Since 2022 Sort Finance

WMA 20 50 ADX Filtered

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 the 20- and 50-bar weighted moving averages, plus the 14-bar ADX — a measure of how strong the trend is, regardless of which way it points.
  2. Buy when the 20 crosses above the 50, but only if ADX is above 25 at that bar. In a sideways market the two averages sit on top of each other and cross repeatedly for nothing; ADX stays low through exactly those stretches, so the filter drops them.
  3. Sell when the 20 crosses back below the 50. The exit is deliberately unfiltered — gating it on ADX as well would leave a position stuck open whenever trend strength faded while price was rolling over.
Score
Total Score Mean Of Real And Resampled 25 / 100
Real Data 23 / 100
Resampled Data 27 / 100
Overall Rank Top 87% 45 of 52
Rank In Trend Top 93% 26 of 28
Score By Metric
Beats Hold Real 5 · Resampled 4 5 / 100
Risk Adjusted Real 18 · Resampled 26 22 / 100
Profitability Real 11 · Resampled 20 15 / 100
Win Rate Real 37 · Resampled 37 37 / 100
Fee Efficiency Real 91 · Resampled 91 91 / 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.