2pp | -17.8% | 68% | 85 |
| QQQ 4H | 0.70 | +32.2% | -59.7pp | -21.0% | 82% | 34 |
| QQQ 1D | 0.57 | +262.4% | -1147.1pp | -34.3% | 76% | 66 |
| GOLD 1H | 0.55 | +22.6% | -106.4pp | -20.4% | 71% | 89 |
| GOLD 4H | 0.50 | +18.8% | -109.6pp | -20.0% | 74% | 31 |
| GOLD 1D | 0.34 | +68.0% | -156.9pp | -43.0% | 66% | 74 |
| EURUSD 1H | -1.58 | -19.1% | -28.2pp | -21.1% | 64% | 247 |
| EURUSD 4H | 0.09 | +1.0% | -8.1pp | -7.4% | 61% | 62 |
| EURUSD 1D | -0.10 | -12.3% | +6.3pp | -28.4% | 65% | 48 |
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("Supertrend Follow (10, 3)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)[st, dir] = ta.supertrend(3, 10)longSig = ta.change(dir) < 0exitSig = ta.change(dir) > 0if 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.