Analytics of Trading and Investment Strategies

Strategies

65 — WMA 20 50 Crossover (Trend)
64 — Golden Cross 50 200 (Trend)
64 — WMA 20 50 200 Stack (Trend)
56 — Donchian Breakout (Breakout)
56 — WMA 13 21 34 Stack (Trend)
52 — Time Series Momentum (Momentum)
52 — WMA 7 20 50 Stack (Trend)
46 — Keltner Channel Breakout (Breakout)
44 — Turtle Breakout (Breakout)
43 — MACD Signal Crossover (Trend)
43 — WMA 50 Price Cross (Trend)
42 — WMA 20 50 Proximity Crossover (Trend)
36 — Price WMA 20 Crossover (Trend)
32 — RSI WMA Crossover (Trend)
28 — RSI Oversold Overbought (Mean reversion)
26 — Bollinger Band To Band (Mean reversion)
24 — Bollinger Mean Reversion (Mean reversion)
24 — WMA 20 50 ATR Trailing Stop (Trend)
22 — Support Resistance Bounce (Mean reversion)
14 — WMA 20 50 Short Crossover (Trend)

Score By Category And Timeframe

Best Strategy Per Category

65 — WMA 20 50 Crossover (Trend) (n=12)
56 — Donchian Breakout (Breakout) (n=3)
52 — Time Series Momentum (Momentum) (n=1)
28 — RSI Oversold Overbought (Mean reversion) (n=4)

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.