How It Works
- Compute a 200-bar SMA (the long-term trend filter) and the highest and lowest close of the last 7 bars.
- Buy when today's close is the lowest of the past 7 bars while price is still above the 200-bar average — a short-term pullback inside a long-term uptrend.
- Sell when today's close is the highest of the past 7 bars — the pullback has fully recovered.
Worked example. Price at 108 is above its 200-bar average of 100, and today's 108 close is the lowest of the past 7 bars — buy the pullback. Four bars later a 111 close is the highest of its last 7 — sell, pocketing the swing.
The Math Behind The Indicators
Everything runs on closing prices of the traded timeframe: P is a close, Pt today's close, and N counts bars — one bar is one candle of that timeframe, so 20 bars on a 1h chart is 20 hours.
- Price Channel (Rolling High / Low)
- The highest and lowest close over the previous N bars — the edges of the recent trading range. Closing above the channel top means price just beat every close in that window (a breakout); the channel bottom marks recent support.
- UpperN = max(Pt−1, …, Pt−N), LowerN = min(Pt−1, …, Pt−N)
- Example: If the previous 5 closes were 100, 103, 101, 102, 104, the channel spans 100 to 104. A close at 105 breaks above the top; a close at 99 breaks below the bottom.
- Simple Moving Average (SMA)
- The plain average of the last N closing prices: add them up, divide by N. It smooths out bar-to-bar noise so the underlying direction is easier to see — a rising SMA means recent prices sit above where they used to be.
- SMAN = P1 + P2 + … + PNN
- Example: With N = 3 and closes 100, 102, 104 the SMA is (100 + 102 + 104) / 3 = 102.
Example Chart
Example Chart
The Metrics
| Metric | Calculation | What it shows |
|---|---|---|
| Price Change % | change = Plast − P0P0 × 100 The traded market's own close against its first close over the same window, as a percentage. | What the market did while the rule was running — the benchmark every other row here is read against. A rule that made 40% in a market that made 120% lost to doing nothing. |
| Trades | N = count(closed positions) How many positions the rule opened and closed over the window. | The sample behind every other figure, and what the fees are charged on. Two rules with the same return are not the same rule if one took nine trades and the other took nine hundred. |
| Win Rate % | W%n = winsnn × 100 Of the first n trades, how many closed above the cash they opened with after fees. Plotted trade by trade, so the line is the rate so far rather than a final figure. | How often the rule is right, which is not how much it makes. A rule can win a third of its trades and still lead, if the third it wins pays for the two it loses. |
| Cumulative P&L % | PnL%n = n∑i=1(fi − 1) × 100 Each trade's percentage result added up, net of fees. A sum rather than a compounding, so a 10% gain and a 10% loss cancel. | What the rule returned per trade, with position size taken out of it. It answers whether the edge is in the trades themselves, where the equity curve answers what the account did with them. |
| Equity | En = E0 n∏i=1fi The account compounded through every trade — the whole balance goes into the next position. Drawn net of fees as a solid line and gross of them as a dotted one. | The account itself, which is the only figure a reader actually ends up with. The gap between the two lines is what the fees took, and it widens with every trade rather than staying a fixed share. |
| Cumulative Fees | Fn = n∑i=1(Ci φ + Xi φ) Fee charged on the way into each position and again on the way out, at rate phi, on the capital actually committed — so the bill grows with the account as well as with the trade count. | The cost of trading, in the account's own units. It is the one line here that only ever rises, and the one a rule cannot trade its way out of. |
| Rolling Sharpe | Sharpet = mean(rdaily)sd(rdaily) × √365 Mean daily return over its deviation, annualized on a 365-day year because crypto has no weekend. Taken on the account marked to market every bar — open positions included, not just closed ones — and read off at each trade's exit. | Return per unit of the swing it took to get it. It is the heaviest weight in the composite score, because an account that doubled calmly and one that doubled violently are not the same result. |