Alpha Research
Alpha Research: MCX Crude Oil MA21 Strategy
Single Source of Truth for the PlusEV Trading System
Quick Reference: Backtest Proof
| Metric | Value | Notes |
|---|---|---|
| Total P&L | Rs +25,48,101 | 19-month validation period |
| Win Rate | 57.6% | Above 55% threshold |
| Profit Factor | 1.20 | Risk-adjusted returns |
| Total Trades | 7,534 | Statistical significance |
| Initial Capital | Rs 1,00,000 | Starting portfolio |
| Final Capital | Rs 26,48,101 | 2548% return |
Branch: rikk_mtf_backtest001
Commit: 68dae212
"In trading systems, empirical results > theoretical understanding. If the backtest shows it works, we ship it."
Core Trading Philosophy
Foundational Principles
- Simple systems outperform complex ones
- Market behavior is probabilistic, not predictive
- Goal is asymmetric probability positioning, not prediction
Asymmetric Probability Edge
When continuation probability drops, reversal odds rise.
- 15% continuation ⇒ ~85% reversal probability
- Strategy positions on the higher-probability side
Probability Zones (Halves & Thirds)
- Top Third → ~80% continuation (SHORT zone)
- Top Half → ~65% continuation
- Bottom Half → ~35% continuation
- Bottom Third → ~15% continuation (LONG zone with 85% reversal odds)
enable_probability_zone_filter = True probability_zone_swing_lookback = 20 probability_zone_min_range = 20.0
Crash Play (Core Strategy)
Crash Bar Definition
- Bar > 2x recent average size
- Fast, violent, elongated move
- Indicates structural break
Crash Play Logic
1. Identify crash bar 2. Divide into halves & thirds 3. Watch for bounce into zones 4. Enter on color change or upper-zone test
Statistical Edge
- ~85% odds favor continuation after crash
crash_bar_multiplier = 2.0
Pullback vs Collapse
Healthy Pullback
- 45-degree drift
- No violent bars
- Holds above midpoint
- Odds favor continuation
Collapse (No Trade)
- Vertical, violent selling
- Deep structural break
- Institutional liquidation
Identifying Market Tops
Major tops usually show 2+ of the following:
- 3–5 leg run-up
- Vertical acceleration in final leg
- Exhaustion bar
- Three-Finger Spread (Price–MA21–MA200)
three_finger_spread_threshold = 0.02
Entry Methodology
The Fab Four
- Previous Day High/Low
- 21-period MA
- 200-period MA
- Yesterday’s Close
MA is treated as a zone, not a line.
ma_buffer_points = 25.0
Entry Hierarchy
- Shorts → price just below Fab Four (ceiling)
- Longs → price just above Fab Four (floor)
Multi-Timeframe Alignment
2m, 5m, 15m, Daily alignment = high-quality setup
Stop Loss Methodology
Stop Types
- Event-based stop (preferred)
- Maximum loss stop (fallback)
Goal: Stop beyond Fab Four helping zone.
min_stop_distance = 40 default_stop_distance = 40
Trading Glossary (Engineer-Friendly)
| Term | Meaning | Why It Matters |
|---|---|---|
| Creeper Move | Small bars, quiet trend | Reversal risk |
| Railroad Trend | Alternating bars near MA | Healthy trend |
| Two-Day Trend | Sustained MA bias | A+ requirement |
| Crash Bar | >2x bar size | Structural break |
| Fab Four | Key reference levels | Stop logic |
System Architecture Overview
Data → Trend → Market State → Setup Quality → Signal → Execution
Setup Quality Scoring
| Factor | Weight |
|---|---|
| Timeframe Alignment | 30% |
| Trend Strength | 20% |
| Entry Quality | 15% |
| Key Levels | 20% |
| Risk/Reward | 15% |
Grade Thresholds
- A+ ≥ 90 → Auto
- A ≥ 80 → Auto
- B–D ≥ 60 → Manual
- F < 50 → Skip
Last Updated: 2026-01-05 | Branch: rikk_mtf_backtest001 | Validated: 19-month backtest