cyb50_quant_two_strategies_20260421-082038.md 1.3 KB
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=0on 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)