Supertrend Follow (10, 3)
Positive risk-adjusted return in 13 of 18 cells — strongest on SPX500 · 4H (Sharpe 0.71); 5 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 468.4pp on average.
§ Verdict rationale
Composite Sharpe 0.31 across 18 cells — expectancy does not survive the 0.05% per-side fee. Best cell: SPX500 4H (Sharpe 0.71).
§ 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 | -0.18 | -87.0% | -1496.0pp | -90.5% | 63% | 799 |
| BTCUSD 4H | 0.05 | -58.7% | -1453.4pp | -88.1% | 65% | 218 |
| BTCUSD 1D | 0.28 | +41.7% | -1361.4pp | -77.7% | 68% | 40 |
| ETHUSD 1H | -0.24 | -96.8% | -632.6pp | -99.0% | 65% | 833 |
| ETHUSD 4H | 0.14 | -67.5% | -590.1pp | -97.0% | 62% | 219 |
| ETHUSD 1D | -0.04 | -88.1% | -619.2pp | -94.4% | 54% | 35 |
| SPX500 1H | 0.38 | +11.2% | -61.5pp | -15.7% | 71% | 79 |
| SPX500 4H | 0.71 | +23.8% | -48.9pp | -17.4% | 87% | 31 |
| SPX500 1D | 0.44 | +127.0% | -462.5pp | -26.4% | 77% | 69 |
| QQQ 1H | 0.41 | +15.4% | -77.6pp | -17.8% | 68% | 85 |
| QQQ 4H | 0.67 | +30.6% | -62.2pp | -21.0% | 82% | 34 |
| QQQ 1D | 0.57 | +261.6% | -1172.0pp | -34.3% | 76% | 66 |
| GOLD 1H | 0.53 | +21.9% | -101.2pp | -20.5% | 71% | 89 |
| GOLD 4H | 0.48 | +17.9% | -105.2pp | -20.0% | 74% | 31 |
| GOLD 1D | 0.34 | +67.5% | -152.6pp | -43.1% | 66% | 74 |
| EURUSD 1H | -1.93 | -22.7% | -31.9pp | -23.9% | 64% | 248 |
| EURUSD 4H | 0.08 | +0.8% | -7.6pp | -7.4% | 61% | 62 |
| EURUSD 1D | -0.10 | -12.4% | +5.4pp | -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 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.