Research Report

This report presents the results of a quantitative strategy research pipeline. For methodology details, see Appendix: Methodology.

How To Read This Report

Start with Summary

Use Step 11 for the shortest overview: final candidates, benchmark checks, warnings, and the main conclusions.

Then inspect Scoring

Use Step 06 to understand why candidates ranked where they did: robustness, regime behavior, and parameter stability are shown separately.

Use Benchmark for reality checks

Use Step 07 to compare shortlisted candidates against buy-and-hold on full, yearly, and monthly periods.

Treat diagnostics as diagnostics

Leverage Suitability, Slippage Sensitivity, and Walk-Forward Adaptability help evaluate execution risk and adaptability, but they do not overwrite the final composite ranking.

Pipeline Overview

01Baseline Backtesting›02Parameter Optimization›03SL/TP Optimization›04Robustness Analysis›05Regime Analysis›06Scoring›07Shortlist Benchmark›08Leverage Suitability›09Slippage Sensitivity›10Walk-Forward Adaptability›11Summary

Candidate Lifecycle

UniverseBaseline + gridStatic references and all grid parameter sets are tested.
DiscoveryMetric winnersSpecialists and balanced candidates are selected from the optimization surface.
OverlaySL/TP variantsStop-loss and take-profit variants are generated for metric winners.
ValidationRobustness + regimesCandidates are checked across rolling windows, OOS periods, and market regimes.
RankingComposite scoreFinal shortlist is ranked by robustness, regime behavior, and parameter stability.
DiagnosticsBenchmark + riskFinal candidates are compared with buy-and-hold and checked for leverage/adaptability risk.

Strategy

Strategy

StrategyEmaCrossStrategy
DescriptionA simple EMA crossover strategy that generates buy signals when a short-term EMA crosses above a long-term EMA. The strategy is designed to capture trends in the market. It can be applied to various timeframes and assets, and its performance can be sensitive to the choice of EMA periods.
Strategy TypeTrend following

Execution And Market Assumptions

PairBTC/USDT
Timeframe4h
Exchangebinance
Directionlongonly
Initial cash10000
Position size1000.00
Metrics baseallocation
Fees0.100%
Order Typemarket
Execution Slippage0.0000%

Research Periods

Research period01.01.2022-01.01.2024
Validation period01.01.2024-01.01.2025
Robustness Analysis period01.01.2022-01.01.2025
Robustness Analysis window / shift12m / 3m
OOS 101.01.2025-01.07.2025
OOS 201.07.2025-01.01.2026
Full period01.01.2022-01.01.2026

Important Assumptions

Research Steps

Baseline

Sanity-check backtests static reference parameter sets before any optimization.

Step 01Baseline Backtesting

Candidate Construction

Searches the parameter grid for metric winners, then extends them with SL/TP overlays to build the full candidate universe.

Step 02Parameter OptimizationStep 03SL/TP Optimization

Validation

Stress checks candidates across rolling windows, OOS periods, regimes, slippage assumptions, and adaptive train/test windows.

Step 04Robustness AnalysisStep 05Regime AnalysisStep 09Slippage SensitivityStep 10Walk-Forward Adaptability

Decision

Combines scores and summarizes the final research result.

Step 06ScoringStep 11Summary

Risk And Benchmark

Compares shortlisted candidates against buy-and-hold and checks leverage suitability.

Step 07Shortlist BenchmarkStep 08Leverage Suitability

Appendix

Methodology, concrete configuration, and score formulas.

AppendixMethodologyAppendixConfigurationAppendixScores