edge-lab — walk-forward report

Generated 2026-08-18 17:03 UTC · costs modeled: 0.1% fee + 0.05% slippage per side, long/flat spot, no leverage, 1% risk per trade

How to read this: every number below is out-of-sample — parameters were chosen on past data only, then judged on data they never saw. A PASS means "earned a paper-trading audition", not "will make money". Most strategies failing is the system working, not the system being broken.

Out-of-sample leaderboard

dataset strategy oos_trades oos_cagr% oos_maxDD% oos_sharpe exp%/trade PF win% bh_cagr% bh_maxDD% param_stability verdict
BTCUSDT 4h ma_cross 50 11.9 -10.7 1.12 1.40 3.34 32.0 15.2 -77.0 {'fast': 20, 'slow': 200} in 11/12 folds PASS
ETHUSDT 1d rsi_dip 2 1.0 -0.9 1.09 1.50 inf 100.0 -0.2 -67.6 {'buy_th': 35, 'exit_th': 60} in 7/7 folds TOO FEW TRADES
SOLUSDT 4h donchian 80 13.8 -11.1 1.07 0.91 2.67 38.0 17.5 -96.6 {'entry_n': 40, 'exit_n': 15} in 4/11 folds PASS
BTCUSDT 4h donchian 104 10.3 -13.5 0.90 0.61 1.91 30.0 15.2 -77.0 {'entry_n': 40, 'exit_n': 20} in 9/12 folds PASS
ETHUSDT 4h ma_cross 32 8.0 -11.5 0.90 1.44 3.37 44.0 18.3 -81.1 {'fast': 50, 'slow': 200} in 12/12 folds PASS
SOLUSDT 1d donchian 13 6.4 -9.8 0.86 2.04 4.03 31.0 75.0 -76.3 {'entry_n': 55, 'exit_n': 20} in 4/8 folds TOO FEW TRADES
ETHUSDT 4h donchian 106 9.2 -14.7 0.84 0.52 1.71 30.0 18.3 -81.1 {'entry_n': 40, 'exit_n': 15} in 7/12 folds PASS
SOLUSDT 4h ma_cross 56 7.3 -22.2 0.73 0.76 2.17 21.0 17.5 -96.6 {'fast': 50, 'slow': 100} in 5/11 folds PASS
BTCUSDT 1d donchian 23 2.9 -7.5 0.57 0.74 2.38 43.0 15.1 -76.6 {'entry_n': 40, 'exit_n': 15} in 12/12 folds PASS
BTCUSDT 1d boll_revert 13 0.7 -2.3 0.45 0.29 1.98 69.0 13.6 -76.6 {'n': 20, 'k': 2.5} in 5/11 folds TOO FEW TRADES
ETHUSDT 1d donchian 16 3.6 -21.0 0.43 1.29 3.81 44.0 18.7 -79.3 {'entry_n': 55, 'exit_n': 20} in 9/12 folds TOO FEW TRADES
BTCUSDT 1d ma_cross 9 0.6 -3.2 0.26 0.31 1.61 33.0 6.7 -66.9 {'fast': 50, 'slow': 100} in 10/10 folds TOO FEW TRADES
ETHUSDT 1d boll_revert 17 0.4 -2.8 0.25 0.13 1.32 59.0 -1.9 -79.3 {'n': 20, 'k': 2.0} in 8/11 folds TOO FEW TRADES
ETHUSDT 1d ma_cross 7 0.3 -4.9 0.12 0.19 1.45 29.0 15.4 -67.6 {'fast': 20, 'slow': 100} in 4/9 folds TOO FEW TRADES
SOLUSDT 1d rsi_dip 0 0.0 0.0 0.00 0.00 0.00 0.0 -56.0 -57.6 {'buy_th': 35, 'exit_th': 55} in 2/2 folds TOO FEW TRADES
BTCUSDT 4h boll_revert 74 -0.4 -6.5 -0.07 -0.02 0.95 51.0 15.2 -77.0 {'n': 30, 'k': 2.0} in 11/12 folds FAIL (negative expectancy)
BTCUSDT 4h rsi_dip 16 -0.3 -5.1 -0.13 -0.09 0.84 44.0 15.2 -77.0 {'buy_th': 30, 'exit_th': 60} in 12/12 folds TOO FEW TRADES
SOLUSDT 4h boll_revert 54 -0.8 -9.1 -0.27 -0.07 0.84 50.0 17.5 -96.6 {'n': 30, 'k': 2.0} in 4/11 folds FAIL (negative expectancy)
SOLUSDT 1d ma_cross 7 -1.1 -4.8 -0.35 -0.41 0.43 29.0 -13.1 -76.3 {'fast': 20, 'slow': 100} in 6/6 folds TOO FEW TRADES
ETHUSDT 4h rsi_dip 6 -0.5 -4.6 -0.52 -0.51 0.34 17.0 18.3 -81.1 {'buy_th': 25, 'exit_th': 50} in 7/12 folds TOO FEW TRADES
SOLUSDT 1d boll_revert 6 -0.7 -3.1 -0.53 -0.32 0.28 33.0 -13.1 -76.3 {'n': 20, 'k': 2.0} in 3/6 folds TOO FEW TRADES
ETHUSDT 4h boll_revert 54 -1.9 -15.5 -0.58 -0.19 0.64 48.0 18.3 -81.1 {'n': 20, 'k': 2.5} in 9/12 folds FAIL (negative expectancy)
BTCUSDT 1d rsi_dip 2 -1.0 -2.3 -0.70 -1.03 0.00 0.0 1.2 -53.0 {'buy_th': 35, 'exit_th': 50} in 3/5 folds TOO FEW TRADES
SOLUSDT 4h rsi_dip 26 -1.7 -8.7 -0.73 -0.29 0.46 42.0 -16.0 -95.1 {'buy_th': 35, 'exit_th': 60} in 6/10 folds FAIL (negative expectancy)

ma_cross BTCUSDT 4h folds: 2021-01-01: {'fast': 50, 'slow': 200} -> +1.8%; 2021-07-01: {'fast': 20, 'slow': 200} -> +10.6%; 2022-01-01: {'fast': 20, 'slow': 200} -> -1.8%; 2022-07-01: {'fast': 20, 'slow': 200} -> -4.2%; 2023-01-01: {'fast': 20, 'slow': 200} -> +17.8%; 2023-07-01: {'fast': 20, 'slow': 200} -> +22.9%; 2024-01-01: {'fast': 20, 'slow': 200} -> +16.0%; 2024-07-01: {'fast': 20, 'slow': 200} -> +12.8%; 2025-01-01: {'fast': 20, 'slow': 200} -> -0.5%; 2025-07-01: {'fast': 20, 'slow': 200} -> -3.3%; 2026-01-01: {'fast': 20, 'slow': 200} -> -1.6%; 2026-07-01: {'fast': 20, 'slow': 200} -> -0.9%

donchian SOLUSDT 4h folds: 2021-07-01: {'entry_n': 40, 'exit_n': 15} -> +23.7%; 2022-01-01: {'entry_n': 70, 'exit_n': 25} -> +2.2%; 2022-07-01: {'entry_n': 70, 'exit_n': 15} -> -5.9%; 2023-01-01: {'entry_n': 70, 'exit_n': 25} -> +3.9%; 2023-07-01: {'entry_n': 70, 'exit_n': 25} -> +45.8%; 2024-01-01: {'entry_n': 70, 'exit_n': 15} -> -4.0%; 2024-07-01: {'entry_n': 70, 'exit_n': 15} -> +12.1%; 2025-01-01: {'entry_n': 70, 'exit_n': 15} -> +0.1%; 2025-07-01: {'entry_n': 40, 'exit_n': 15} -> +3.4%; 2026-01-01: {'entry_n': 40, 'exit_n': 15} -> -3.2%; 2026-07-01: {'entry_n': 40, 'exit_n': 15} -> -0.2%

ma_cross on BTCUSDT 4h - stitched out-of-sample vs buy&hold

donchian on SOLUSDT 4h - stitched out-of-sample vs buy&hold