Analytics of Trading and Investment Strategies

Strategies

Score By Category, Timeframe, Symbol And Strategy

Best Strategy Per Category

60 — WMA 20 50 Crossover (Trend) (n=12)
50 — Donchian Breakout (Breakout) (n=4)
50 — Time Series Momentum (Momentum) (n=3)
42 — Double 7 (Mean reversion) (n=6)

Best Strategy Per Symbol And Timeframe

How Scoring Works

Every strategy is run on every symbol × timeframe cell, on both real and resampled price history. Each cell gets five 0–100 sub-scores, blended into one composite score by the weights below. A strategy's total score (shown next to its name) is the average of its composite score across all cells, then averaged again across the real and resampled datasets.

Beats Hold: Compares final net equity to what simply holding the asset would have returned over the same window. 50 is break-even; every doubling versus buy-and-hold adds 25 points.
Risk Adjusted: A linear read on the rolling annualized Sharpe ratio at the last trade — 0 Sharpe scores 5, roughly 1.7 Sharpe maxes out the scale.
Profitability: How many times the starting cash multiplied, on a log scale — each doubling of capital is worth 20 points.
Win Rate: The share of trades that closed profitable, rescaled so a 20% win rate scores 0 and a 60% win rate maxes out the scale.
Fee Efficiency: The share of the fee-free (gross) result that survives after fees — 60% survival scores 0, keeping the full gross result scores 100.
Composite: The five sub-scores blended by weight into one 0–100 number per symbol × timeframe cell — beating a hold and risk-adjusted return carry the most weight.