backtest
Trend-flip exits on breakout_rr
SMA50/SMA200/Donch10 trail vs fixed 2R target on mega+tech watchlist.
Entry: breakout_rr min_rr=2.0, next-open fill
Hard stop: always signal stop (~2×ATR)
Universe: 15 large liquid tech / growth names
Window: 2019-01-01 → now
| Exit mode | Trades | Win% | E[R] | Avg pnl% | Avg MFE% | Giveback% | Ever-green kept | Ever-green → red | CAGR% | MaxDD% |
|---|---|---|---|---|---|---|---|---|---|---|
| fixed 2R target | 681 | 44.35 | 0.2981 | 1.83 | 7.91 | 6.08 | 45.41 | 54.59 | 29.33 | −18.70 |
| SMA50 flip (trend down) | 429 | 34.73 | 0.8287 | 5.77 | 16.99 | 11.22 | 35.73 | 64.27 | 54.89 | −15.43 |
| SMA200 flip | 365 | 27.95 | 1.0702 | 7.75 | 20.22 | 12.47 | 28.49 | 71.51 | 60.46 | −23.96 |
| Donch10 trail break | 571 | 40.81 | 0.3653 | 2.43 | 11.19 | 8.77 | 41.46 | 58.54 | 29.55 | −19.31 |
How to read
- E[R] > 0 → positive per-trade expectancy in 1R units
- Ever-green kept % → trades that were once green and finished green
- Ever-green → red % → saw profit, exited red on trend flip (giveback)
- Avg giveback % → peak-to-exit surrender
Trend-following exits raise E[R] and CAGR on this slice but increase giveback and red finishes from peak — a deliberate tradeoff vs fixed 2R banking.
Source
Summarized from reports/trend_flip_exit_bt.md.