📊 Algo Backtest Report

Generated 2026-08-20 (auto-refreshes Sunday nights) · 101 strategies · daily strategies backtested 2020-01-01 → today on each strategy's default symbol · $100k start, 2 bps slippage, long-only, next-bar fills.

Headlines: 🥇 Best total return: Breakout: Volume-Confirmed 20-Day High (NVDA, +392.8%). 📐 Best risk-adjusted (Sharpe 1.42): MeanRev: Gap-Down Snapback (AAPL, +100.3%). 0 of 95 daily strategies beat buy-and-hold of their own symbol (SPY buy-and-hold: +246.9%).

⚠️ One backtest on one symbol is a hypothesis, not proof. Past performance ≠ future results; strategies with few trades have wide error bars. Green edge bar = beat buy-and-hold. Re-run any of these on the 🧪 Backtest & Bots page before trusting them with a bot. The Chart page's buy meter uses the top 10 rows of this report.

Top 15 (daily, by total return)

#	Strategy	Category	Symbol	TF	Return	Buy&Hold	CAGR	Sharpe	Max DD	Trades	Win%
1	Breakout: Volume-Confirmed 20-Day Highbrk_volume_thrust	Breakout	NVDA	1d	+392.8%	+4004.4%	+28.2%	1.24	-22.2%	28.0	71%
2	Momentum: Coppock Curve Turnmom_coppock	Momentum	SPY	1d	+175.5%	+246.9%	+17.1%	1.10	-25.9%	45.0	41%
3	Trend: EMA 9/21 Crosstrend_ema_9_21	Trend Following	QQQ	1d	+123.0%	+324.1%	+13.3%	0.91	-26.2%	63.0	45%
4	Trend: MACD Zero-Line Crosstrend_macd_zero	Trend Following	SPY	1d	+116.1%	+246.9%	+12.8%	1.10	-11.8%	41.0	60%
5	Trend: SMA 50 Slope Ridertrend_slope_sma50	Trend Following	SPY	1d	+112.0%	+246.9%	+12.4%	1.07	-18.0%	23.0	82%
6	MeanRev: Internal Bar Strengthmrev_ibs	Mean Reversion	SPY	1d	+111.0%	+246.9%	+12.3%	1.04	-10.8%	391.0	66%
7	Trend: Price vs EMA 50trend_price_ema50	Trend Following	QQQ	1d	+109.7%	+324.1%	+12.2%	0.83	-26.4%	101.0	34%
8	Breakout: Gap-and-Gobrk_gap_up	Breakout	NVDA	1d	+109.0%	+4004.4%	+12.2%	0.53	-52.5%	196.0	42%
9	Momentum: 3-Month Rate of Changemom_roc	Momentum	SPY	1d	+107.8%	+246.9%	+12.1%	1.05	-26.5%	49.0	62%
10	Momentum: 12-1 Month (Skip Last Month)mom_12_1	Momentum	SPY	1d	+100.9%	+246.9%	+11.5%	0.91	-18.1%	17.0	62%
11	MeanRev: Gap-Down Snapbackmrev_gap_down	Mean Reversion	AAPL	1d	+100.3%	+433.4%	+11.4%	1.42	-6.5%	80.0	72%
12	MeanRev: Money Flow Index 20/80mrev_mfi	Mean Reversion	SPY	1d	+99.6%	+246.9%	+11.4%	0.95	-19.3%	12.0	83%
13	Trend: WMA 10/40 Crosstrend_wma_cross	Trend Following	SPY	1d	+99.6%	+246.9%	+11.4%	0.99	-16.6%	53.0	58%
14	MeanRev: RSI 30/70mrev_rsi14	Mean Reversion	SPY	1d	+98.2%	+246.9%	+11.2%	0.85	-19.3%	12.0	83%
15	Trend: EMA 12/50 Crosstrend_ema_12_50	Trend Following	SPY	1d	+96.6%	+246.9%	+11.1%	0.96	-20.1%	31.0	47%

Full ranking — daily strategies (95)

#	Strategy	Category	Symbol	TF	Return	Buy&Hold	CAGR	Sharpe	Max DD	Trades	Win%
1	Breakout: Volume-Confirmed 20-Day Highbrk_volume_thrust	Breakout	NVDA	1d	+392.8%	+4004.4%	+28.2%	1.24	-22.2%	28.0	71%
2	Momentum: Coppock Curve Turnmom_coppock	Momentum	SPY	1d	+175.5%	+246.9%	+17.1%	1.10	-25.9%	45.0	41%
3	Trend: EMA 9/21 Crosstrend_ema_9_21	Trend Following	QQQ	1d	+123.0%	+324.1%	+13.3%	0.91	-26.2%	63.0	45%
4	Trend: MACD Zero-Line Crosstrend_macd_zero	Trend Following	SPY	1d	+116.1%	+246.9%	+12.8%	1.10	-11.8%	41.0	60%
5	Trend: SMA 50 Slope Ridertrend_slope_sma50	Trend Following	SPY	1d	+112.0%	+246.9%	+12.4%	1.07	-18.0%	23.0	82%
6	MeanRev: Internal Bar Strengthmrev_ibs	Mean Reversion	SPY	1d	+111.0%	+246.9%	+12.3%	1.04	-10.8%	391.0	66%
7	Trend: Price vs EMA 50trend_price_ema50	Trend Following	QQQ	1d	+109.7%	+324.1%	+12.2%	0.83	-26.4%	101.0	34%
8	Breakout: Gap-and-Gobrk_gap_up	Breakout	NVDA	1d	+109.0%	+4004.4%	+12.2%	0.53	-52.5%	196.0	42%
9	Momentum: 3-Month Rate of Changemom_roc	Momentum	SPY	1d	+107.8%	+246.9%	+12.1%	1.05	-26.5%	49.0	62%
10	Momentum: 12-1 Month (Skip Last Month)mom_12_1	Momentum	SPY	1d	+100.9%	+246.9%	+11.5%	0.91	-18.1%	17.0	62%
11	MeanRev: Gap-Down Snapbackmrev_gap_down	Mean Reversion	AAPL	1d	+100.3%	+433.4%	+11.4%	1.42	-6.5%	80.0	72%
12	MeanRev: Money Flow Index 20/80mrev_mfi	Mean Reversion	SPY	1d	+99.6%	+246.9%	+11.4%	0.95	-19.3%	12.0	83%
13	Trend: WMA 10/40 Crosstrend_wma_cross	Trend Following	SPY	1d	+99.6%	+246.9%	+11.4%	0.99	-16.6%	53.0	58%
14	MeanRev: RSI 30/70mrev_rsi14	Mean Reversion	SPY	1d	+98.2%	+246.9%	+11.2%	0.85	-19.3%	12.0	83%
15	Trend: EMA 12/50 Crosstrend_ema_12_50	Trend Following	SPY	1d	+96.6%	+246.9%	+11.1%	0.96	-20.1%	31.0	47%
16	Trend: VWMA 10/30 Crosstrend_vwma_cross	Trend Following	SPY	1d	+96.4%	+246.9%	+11.1%	0.97	-15.0%	53.0	62%
17	Momentum: Awesome Oscillator Zero Crossmom_ao_zero	Momentum	SPY	1d	+89.1%	+246.9%	+10.4%	0.91	-23.5%	55.0	59%
18	Breakout: Turtle Donchian 20/10brk_donchian_turtle	Breakout	SPY	1d	+87.1%	+246.9%	+10.2%	0.99	-8.6%	61.0	57%
19	Candles: Hammer Reversalcandle_hammer	Candlesticks	MSFT	1d	+85.3%	+262.6%	+10.1%	0.63	-28.3%	42.0	90%
20	Trend: Hull MA 21/55 Crosstrend_hma_cross	Trend Following	SPY	1d	+84.5%	+246.9%	+10.0%	0.90	-15.8%	99.0	59%
21	System: SuperTrend Followersys_supertrend	Stop Systems	SPY	1d	+83.4%	+246.9%	+9.9%	0.94	-14.9%	55.0	59%
22	MeanRev: SMA Envelope Fademrev_envelope	Mean Reversion	AAPL	1d	+81.8%	+433.4%	+9.8%	0.65	-14.8%	50.0	76%
23	System: Ichimoku Cloud Breakoutsys_ichimoku_kumo	Stop Systems	SPY	1d	+78.6%	+246.9%	+9.5%	0.88	-15.9%	51.0	40%
24	Momentum: Aroon Crossmom_aroon	Momentum	SPY	1d	+78.5%	+246.9%	+9.4%	0.93	-12.9%	85.0	60%
25	Momentum: TRIX Zero Crossmom_trix	Momentum	SPY	1d	+78.2%	+246.9%	+9.4%	0.82	-24.8%	29.0	50%
26	Calendar: Sell in May (Halloween Indicator)cal_sell_in_may	Calendar	SPY	1d	+77.2%	+246.9%	+9.3%	0.73	-17.8%	14.0	71%
27	Trend: SMA 20/50 Crosstrend_sma_20_50	Trend Following	SPY	1d	+76.9%	+246.9%	+9.3%	0.82	-26.6%	27.0	54%
28	Breakout: 20-Day Close Channelbrk_close_channel	Breakout	SPY	1d	+76.7%	+246.9%	+9.3%	0.96	-7.5%	75.0	49%
29	MeanRev: Bollinger %Bmrev_bb_percent_b	Mean Reversion	SPY	1d	+76.3%	+246.9%	+9.2%	0.82	-11.0%	60.0	87%
30	MeanRev: Z-Score Reversionmrev_zscore	Mean Reversion	SPY	1d	+76.3%	+246.9%	+9.2%	0.82	-11.0%	60.0	87%
31	System: Chandelier Exit Trendsys_chandelier	Stop Systems	SPY	1d	+69.8%	+246.9%	+8.6%	0.84	-8.6%	55.0	59%
32	System: Donchian Mid-Line Trailsys_donchian_mid	Stop Systems	SPY	1d	+69.5%	+246.9%	+8.6%	0.91	-8.2%	71.0	49%
33	MeanRev: CCI -100/+100mrev_cci	Mean Reversion	SPY	1d	+67.4%	+246.9%	+8.4%	0.66	-15.9%	60.0	83%
34	Momentum: 12-Month Absolutemom_12m	Momentum	SPY	1d	+66.8%	+246.9%	+8.3%	0.90	-21.8%	13.0	67%
35	Trend: Triple MA Alignment (10/20/50)trend_triple_ma	Trend Following	SPY	1d	+66.5%	+246.9%	+8.3%	0.88	-13.1%	59.0	55%
36	Trend: Golden Cross (SMA 50/200)trend_golden_cross	Trend Following	SPY	1d	+64.3%	+246.9%	+8.1%	0.80	-18.1%	3.0	100%
37	Trend: DEMA 10/30 Crosstrend_dema_cross	Trend Following	SPY	1d	+63.5%	+246.9%	+8.0%	0.77	-15.4%	127.0	41%
38	Trend: TEMA 10/30 Crosstrend_tema_cross	Trend Following	SPY	1d	+63.3%	+246.9%	+7.9%	0.75	-17.1%	144.0	49%
39	System: EMA Cross + ATR Trailsys_atr_trail	Stop Systems	SPY	1d	+60.4%	+246.9%	+7.6%	0.83	-11.6%	41.0	55%
40	Trend: Price vs SMA 200trend_price_sma200	Trend Following	SPY	1d	+60.1%	+246.9%	+7.6%	0.86	-14.3%	29.0	43%
41	Momentum: MACD Histogram Turnmom_macd_hist_turn	Momentum	SPY	1d	+58.7%	+246.9%	+7.5%	0.60	-26.8%	107.0	64%
42	MeanRev: Keltner Lower-Band Fademrev_keltner	Mean Reversion	SPY	1d	+58.6%	+246.9%	+7.4%	0.72	-11.0%	40.0	80%
43	System: Ichimoku TK Crosssys_ichimoku_tk	Stop Systems	SPY	1d	+56.0%	+246.9%	+7.2%	0.90	-12.3%	33.0	69%
44	Volatility: Quiet-Market Momentumvol_atr_percent_filter	Volatility	SPY	1d	+54.7%	+246.9%	+7.0%	1.00	-7.9%	39.0	63%
45	MeanRev: Uptrend Pullback to SMA 20mrev_pullback_sma20	Mean Reversion	SPY	1d	+52.7%	+246.9%	+6.8%	0.76	-12.2%	128.0	80%
46	Calendar: New-Quarter Inflowscal_quarter_start	Calendar	SPY	1d	+51.1%	+246.9%	+6.7%	0.84	-11.3%	52.0	81%
47	Momentum: Vortex Crossmom_vortex	Momentum	SPY	1d	+50.6%	+246.9%	+6.6%	0.62	-16.9%	123.0	49%
48	Momentum: OBV Confirmationmom_obv_trend	Momentum	SPY	1d	+50.3%	+246.9%	+6.6%	0.74	-9.8%	211.0	48%
49	System: Parabolic SAR Followersys_psar	Stop Systems	SPY	1d	+49.8%	+246.9%	+6.5%	0.59	-23.6%	159.0	53%
50	Regime: Z-Score Scale-Inregime_scale_in	Regime/Hybrid	SPY	1d	+49.3%	+246.9%	+6.5%	0.76	-9.3%	248.0	57%
51	MeanRev: Connors Double 7smrev_double7	Mean Reversion	SPY	1d	+47.8%	+246.9%	+6.3%	0.77	-11.2%	115.0	79%
52	Momentum: Chaikin Money Flowmom_cmf	Momentum	SPY	1d	+47.5%	+246.9%	+6.2%	0.68	-15.6%	54.0	63%
53	Candles: Key Reversal Daycandle_key_reversal	Candlesticks	SPY	1d	+45.9%	+246.9%	+6.1%	0.52	-17.3%	28.0	64%
54	Volatility: High-Vol Mean Reversionvol_hv_rank_meanrev	Volatility	SPY	1d	+45.6%	+246.9%	+6.0%	0.76	-9.3%	90.0	80%
55	Volatility: Low-Vol Trend Ridervol_low_vol_trend	Volatility	SPY	1d	+44.6%	+246.9%	+5.9%	0.71	-12.4%	81.0	57%
56	Momentum: KST Signal Crossmom_kst	Momentum	SPY	1d	+44.0%	+246.9%	+5.9%	0.58	-20.0%	95.0	62%
57	System: PSAR + MACD Agreementsys_psar_macd	Stop Systems	SPY	1d	+42.2%	+246.9%	+5.6%	0.60	-16.8%	153.0	47%
58	Candles: Williams 'Oops' Gap Reversalcandle_oops_gap	Candlesticks	AAPL	1d	+40.9%	+433.4%	+5.5%	0.60	-13.7%	162.0	60%
59	MeanRev: Williams %Rmrev_willr	Mean Reversion	SPY	1d	+40.1%	+246.9%	+5.4%	0.51	-14.8%	72.0	75%
60	Regime: ADX Mode Switchregime_adx_switch	Regime/Hybrid	SPY	1d	+40.0%	+246.9%	+5.4%	0.87	-5.6%	22.0	82%
61	MeanRev: Stochastic Oversold Popmrev_stoch	Mean Reversion	SPY	1d	+37.8%	+246.9%	+5.1%	0.47	-17.8%	50.0	80%
62	Breakout: NR7 Range Contractionbrk_nr7	Breakout	AAPL	1d	+37.2%	+433.4%	+5.1%	0.43	-22.6%	134.0	40%
63	Breakout: 52-Week Highbrk_52w_high	Breakout	SPY	1d	+35.5%	+246.9%	+4.9%	0.70	-8.3%	35.0	47%
64	MeanRev: StochRSI Oversold Popmrev_stochrsi	Mean Reversion	SPY	1d	+35.0%	+246.9%	+4.8%	0.52	-21.6%	82.0	76%
65	MeanRev: Connors RSI-2mrev_rsi2	Mean Reversion	SPY	1d	+34.6%	+246.9%	+4.7%	0.81	-8.0%	102.0	78%
66	Breakout: ATR Channelbrk_atr_channel	Breakout	SPY	1d	+34.2%	+246.9%	+4.7%	0.57	-12.1%	67.0	48%
67	Momentum: ADX Trend + DI Crossmom_adx_di	Momentum	SPY	1d	+33.6%	+246.9%	+4.6%	0.85	-6.4%	24.0	58%
68	MeanRev: Three Down Daysmrev_3down	Mean Reversion	SPY	1d	+32.3%	+246.9%	+4.5%	1.02	-4.2%	111.0	75%
69	Calendar: Turn-of-Month Effectcal_turn_of_month	Calendar	SPY	1d	+31.4%	+246.9%	+4.3%	0.50	-22.4%	154.0	64%
70	Breakout: Turtle Donchian 55/20brk_donchian55	Breakout	SPY	1d	+29.9%	+246.9%	+4.2%	0.48	-23.3%	35.0	65%
71	MeanRev: Chande Momentum Oscillatormrev_cmo	Mean Reversion	SPY	1d	+29.7%	+246.9%	+4.1%	0.48	-13.6%	52.0	77%
72	Candles: Doji After Declinecandle_doji_reversal	Candlesticks	SPY	1d	+29.5%	+246.9%	+4.1%	0.77	-11.0%	44.0	82%
73	Trend: Linear Regression (LSMA 25) Crosstrend_lsma_cross	Trend Following	SPY	1d	+27.3%	+246.9%	+3.8%	0.39	-22.3%	314.0	44%
74	MeanRev: Ultimate Oscillatormrev_uo	Mean Reversion	SPY	1d	+26.0%	+246.9%	+3.7%	0.74	-8.5%	12.0	100%
75	Momentum: Chaikin Oscillator Crossmom_chaikin_osc	Momentum	SPY	1d	+23.7%	+246.9%	+3.4%	0.33	-23.3%	156.0	44%
76	Candles: Bullish Haramicandle_harami	Candlesticks	SPY	1d	+23.6%	+246.9%	+3.4%	0.38	-15.7%	42.0	81%
77	Momentum: Force Index Trendmom_force	Momentum	SPY	1d	+22.6%	+246.9%	+3.2%	0.42	-11.6%	183.0	44%
78	Breakout: Keltner Channel Ridebrk_keltner_upper	Breakout	SPY	1d	+20.3%	+246.9%	+2.9%	0.43	-11.9%	59.0	45%
79	Breakout: Bollinger Band Ridebrk_bb_upper	Breakout	SPY	1d	+18.5%	+246.9%	+2.7%	0.39	-9.7%	59.0	48%
80	MeanRev: Detrended Price Oscillatormrev_dpo	Mean Reversion	SPY	1d	+17.4%	+246.9%	+2.5%	0.37	-12.9%	110.0	58%
81	Regime: Bull-Only RSI Dipsregime_sma200_rsi	Regime/Hybrid	SPY	1d	+14.2%	+246.9%	+2.1%	0.39	-12.8%	30.0	60%
82	Volatility: Capitulation Reversalvol_capitulation	Volatility	SPY	1d	+13.6%	+246.9%	+2.0%	0.43	-6.0%	2.0	100%
83	Calendar: Turnaround Tuesdaycal_turnaround_tuesday	Calendar	SPY	1d	+12.9%	+246.9%	+1.9%	0.37	-10.6%	228.0	56%
84	Candles: Three White Soldierscandle_three_soldiers	Candlesticks	SPY	1d	+5.8%	+246.9%	+0.9%	0.14	-20.9%	144.0	42%
85	Volatility: TTM-Style Squeezevol_ttm_squeeze	Volatility	SPY	1d	+5.2%	+246.9%	+0.8%	0.20	-6.8%	18.0	44%
86	Breakout: Inside-Bar Breakbrk_inside_bar	Breakout	MSFT	1d	+4.8%	+262.6%	+0.7%	0.12	-17.4%	80.0	40%
87	Volatility: Bollinger Squeeze Breakoutvol_bb_squeeze	Volatility	SPY	1d	+1.8%	+246.9%	+0.3%	0.14	-3.7%	4.0	50%
88	Calendar: Santa Claus Rallycal_santa_rally	Calendar	SPY	1d	+1.0%	+246.9%	+0.2%	0.07	-5.5%	12.0	67%
89	System: Golden Cross + Chandeliersys_golden_atr	Stop Systems	SPY	1d	+0.2%	+246.9%	+0.0%	0.03	-4.0%	4.0	50%
90	System: SuperTrend Dip Buyersys_supertrend_pullback	Stop Systems	SPY	1d	+0.1%	+246.9%	+0.0%	0.06	-0.5%	2.0	100%
91	Calendar: Monday Dip, Friday Exitcal_monday_dip	Calendar	SPY	1d	-1.7%	+246.9%	-0.3%	0.02	-22.6%	267.0	51%
92	Volatility: Keltner Width Squeezevol_keltner_squeeze	Volatility	SPY	1d	-6.8%	+246.9%	-1.1%	-0.35	-12.8%	16.0	25%
93	Candles: Bullish Engulfingcandle_engulfing	Candlesticks	AAPL	1d	-6.8%	+433.4%	-1.1%	0.01	-27.0%	22.0	45%
94	Breakout: Range Expansion Daybrk_expansion	Breakout	SPY	1d	-7.3%	+246.9%	-1.2%	-0.42	-8.7%	16.0	38%
95	Volatility: Contraction Breakout (VCP-style)vol_contraction	Volatility	NVDA	1d	+0.0%	+4004.4%	+0.0%	—	+0.0%	0.0	—

Intraday strategies (6)

Short history only (yfinance caps: ~60 days of 5m/15m, ~2 years of 1h) — not comparable to the daily table.

#	Strategy	Category	Symbol	TF	Return	Buy&Hold	CAGR	Sharpe	Max DD	Trades	Win%
1	Intraday: MACD Cross (1h)intra_macd_1h	Intraday	QQQ	1h	+26.8%	+99.5%	+8.1%	0.69	-21.1%	370.0	42%
2	Intraday: VWMA Trend (1h)intra_vwma_1h	Intraday	SPY	1h	+20.0%	+80.5%	+6.1%	0.72	-14.8%	200.0	39%
3	Intraday: Bollinger Fade (5m)intra_bb_5m	Intraday	SPY	5m	+0.1%	+1.7%	+0.2%	0.07	-3.1%	169.0	60%
4	Intraday: RSI Reversion (15m)intra_rsi_15m	Intraday	SPY	15m	-0.1%	+1.0%	-0.3%	0.02	-4.2%	13.0	67%
5	Intraday: Stochastic Pop (15m)intra_stoch_15m	Intraday	SPY	15m	-1.2%	+1.0%	-5.1%	-0.55	-2.8%	55.0	63%
6	Intraday: EMA 9/21 Scalp (5m)intra_ema_scalp_5m	Intraday	SPY	5m	-4.0%	+1.7%	-16.0%	-2.24	-6.8%	180.0	28%