Williams %R Reversal (14)
Positive risk-adjusted return in 11 of 18 cells — strongest on GOLD · 4H (Sharpe 1.33); 7 cells lose after the 0.05% per-side fee. Trails buy-and-hold by 475.3pp on average.
§ Verdict rationale
Composite Sharpe 0.23 across 18 cells. The edge concentrates in GOLD 4H (Sharpe 1.33); 7 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 | -1.58 | -100.0% | -1509.0pp | -100.0% | 69% | 1819 |
| BTCUSD 4H | -0.01 | -62.0% | -1456.6pp | -78.7% | 67% | 438 |
| BTCUSD 1D | 0.30 | +75.3% | -1327.8pp | -63.4% | 71% | 80 |
| ETHUSD 1H | -1.71 | -100.0% | -635.8pp | -100.0% | 66% | 1810 |
| ETHUSD 4H | -0.27 | -96.4% | -619.0pp | -98.3% | 68% | 455 |
| ETHUSD 1D | 0.09 | -59.0% | -590.1pp | -91.8% | 66% | 73 |
| SPX500 1H | 0.17 | +3.4% | -69.3pp | -17.4% | 70% | 125 |
| SPX500 4H | 0.47 | +14.3% | -58.4pp | -16.1% | 83% | 46 |
| SPX500 1D | 0.52 | +147.2% | -442.2pp | -28.7% | 83% | 102 |
| QQQ 1H | 0.33 | +10.2% | -82.7pp | -14.8% | 66% | 119 |
| QQQ 4H | 0.58 | +24.6% | -68.2pp | -15.6% | 73% | 44 |
| QQQ 1D | 0.41 | +123.3% | -1310.3pp | -31.3% | 79% | 106 |
| GOLD 1H | 0.77 | +29.9% | -93.2pp | -18.9% | 77% | 127 |
| GOLD 4H | 1.33 | +49.1% | -74.0pp | -9.9% | 84% | 45 |
| GOLD 1D | 0.34 | +58.7% | -161.4pp | -27.2% | 70% | 110 |
| EURUSD 1H | -4.90 | -43.7% | -52.8pp | -43.8% | 66% | 479 |
| EURUSD 4H | -0.56 | -6.8% | -15.1pp | -10.6% | 68% | 111 |
| EURUSD 1D | -0.06 | -7.7% | +10.2pp | -21.9% | 64% | 115 |
11 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("Williams %R Reversal (14)", initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)w = ta.wpr(14)longSig = ta.crossover(w, -80)exitSig = ta.crossover(w, -20)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.