Analytics of Trading and Investment Strategies

Strategies

Trend

1. WMA 20 50 Crossover
2. Faber Timing Model
3. Golden Cross 50 200
4. WMA 20 50 200 Stack
5. WMA 13 21 34 Stack
6. WMA 7 20 50 Stack
7. WMA 20 50 Proximity Crossover
8. MACD Signal Crossover
9. WMA 50 Price Cross
10. Price WMA 20 Crossover
11. RSI WMA Crossover
12. WMA 20 50 ATR Trailing Stop
13. WMA 20 50 Short Crossover

Breakout

1. Donchian Breakout
2. Turtle Breakout 55 20
3. Keltner Channel Breakout
4. Turtle Breakout
5. Bollinger Squeeze Breakout

Momentum

1. Time Series Momentum
2. Dual Momentum 90 252
3. High Watermark Momentum
4. Skip Month Momentum
5. Time Series Momentum 252
6. Momentum WMA Crossover

Mean reversion

1. Double 7
2. Connors RSI 2
3. Bollinger Band To Band
4. RSI Oversold Overbought
5. Bollinger Mean Reversion
6. Support Resistance Bounce

Score By Category, Timeframe, Symbol And Strategy

Best Strategy Per Category

• 62 — WMA 20 50 Crossover (Trend) (n=13)
• 52 — Donchian Breakout (Breakout) (n=5)
• 52 — Time Series Momentum (Momentum) (n=6)
• 44 — 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 — risk-adjusted return and beating a hold carry the most weight.