Moon Dev — Backtest Strategy Rankings

Top 10 Strategies — Ranked by Sharpe × Trade Count

Liquidations — Feb 26 (DC08)

Kalman + Donchian triple-condition liquidation momentum on BTC 5m

Crypto · BTC 5m

15.85

Sharpe

101.5

Sortino

-1.05%

Max DD

+152%

Return

71.8%

Win Rate

4,848

Trades

4/4 Robustness PASS

Best single strategy in the entire project. Annualized ~84.5% unscaled. At 25% position sizing → Sharpe 8.4, ~2,974% return. DC08 variant (RatioBB filter).

Liquidations — April 24 (Agent 2)

Ratio extremes + Bollinger Band slope/width regime + drawdown throttle

Crypto · BTC 5m

7.055

Sharpe

8,704

Sortino

-0.94%

Max DD

+54,597%

Return*

88.8%

Win Rate

4,900

Trades

*Return is compounding artifact — use Sharpe/DD

Agent 2 dominated April 24 gauntlet. Agent 3 (pullback momentum) also strong at Sharpe 2.47.

Liquidations — April 16 (Agent 1 v15)

Adaptive Kalman + Donchian with percentile liq threshold — 3 alignment conditions

Crypto · BTC 5m

4.71

Sharpe

91,951

Sortino

-4.87%

Max DD

+152% seed

Return

71.0%

Win Rate

11,770

Trades

Robustness Tested

Largest trade count of all strategies — highest statistical significance. v15 is best iteration after multi-round agent optimization.

Oil Daily Break

Fades the daily CME open drift on WTI Crude (CL) with ATR-based stops

Oil · WTI Futures · HIP3

6.25

Sharpe

—

Sortino

-2.06%

Max DD

+35.5%

Return

66.1%

Win Rate

Trades

Single instrument

AgentD ATR_1x / 1% SL config best. Real instrument, real market. Could be combined with oil_weekend for broader coverage.

Liquidations — Jan 26 (V8 Optimized)

Liquidation cascade momentum-pullback — BTC 5m, $500K threshold

Crypto · BTC 5m

4.13

Sharpe

—

Sortino

-7.45%

Max DD

+3,418%

Return*

66.6%

Win Rate

—

Trades

4/4 Robustness PASS

*Return is compounding artifact. V8 passed walk-forward, permutation, parameter sensitivity, and cost robustness tests. Trade count not extracted from results.

Clawdbot — S16

Accelerating 3-bar liquidation cascade momentum — trades directional liq spikes

Crypto · BTC 5m

3.31

Sharpe

82.16

Sortino

-18.5%

Max DD

+6,602%

Return*

93.4%

Win Rate

1,782

Trades

Grade A · Walk-Forward PASSDD near limit

S17 variant: Sharpe 3.305, return 10,783%, also Grade A. DD at 18.5% is within 20% threshold but worth monitoring. High win rate (93.4%) is outstanding.

HIP3 — Agent 14

Pre-market range break-rejection fade on SP500 — 10–12 ET window

Equities · SP500 · HIP3

6.77

Sharpe

—

Sortino

-0.07%

Max DD

+0.58%

Return

83.8%

Win Rate

Trades

Only 31 trading days of data

Sharpe 6.77 is impressive but based on 31 days only. Needs 6–12 months to confirm. Range fade + break-rejection strategy on SP500. Round 3 agent, best of 15.

Fibonacci Circles

Fibonacci circle S/R levels with ADX trend confirmation entries

Equities · TSLA 5m

3.742

Sharpe

50.04

Sortino

-2.81%

Max DD

+18.23%

Return

67.4%

Win Rate

Trades

Single 30-day TSLA dataset

Strong metrics but tested only on TSLA 5m over 30 days. Needs multi-asset, multi-period validation before live use.

Volume Breakout (Kalman)

Kalman-filtered volume-confirmed price breakout strategy

Crypto · SOL 15m

1.817

Sharpe

3.47

Sortino

-6.05%

Max DD

+42.18%

Return

75.6%

Win Rate

Trades

Single asset tested

Most "normal" strategy with solid metrics and adequate trade count. Best candidate for multi-asset expansion. Kalman variant outperforms base.

#10

Trending (Ensemble)

Suite of MA/MACD/Donchian trend strategies combined for best signal

Equities · TSLA 5m

1.531

Sharpe

4.84

Sortino

-7.86%

Max DD

+5.16%

Return

36.6%

Win Rate

Trades

Low win rate — trend-following style

71 trades is the best sample size among non-liquidation strategies. Low win rate is typical of trend-following (big winners, many small losses). 12 sub-strategies combined.

All Strategies — Full Data

Rank ↕	Strategy ↕	Market ↕	Return % ↕	Sharpe ↓ ↑	Sortino ↕	Max DD % ↕	Win Rate % ↕	Trades ↕	Status	Notes
1	Liquidations — Feb 26 DC08 · Kalman + Donchian	Crypto BTC 5m	+152%	15.85	101.5	-1.05%	71.82%	4,848	4/4 Robust	Best overall. At 25% pos size → Sharpe 8.4
2	Liquidations — April 24 Agent 2 · RatioBB + Slope	Crypto BTC 5m	+54,597%*	7.055	8,704	-0.94%	88.8%	4,900	Agent 2 Dominant	*Compounding artifact. Sharpe and DD are the real story.
3	Liquidations — April 16 Agent 1 v15 · Adaptive Kalman	Crypto BTC 5m	+152% seed*	4.71	91,951	-4.87%	71.0%	11,770	Robustness Tested	Highest trade count = most significant result. v15 best of all agent iterations.
4	Oil Daily Break AgentD ATR_1x / 1% SL	Oil WTI HIP3	+35.5%	6.25	—	-2.06%	66.1%	62	Single Instrument	Real CME product. Best non-liquidation result. Could pair with oil_weekend.
5	Liquidations — Jan 26 V8 Optimized · $500K threshold	Crypto BTC 5m	+3,418%*	4.13	—	-7.45%	66.6%	—	4/4 Robust	*Compounding artifact. Walk-forward + all robustness tests passed.
6	Clawdbot S16 · 3-bar Cascade Momentum	Crypto BTC 5m	+6,602%*	3.31	82.16	-18.5%	93.4%	1,782	Grade ADD Near Limit	93.4% win rate is exceptional. DD at 18.5% — monitor closely. S17 also Grade A.
7	HIP3 — Agent 14 Round 3 · Range Fade / Break-Reject	Equities SP500	+0.58%	6.77	—	-0.07%	83.8%	37	31 Days Only	Extraordinary Sharpe on thin data. Needs 6–12 months of live data to confirm.
8	Fibonacci Circles ADX Confirmation	Equities TSLA 5m	+18.23%	3.742	50.04	-2.81%	67.4%	86	1 Dataset · 30D	Great metrics, single dataset. Multi-asset validation needed before live use.
9	Volume Breakout Kalman Filter Variant	Crypto SOL 15m	+42.18%	1.817	3.47	-6.05%	75.6%	86	1 Asset	Best "conventional" strategy. High win rate, low DD. Best candidate for multi-asset expansion.
10	Trending (Ensemble) 12-Strategy Combined Suite	Equities TSLA 5m	+5.16%	1.531	4.84	-7.86%	36.6%	71	Low Win Rate	Low win rate is normal for trend-following (large wins, frequent small losses). 71 trades best non-liq sample.
11	Oil Weekend Agent A · HIP3 CL	Oil WTI HIP3	+23.4%	4.97	—	-2.08%	69.2%	13	13 Trades Only	Would rank higher if sample were larger. Only 13 qualifying weekends tested.
12	Trend Impulse ADXCombo · Multi-indicator	Equities TSLA 5m	+28.79%	3.531	99.41	-3.71%	58.6%	29	1 Dataset · 30D	Impressive Sortino. Low trade count and single dataset prevent higher ranking.
13	VWAP Volume Spike v2 Mean Reversion (best of v1–v10)	Crypto SOL 1m	+6.51%	2.696	∞	-3.19%	83.3%	6	6 Trades — v2	v10 (daily momentum) has 56 trades at Sharpe 1.71 — more statistically meaningful.
14	Order Blocks ICT Breakout Confirmation	Equities TSLA 5m	+13.38%	3.54	45.17	-3.25%	35.7%	14	14 Trades Only	Low win rate, thin sample. Needs much more data before deployment.
15	SMA Variations VWAP Filter · HYPE 4h	Crypto HIP3 HYPE	+9.28%	4.62	—	-1.36%	100%	5	5 Trades — Too Thin	High Sharpe but 5 trades is statistically meaningless. 100% win rate screams overfitting.
—	Supertrend MACD Confirmation · NVDA 1h	Equities NVDA 1h	+160.42%	1.709	5.04	-10.75%	63.5%	52	Cherry-Picked Asset	Best single dataset = NVDA hourly. Avg across 25 datasets: Sharpe only 0.49. Not reliable cross-market.
—	BE Indicator Aggregator MFI Variant · BTC 1m	Crypto BTC 1m	+16.14%	1.813	7.41	-10.12%	41.7%	36	Low Win Rate	36 trades, low win rate, BTC 1m only.
—	Trending (All) MA200, Golden Cross, MACD+ADX, Donchian	Equities TSLA 5m	+5.16%	1.531	4.84	-7.86%	36.6%	71	In Top 10	See Top 10 card above.
—	VWAP Price Channel Base · ES/NQ 4h	Futures ES/NQ	+6.65%	1.448	4.68	-3.04%	21.4%	14	Very Low Win Rate	Win rate of 21% is very low. Kalman variant generates 0 trades. Thin sample.
—	MACD Kalman Filter · ES 4h	Futures ES 4h	+10.57%	1.394	2.68	-7.33%	56.3%	16	16 Trades	Kalman improves base MACD results. Thin sample on ES 4h.
—	Volume by Time ADX Variant · TSLA 5m	Equities TSLA 5m	+8.37%	1.105	3.66	-11.76%	45.7%	35	Moderate	Time-of-day volume analysis. 35 trades, modest metrics.
—	VPT ADX Variant · BTC 1m	Crypto BTC 1m	+10.83%	1.241	3.36	-10.72%	45.5%	22	22 Trades	Volume Price Trend oscillator. Low win rate, thin sample.
—	RSI Radar Fixed Variant · TSLA 5m	Equities TSLA 5m	+7.25%	0.924	4.60	-17.05%	47.9%	94	Sharpe < 1.0	Best trade count among TSLA strategies (94). Sharpe just below threshold. Worth watching.
—	Bull Bear Sessions BTC Daily Directional Bias	Crypto BTC Daily	—*	1.282	8.71	-51.4%	72.8%	626	DD > 20% ✗	Disqualified: Max DD 51.4%. Would need leverage controls before use.
—	Ichimoku Theories Cloud + MFI · ETH Daily	Crypto ETH Daily	—*	1.005	4.02	-57.97%	59.9%	736	DD > 20% ✗	Disqualified: Max DD 58%. Long-run compounding artifact on ETH daily 1000wks.
—	ATAI Volume Pressure ETH Daily	Crypto ETH Daily	—*	0.949	2.87	-55.97%	70.7%	140	DD > 20% ✗	Disqualified: Max DD 56%. Long-run ETH daily result.
—	Angled Volume Profile 25 Datasets	Multi	+52.93%	0.827	—	-26.85%	45.8%	—	DD > 20% ✗	Disqualified: Max DD 26.85%.
—	Gap Strategies Long-Only Breakout	Equities BTC/Stocks	+849%	0.637	1.29	-51.59%	52.2%	429	DD > 20% ✗	Disqualified: Max DD 51.6%.
—	Multi-Timeframe Demand Zone BTC 1h · RSI entries	Crypto BTC 1h	-99.94%	-1.86	—	—	26.2%	362	BROKEN ✗	Data quality bug: 0 bearish bars in dataset. Strategy is broken.
—	Markov Chain State-Transition Regime	Crypto BTC	-99.08%	0.00	0.00	-99.11%	27.6%	17,127	FAILED ✗	Catastrophic base result. Strategy blows up account.
—	Timeinality Strategies Wednesday 12 UTC Short	Multi	-0.29% avg	-0.44 avg	—	—	—	—	UNPROFITABLE ✗	All variants average negative Sharpe. Strategy confirmed unprofitable.
—	Moving Average Crossover EMA 20/50 + ADX/MFI/Kalman	Multi	—	—	—	—	—	—	No Results CSV	Strategy described in STRATEGY_SUMMARY.md. No results data found.
—	Supply Demand Zones Multi-variant S/D detection	Crypto BTC 1m	—	—	—	—	—	—	No Results CSV	No results folder or CSV found.
—	Stat Arb Z-score + velocity/cluster filters	Crypto BTC 1m	—	—	—	—	—	—	Code Only	Multiple variant files. No results CSV. Worth running backtests on.
—	Lots of Trades HF Scalping Suite · v1–v3	Crypto BTC 1m	—	—	—	—	—	—	Code Only	Bollinger squeeze, EMA crossover, mean reversion variants. No results across v1–v3.
—	Elliott Wave 5-Wave Impulse Detection	Crypto BTC 1h	—	—	—	—	—	—	Code Only	Complex pattern detection with zigzag + Fibonacci validation. No results.
—	Periodic Linear Regression Weekly Anchors + MFI/ADX/Kalman	Multi	—	—	—	—	—	0	0 Trades Generated	All result CSVs show 0 trades. Signal conditions are too restrictive.
—	HIMS 1h RSI(2) Mean Reversion · HIP3	Equities HIP3 HIMS	—	—	—	—	—	—	No Compiled Results	Individual strategy files exist. Portfolio equity CSVs available but no compiled Sharpe/DD metrics.

🌙 Moon Dev — Backtest Strategy Rankings