Since 2022 Sort Finance

Williams R

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Compute Williams %R over 14 bars: 0 when the close equals the window's highest high, −100 when it equals the lowest low.
  2. Buy when %R climbs back above −80 — price was sitting in the bottom fifth of its recent range and has begun to lift out of it. Waiting for the crossing rather than buying at −80 avoids catching a market still falling.
  3. Sell when %R pushes up through −20, the top fifth of the range.
Score
Total Score Mean Of Real And Resampled 23 / 100
Real Data 23 / 100
Resampled Data 23 / 100
Overall Rank Top 91% 47 of 52
Rank In Mean Reversion Top 89% 8 of 9
Score By Metric
Beats Hold Real 1 · Resampled 7 4 / 100
Risk Adjusted Real 18 · Resampled 13 16 / 100
Profitability Real 8 · Resampled 8 8 / 100
Win Rate Real 99 · Resampled 100 100 / 100
Fee Efficiency Real 53 · Resampled 53 53 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.