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.

At A Glance

30/ 100
Total Score
39of 52
Overall Rank
26of 28
In Trend
4,721
Trades Taken

Across 24 runs of real history, one for every market and bar size it trades, this strategy scored highest on XRPUSDT · 4h (64 / 100) and lowest on BTCUSDT · 1h (10 / 100).

What A $100.00 Stake Became

Score
Total Score Mean Of Real And Resampled 30 / 100
Real Data 25 / 100
Resampled Data 34 / 100
Overall Rank Top 75% 39 of 52
Rank In Trend Top 93% 26 of 28
By Metric
Beats Hold Real 10 · Resampled 34 22 / 100
Risk Adjusted Real 20 · Resampled 25 22 / 100
Profitability Real 16 · Resampled 20 18 / 100
Win Rate Real 37 · Resampled 41 39 / 100
Fee Efficiency Real 88 · Resampled 88 88 / 100

Where It Works

How It Trades

  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.

Example Strategy

Pine Script

Paste it into TradingView’s Pine Editor to run these rules on any chart.

//@version=6
// WMA 20 50 ADX Filtered — sort.finance. Fills at the signal bar's close, 0.02% fee a side,
// whole account per trade, as the backtest. History and indicator warm-up
// differ from the site's, so expect close to the same trades, not identical.
strategy("WMA 20 50 ADX Filtered", overlay=false,
     initial_capital=100, default_qty_type=strategy.percent_of_equity,
     default_qty_value=100, commission_type=strategy.commission.percent,
     commission_value=0.02, process_orders_on_close=true, pyramiding=0)

// The bar the current position opened on, and the bar the last one closed on.
var int entryBar = na
var int exitBar = -1

// ── Signals ──────────────────────────────────────────────────────────────
fast = ta.wma(close, 20)
slow = ta.wma(close, 50)
[diPlus, diMinus, adx] = ta.dmi(14, 14)
above = fast > slow
// Only the entry needs a trend behind it.
enterNow = above and not above[1] and adx > 25
exitNow = not above and above[1]

// ── Orders ───────────────────────────────────────────────────────────────
// Open on the first bar the entry holds while flat; close on the first
// later bar the exit holds; never reopen on the bar a position closed.
inTrade = strategy.position_size != 0
if inTrade and bar_index > entryBar and exitNow
    strategy.close("Long")
    exitBar := bar_index
else if not inTrade and bar_index > exitBar and enterNow
    strategy.entry("Long", strategy.long)
    entryBar := bar_index

// ── Drawing ──────────────────────────────────────────────────────────────
plot(fast, "WMA 20", color=#4d8dff, force_overlay=true)
plot(slow, "WMA 50", color=#e0a03a, force_overlay=true)
plot(adx, "ADX 14", color=#8a92a0)
hline(25, "Trend 25", color=color.new(#8a92a0, 40), linestyle=hline.style_dashed)
Show

Total Score

25 34 / 100

Score = 0.25 Sbeats_hold + 0.35 Srisk + 0.20 Sprofit + 0.10 Swin + 0.10 Sfee

One 0–100 number per symbol × timeframe cell. Every strategy is run on every cell, on both real and resampled price history, and the total beside its name is this number averaged over all of them.

Beats Hold

25% of the total

10 34 / 100

Sbeats_hold = clamp0100(50 + 25 log2EnetEhold)

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.

Read From Net Equity · Price Change %

Net Equity

The account after fees, trade by trade.

Price Change %

What holding the asset made over the same stretch: the hold the account is measured against.

Risk Adjusted

35% of the total

20 25 / 100

Srisk = clamp0100(55 · Sharpe + 5)

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.

Read From Rolling Sharpe

Rolling Sharpe

The account's annualized Sharpe ratio at each trade's close.

Profitability

20% of the total

16 20 / 100

Sprofit = clamp0100(20 log2EnetE0)

How many times the starting cash multiplied, on a log scale: each doubling of capital is worth 20 points.

Read From Net Equity · Cumulative P&L %

Net Equity

The account after fees, against the cash it started with.

Cumulative P&L %

Not in the formula: every trade's return added up rather than compounded.

Win Rate

10% of the total

37 41 / 100

Swin = clamp0100(2.5 (W% − 20))

The share of trades that closed profitable, rescaled so a 20% win rate scores 0 and a 60% win rate maxes out the scale.

Read From Win Rate % · Trades

Win Rate %

The share of trades so far that closed in profit.

Trades

How many trades that share is taken over.

Fee Efficiency

10% of the total

88 88 / 100

Sfee = clamp0100(Enet/Egross − 0.40.6 × 100)

The share of the fee-free (gross) result that survives after fees: 60% survival scores 0, keeping the full gross result scores 100.

Read From Equity, Net And Gross · Cumulative Fees

Equity, Net And Gross

The account with the fees taken and, fainter, without them.

Cumulative Fees

Not in the formula: what the exchange took, which is the gap between net and gross above.