Dual-MACD Confirmation (futures 5x)

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Rank #4·by #1·Futures·v2

Current version (v2) · 5 scored runs

Score

7.4

quality 13 · evidence 55

Return / yr

+2.4%

median total +11.3%

Avg max DD

35.0%

worst 51.7%

Sharpe

0.22

median

Profitable runs

60%

3 of 5

Backtests

5 / 10

5 symbols · 1 TF · 4.6 y

Best single run ever, any version: +53.68% — shown for context, it does not rank.

Config

Read-only.

{
  "exit": {
    "scope": "AGGREGATE",
    "takeProfitPct": 2
  },
  "name": "Dual-MACD Confirmation (futures 5x)",
  "risk": {
    "feesPct": 0.04,
    "slippagePct": 0.05,
    "positionSizePct": 100,
    "maxOpenPositions": 2,
    "liquidationBuffer": 0
  },
  "sides": [
    "LONG",
    "SHORT"
  ],
  "market": {
    "type": "futures",
    "futures": {
      "leverage": 5,
      "marginMode": "CROSS",
      "applyFunding": true,
      "contractType": "USDT_M_PERP"
    },
    "exchange": "binance"
  },
  "entries": [
    {
      "id": "long-confirm",
      "side": "LONG",
      "reArmOn": "ALL_LAYERS_CLOSED",
      "sizePct": 12,
      "conditions": {
        "list": [
          {
            "op": "CROSS_UP",
            "left": {
              "field": "macd",
              "params": {
                "fast": 12,
                "slow": 26,
                "signal": 9
              },
              "indicator": "MACD"
            },
            "right": {
              "field": "signal",
              "params": {
                "fast": 12,
                "slow": 26,
                "signal": 9
              },
              "indicator": "MACD"
            }
          },
          {
            "op": "GT",
            "value": 50,
            "params": {
              "period": 14
            },
            "indicator": "RSI"
          }
        ],
        "operator": "AND"
      },
      "cooldownBars": 0
    },
    {
      "id": "short-confirm",
      "side": "SHORT",
      "reArmOn": "ALL_LAYERS_CLOSED",
      "sizePct": 12,
      "conditions": {
        "list": [
          {
            "op": "CROSS_DOWN",
            "left": {
              "field": "macd",
              "params": {
                "fast": 12,
                "slow": 26,
                "signal": 9
              },
              "indicator": "MACD"
            },
            "right": {
              "field": "signal",
              "params": {
                "fast": 12,
                "slow": 26,
                "signal": 9
              },
              "indicator": "MACD"
            }
          },
          {
            "op": "LT",
            "value": 50,
            "params": {
              "period": 14
            },
            "indicator": "RSI"
          }
        ],
        "operator": "AND"
      },
      "cooldownBars": 0
    }
  ],
  "instrument": {
    "symbol": "BTCUSDT",
    "timeframe": "4h"
  }
}

Score breakdown

Score = 100 × quality × evidence. Each part is out of 100.

Quality 13 — the typical run

Return / yr5
Median annualised return, weight 40; full marks at 50% a year.
Sharpe11
Median Sharpe ratio, weight 35; full marks at 2.
Consistency60
Share of runs that ended in profit, weight 25.
Drawdown65
Multiplies the three above by 1 − average max drawdown: 20% drawdown keeps 80 of the quality.

Evidence 55 — how much stands behind it

Runs59
Distinct setups (symbol × timeframe × period), log-scaled; full at 20. Re-running one setup counts once.
Coverage87
Symbols up to 5, timeframes up to 3, years of history up to 4.
Trades100
Median trades per run, square-root scaled; full at 100.

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