# CYB50 Two-Strategy Quant Backtest

- Data: `chinext50.csv` (2014-06-18 to 2026-04-13, 2873 bars)
- Initial cash: `100000`
- Commission: `0.0010`
- Note: local index CSV has `volume=0` on all rows, so volume confirmation was auto-disabled for the standard strategy.

## Rules

### StandardBreakoutAtrStrategy
- Entry: close > MA20 > MA60 and close > prior 20-day high
- Extra filter: volume > 5-day average only when usable volume exists
- Exit: close < MA20, close < prior 10-day low, close < highest close since entry - 2.5 * ATR14, or after 15% gain a close < MA10

### MinimalBreakoutTrailStrategy
- Entry: close > MA20 > MA60 and close > prior 20-day high
- Exit: close < MA20 or trailing drawdown from highest close since entry > 8%

## Results

| Strategy | Final Value | Total Return | Annual Return | Sharpe | Max DD | Entries | Closed Trades | Win Rate | Avg Exposure |
| --- | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: | ---: |
| StandardBreakoutAtrStrategy | 169872.93 | 69.87% | 4.76% | 0.261 | 36.22% | 47 | 47 | 40.43% | 18.34% |
| MinimalBreakoutTrailStrategy | 239640.48 | 139.64% | 7.97% | 0.449 | 30.81% | 39 | 39 | 38.46% | 21.48% |

## Verdict

- Higher return: **MinimalBreakoutTrailStrategy** (7.97% annual return, 30.81% max DD)
- Lower drawdown: **MinimalBreakoutTrailStrategy** (30.81% max DD, 7.97% annual return)