P.Thai Capital
Backtest Matrix
P.Thai Capital
Backtest Matrix
Backtest matrix hệ thống: 950 kết quả từ 95 cổ phiếu VN100 × 10 chiến lược định lượng (Momentum, Mean Reversion, Breakout, Volatility). Sharpe / CAGR / MaxDD / Win Rate cho mỗi cặp ticker × strategy, dữ liệu 5 năm.
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +7.84 | +22.5% | -10.2% | 30 |
| vol-breakout | +4.05 | +29.4% | -22.9% | 201 |
| macd-cross | +1.17 | +23.1% | -44.1% | 49 |
| bb-squeeze | +1.04 | +2.1% | -26.3% | 43 |
| sma-50-200-cross | +1.02 | +21.9% | -50.0% | 4 |
| adx-trend | +1.02 | +10.2% | -44.9% | 46 |
| momentum-12-1 | +0.74 | +10.3% | -53.1% | 12 |
| breakout-200ma | +0.73 | +10.4% | -49.9% | 22 |
| rsi-extreme | +0.14 | -3.3% | -45.0% | 21 |
| bollinger-mr | +0.05 | -4.6% | -49.2% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +7.84 | +14.8% | -5.6% | 28 |
| breakout-200ma | +2.08 | +31.8% | -27.3% | 3 |
| vol-breakout | +1.64 | -0.1% | -46.6% | 221 |
| macd-cross | +1.51 | +19.1% | -30.8% | 44 |
| sma-50-200-cross | +1.49 | +23.8% | -39.9% | 2 |
| adx-trend | +1.28 | +10.3% | -20.1% | 42 |
| momentum-12-1 | +1.16 | +16.1% | -49.9% | 7 |
| bb-squeeze | +0.53 | -0.7% | -11.6% | 29 |
| rsi-extreme | -0.49 | -7.9% | -44.2% | 23 |
| bollinger-mr | -0.79 | -9.5% | -52.4% | 17 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +6.92 | +24.8% | -17.8% | 17 |
| adx-trend | +2.52 | +36.1% | -53.6% | 30 |
| macd-cross | +1.31 | +37.1% | -68.4% | 48 |
| vol-breakout | +1.23 | +2.0% | -54.7% | 250 |
| sma-50-200-cross | -0.28 | -13.9% | -64.9% | 3 |
| breakout-200ma | -0.58 | -16.5% | -74.7% | 17 |
| bb-squeeze | -0.82 | -10.2% | -49.5% | 49 |
| momentum-12-1 | -1.08 | -32.6% | -90.3% | 8 |
| rsi-extreme | -1.21 | -31.1% | -87.0% | 19 |
| bollinger-mr | -1.72 | -36.1% | -90.7% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +6.76 | +10.2% | -7.1% | 17 |
| vol-breakout | +1.49 | +1.9% | -46.7% | 203 |
| macd-cross | +1.42 | +21.6% | -36.2% | 49 |
| breakout-200ma | +1.09 | +19.9% | -36.5% | 16 |
| momentum-12-1 | +1.06 | +19.9% | -34.2% | 13 |
| sma-50-200-cross | +0.85 | +15.7% | -49.1% | 4 |
| rsi-extreme | +0.06 | -2.7% | -47.5% | 19 |
| adx-trend | +0.01 | -4.3% | -45.9% | 48 |
| bollinger-mr | -0.03 | -2.8% | -40.3% | 14 |
| bb-squeeze | -0.47 | -4.0% | -31.1% | 48 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +6.26 | +4.8% | -6.1% | 21 |
| breakout-200ma | +0.09 | -1.5% | -23.6% | 13 |
| macd-cross | -0.01 | -5.7% | -48.6% | 54 |
| rsi-extreme | -0.05 | -4.0% | -56.9% | 22 |
| adx-trend | -0.10 | -3.6% | -32.1% | 38 |
| vol-breakout | -0.20 | -12.7% | -50.5% | 222 |
| sma-50-200-cross | -0.32 | -7.0% | -39.2% | 4 |
| momentum-12-1 | -0.59 | -9.8% | -41.9% | 16 |
| bollinger-mr | -0.70 | -10.4% | -61.3% | 19 |
| bb-squeeze | -1.42 | -7.0% | -36.5% | 43 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +5.03 | +12.3% | -10.5% | 30 |
| breakout-200ma | +3.40 | +57.1% | -32.1% | 4 |
| momentum-12-1 | +2.93 | +40.4% | -32.1% | 8 |
| vol-breakout | +2.76 | +11.4% | -46.8% | 191 |
| sma-50-200-cross | +2.62 | +40.2% | -40.0% | 2 |
| bb-squeeze | +2.37 | +5.5% | -14.8% | 30 |
| adx-trend | +1.99 | +21.7% | -37.4% | 40 |
| macd-cross | +1.54 | +28.6% | -30.7% | 49 |
| rsi-extreme | -0.29 | -6.4% | -49.1% | 27 |
| bollinger-mr | -0.85 | -7.5% | -51.0% | 14 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.72 | +13.6% | -16.7% | 40 |
| adx-trend | +3.31 | +56.9% | -25.4% | 34 |
| macd-cross | +1.70 | +45.6% | -42.8% | 44 |
| breakout-200ma | +1.29 | +22.8% | -51.9% | 10 |
| sma-50-200-cross | +0.70 | +10.4% | -55.5% | 3 |
| vol-breakout | +0.52 | -7.8% | -54.7% | 212 |
| momentum-12-1 | +0.24 | -0.9% | -54.1% | 8 |
| bb-squeeze | +0.09 | -2.9% | -26.4% | 45 |
| bollinger-mr | -0.64 | -14.8% | -69.0% | 20 |
| rsi-extreme | -0.69 | -13.4% | -64.0% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.38 | +7.3% | -10.5% | 23 |
| bollinger-mr | +0.74 | +4.4% | -28.7% | 23 |
| rsi-extreme | +0.71 | +3.6% | -32.1% | 22 |
| macd-cross | +0.67 | +7.4% | -52.2% | 49 |
| adx-trend | +0.47 | +0.8% | -40.6% | 38 |
| momentum-12-1 | +0.23 | -1.2% | -45.9% | 26 |
| sma-50-200-cross | +0.22 | -0.8% | -57.7% | 5 |
| breakout-200ma | -0.22 | -10.0% | -61.8% | 31 |
| vol-breakout | -0.57 | -16.5% | -67.9% | 226 |
| bb-squeeze | -1.05 | -4.6% | -25.7% | 33 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.35 | +7.1% | -20.6% | 25 |
| macd-cross | +1.62 | +35.5% | -46.4% | 47 |
| adx-trend | +1.22 | +14.3% | -27.8% | 37 |
| vol-breakout | +1.11 | -3.2% | -51.7% | 203 |
| breakout-200ma | +0.70 | +10.1% | -38.2% | 19 |
| sma-50-200-cross | +0.64 | +10.1% | -39.9% | 4 |
| momentum-12-1 | +0.50 | +6.3% | -60.2% | 6 |
| rsi-extreme | +0.32 | -0.2% | -43.6% | 17 |
| bollinger-mr | +0.21 | -1.5% | -43.5% | 19 |
| bb-squeeze | -0.74 | -5.9% | -40.0% | 49 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.31 | +6.9% | -20.3% | 27 |
| adx-trend | +1.01 | +8.6% | -36.5% | 46 |
| macd-cross | +0.99 | +16.8% | -37.5% | 48 |
| momentum-12-1 | +0.68 | +10.4% | -57.3% | 10 |
| breakout-200ma | +0.15 | -2.5% | -44.1% | 21 |
| bollinger-mr | +0.04 | -3.9% | -55.5% | 20 |
| rsi-extreme | -0.12 | -5.8% | -61.2% | 20 |
| sma-50-200-cross | -0.31 | -13.3% | -78.9% | 4 |
| vol-breakout | -0.84 | -19.0% | -70.7% | 225 |
| bb-squeeze | -1.15 | -8.2% | -39.1% | 45 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.19 | +5.5% | -8.6% | 32 |
| vol-breakout | +2.88 | +10.1% | -16.9% | 181 |
| momentum-12-1 | +2.06 | +43.2% | -25.1% | 3 |
| sma-50-200-cross | +1.71 | +35.1% | -25.1% | 3 |
| breakout-200ma | +1.61 | +34.1% | -33.6% | 10 |
| bb-squeeze | +1.45 | +2.9% | -20.0% | 48 |
| macd-cross | +1.42 | +24.5% | -48.0% | 49 |
| adx-trend | +0.73 | +3.8% | -27.0% | 45 |
| bollinger-mr | -0.11 | -4.0% | -47.0% | 17 |
| rsi-extreme | -0.32 | -5.8% | -42.9% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +4.13 | +22.8% | -33.5% | 198 |
| donchian-55 | +2.73 | +3.6% | -9.5% | 26 |
| breakout-200ma | +1.75 | +25.7% | -38.1% | 11 |
| momentum-12-1 | +1.53 | +19.2% | -40.9% | 15 |
| bb-squeeze | +1.31 | +1.6% | -15.5% | 40 |
| sma-50-200-cross | +1.22 | +18.4% | -41.1% | 3 |
| macd-cross | +0.76 | +9.3% | -43.7% | 48 |
| bollinger-mr | -0.20 | -4.1% | -48.5% | 19 |
| rsi-extreme | -0.27 | -5.1% | -43.3% | 22 |
| adx-trend | -0.30 | -7.7% | -52.7% | 42 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.07 | +9.1% | -16.2% | 33 |
| vol-breakout | +1.89 | +6.2% | -39.9% | 194 |
| macd-cross | +1.28 | +28.2% | -52.9% | 46 |
| bb-squeeze | +1.11 | +2.8% | -22.0% | 40 |
| momentum-12-1 | +1.09 | +23.6% | -38.9% | 7 |
| sma-50-200-cross | +0.66 | +10.7% | -45.5% | 3 |
| breakout-200ma | +0.38 | +2.2% | -45.9% | 17 |
| adx-trend | +0.37 | -0.4% | -68.8% | 46 |
| rsi-extreme | +0.05 | -4.7% | -74.5% | 23 |
| bollinger-mr | -0.25 | -7.7% | -66.6% | 17 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +4.00 | +7.6% | -13.2% | 47 |
| vol-breakout | +2.31 | +8.1% | -37.4% | 257 |
| bb-squeeze | +1.93 | +4.5% | -11.2% | 31 |
| macd-cross | +1.84 | +35.2% | -29.9% | 46 |
| rsi-extreme | +1.81 | +15.1% | -31.1% | 22 |
| adx-trend | +1.71 | +18.4% | -29.7% | 48 |
| breakout-200ma | +0.69 | +10.5% | -41.8% | 21 |
| momentum-12-1 | +0.51 | +7.0% | -46.3% | 17 |
| sma-50-200-cross | +0.30 | +2.2% | -49.5% | 4 |
| bollinger-mr | +0.12 | -2.1% | -28.8% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.99 | +2.5% | -6.0% | 18 |
| vol-breakout | +0.43 | -8.3% | -40.6% | 209 |
| macd-cross | +0.19 | -1.8% | -34.1% | 47 |
| bb-squeeze | +0.10 | -2.6% | -23.3% | 50 |
| bollinger-mr | -0.10 | -4.3% | -45.1% | 21 |
| momentum-12-1 | -0.14 | -3.8% | -37.3% | 23 |
| rsi-extreme | -0.32 | -6.6% | -47.9% | 23 |
| sma-50-200-cross | -0.37 | -4.9% | -26.8% | 3 |
| adx-trend | -0.77 | -9.5% | -42.8% | 43 |
| breakout-200ma | -0.77 | -8.0% | -35.8% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.94 | +8.8% | -22.7% | 28 |
| macd-cross | +1.04 | +19.9% | -42.3% | 43 |
| adx-trend | +0.54 | +2.0% | -51.9% | 47 |
| breakout-200ma | +0.05 | -3.6% | -50.9% | 17 |
| momentum-12-1 | +0.01 | -5.5% | -57.8% | 18 |
| sma-50-200-cross | -0.05 | -5.2% | -52.8% | 4 |
| bb-squeeze | -0.50 | -5.2% | -28.3% | 41 |
| rsi-extreme | -0.50 | -13.2% | -65.9% | 22 |
| vol-breakout | -0.60 | -16.5% | -71.6% | 208 |
| bollinger-mr | -1.30 | -20.9% | -72.9% | 15 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.90 | +9.4% | -18.9% | 36 |
| vol-breakout | +2.52 | +12.4% | -46.2% | 223 |
| adx-trend | +1.88 | +21.1% | -39.1% | 33 |
| macd-cross | +1.00 | +18.5% | -49.4% | 48 |
| bb-squeeze | +0.99 | +2.2% | -24.7% | 41 |
| bollinger-mr | +0.83 | +6.9% | -66.4% | 24 |
| rsi-extreme | +0.79 | +6.7% | -62.5% | 23 |
| breakout-200ma | +0.65 | +7.8% | -42.4% | 11 |
| sma-50-200-cross | +0.35 | +2.2% | -54.5% | 3 |
| momentum-12-1 | +0.00 | -7.6% | -58.0% | 21 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.74 | +6.2% | -20.2% | 18 |
| vol-breakout | +1.18 | -0.9% | -41.2% | 194 |
| bb-squeeze | +1.06 | +1.9% | -20.3% | 38 |
| macd-cross | +1.04 | +21.3% | -45.9% | 45 |
| bollinger-mr | +0.20 | -3.1% | -50.2% | 19 |
| sma-50-200-cross | +0.17 | -3.8% | -58.0% | 4 |
| adx-trend | +0.15 | -4.8% | -57.8% | 48 |
| momentum-12-1 | +0.04 | -7.2% | -65.4% | 20 |
| rsi-extreme | -0.04 | -6.3% | -56.6% | 20 |
| breakout-200ma | -0.45 | -18.6% | -81.4% | 26 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.60 | +7.0% | -12.5% | 26 |
| vol-breakout | +2.49 | +9.6% | -26.4% | 187 |
| adx-trend | +1.29 | +10.2% | -28.7% | 39 |
| macd-cross | +0.84 | +11.6% | -41.8% | 46 |
| breakout-200ma | +0.81 | +10.9% | -47.6% | 16 |
| sma-50-200-cross | +0.77 | +11.5% | -47.6% | 3 |
| momentum-12-1 | +0.76 | +11.2% | -49.5% | 11 |
| bb-squeeze | +0.05 | -2.7% | -23.2% | 44 |
| rsi-extreme | -0.95 | -15.9% | -70.4% | 23 |
| bollinger-mr | -1.09 | -17.5% | -68.3% | 22 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.40 | +3.5% | -16.8% | 26 |
| bollinger-mr | +1.22 | +11.7% | -20.7% | 26 |
| rsi-extreme | +1.07 | +8.9% | -18.5% | 25 |
| vol-breakout | +0.49 | -8.0% | -65.4% | 217 |
| momentum-12-1 | +0.31 | +0.3% | -44.6% | 18 |
| macd-cross | +0.20 | -2.1% | -45.7% | 47 |
| sma-50-200-cross | +0.05 | -2.4% | -44.6% | 4 |
| breakout-200ma | -0.10 | -4.8% | -49.6% | 22 |
| adx-trend | -0.63 | -9.4% | -52.0% | 46 |
| bb-squeeze | -2.00 | -8.0% | -37.1% | 41 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.18 | +1.4% | -7.5% | 29 |
| bb-squeeze | +1.90 | +3.3% | -12.2% | 44 |
| macd-cross | +1.12 | +13.1% | -21.8% | 47 |
| momentum-12-1 | +0.97 | +12.6% | -26.9% | 8 |
| breakout-200ma | +0.94 | +12.8% | -19.7% | 8 |
| sma-50-200-cross | +0.91 | +14.2% | -28.5% | 2 |
| adx-trend | +0.62 | +2.6% | -25.2% | 36 |
| bollinger-mr | +0.30 | +0.0% | -37.0% | 15 |
| rsi-extreme | +0.18 | -1.0% | -36.2% | 21 |
| vol-breakout | +0.15 | -10.1% | -50.2% | 211 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +3.13 | +1.2% | -7.0% | 14 |
| vol-breakout | +0.23 | -8.1% | -42.4% | 178 |
| bollinger-mr | +0.09 | -1.3% | -25.2% | 19 |
| momentum-12-1 | +0.04 | -1.6% | -32.2% | 20 |
| rsi-extreme | -0.01 | -2.4% | -31.2% | 24 |
| adx-trend | -0.19 | -4.8% | -37.0% | 44 |
| macd-cross | -0.20 | -6.7% | -46.2% | 51 |
| sma-50-200-cross | -0.38 | -5.1% | -34.8% | 7 |
| breakout-200ma | -1.02 | -9.8% | -42.0% | 24 |
| bb-squeeze | -1.92 | -6.8% | -40.1% | 50 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +3.10 | +17.6% | -19.3% | 218 |
| adx-trend | +1.58 | +17.2% | -32.9% | 44 |
| donchian-55 | +1.08 | +0.1% | -24.0% | 33 |
| macd-cross | +0.99 | +15.1% | -38.6% | 47 |
| sma-50-200-cross | +0.93 | +11.8% | -46.1% | 2 |
| breakout-200ma | +0.85 | +10.0% | -39.4% | 17 |
| bollinger-mr | +0.10 | -3.2% | -44.1% | 23 |
| rsi-extreme | -0.02 | -4.5% | -36.7% | 20 |
| momentum-12-1 | -0.10 | -5.2% | -60.7% | 10 |
| bb-squeeze | -1.22 | -5.8% | -25.8% | 38 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +3.04 | +10.1% | -25.7% | 42 |
| breakout-200ma | +0.86 | +14.0% | -35.7% | 15 |
| momentum-12-1 | +0.79 | +11.4% | -30.9% | 12 |
| macd-cross | +0.68 | +7.3% | -32.1% | 50 |
| sma-50-200-cross | +0.50 | +7.2% | -51.5% | 4 |
| adx-trend | +0.34 | -0.3% | -40.3% | 45 |
| bollinger-mr | +0.15 | -1.7% | -49.8% | 18 |
| vol-breakout | -0.68 | -16.8% | -71.8% | 231 |
| rsi-extreme | -0.68 | -7.5% | -57.0% | 13 |
| donchian-55 | -1.07 | -3.2% | -22.2% | 36 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +2.99 | +9.5% | -19.2% | 223 |
| bb-squeeze | +2.53 | +6.6% | -9.0% | 41 |
| macd-cross | +0.84 | +9.6% | -25.0% | 45 |
| adx-trend | +0.45 | +0.5% | -27.8% | 42 |
| breakout-200ma | +0.39 | +2.6% | -29.6% | 18 |
| donchian-55 | +0.38 | -1.7% | -15.0% | 41 |
| sma-50-200-cross | +0.26 | +1.3% | -46.9% | 4 |
| momentum-12-1 | +0.14 | -1.4% | -48.9% | 14 |
| bollinger-mr | -0.46 | -7.0% | -53.6% | 16 |
| rsi-extreme | -0.53 | -8.3% | -56.4% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +2.95 | +19.5% | -30.9% | 179 |
| donchian-55 | +1.95 | +2.9% | -19.5% | 22 |
| adx-trend | +1.27 | +18.0% | -30.6% | 45 |
| macd-cross | +1.02 | +21.1% | -41.7% | 42 |
| momentum-12-1 | +0.82 | +11.8% | -44.0% | 15 |
| bb-squeeze | +0.66 | -0.1% | -22.9% | 38 |
| breakout-200ma | +0.64 | +8.1% | -51.6% | 11 |
| sma-50-200-cross | +0.11 | -4.9% | -78.0% | 4 |
| bollinger-mr | -0.31 | -8.9% | -67.3% | 18 |
| rsi-extreme | -0.60 | -14.7% | -72.3% | 20 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +2.90 | +4.0% | -18.9% | 26 |
| rsi-extreme | +0.94 | +5.1% | -30.6% | 27 |
| macd-cross | +0.55 | +3.4% | -44.3% | 51 |
| sma-50-200-cross | +0.39 | +2.6% | -30.7% | 3 |
| adx-trend | +0.35 | -0.5% | -44.4% | 46 |
| breakout-200ma | +0.24 | -0.4% | -38.1% | 21 |
| momentum-12-1 | +0.20 | -0.3% | -30.7% | 17 |
| bollinger-mr | +0.08 | -1.3% | -18.7% | 19 |
| vol-breakout | -0.20 | -11.4% | -56.5% | 195 |
| bb-squeeze | -0.73 | -3.5% | -16.6% | 38 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +2.88 | +4.0% | -19.9% | 29 |
| adx-trend | +2.40 | +31.7% | -21.4% | 38 |
| macd-cross | +1.53 | +27.8% | -35.0% | 47 |
| vol-breakout | +0.71 | -6.2% | -51.1% | 209 |
| rsi-extreme | +0.70 | +4.1% | -22.2% | 22 |
| momentum-12-1 | +0.60 | +7.5% | -36.0% | 19 |
| bollinger-mr | +0.58 | +2.5% | -22.2% | 19 |
| sma-50-200-cross | -0.01 | -4.8% | -58.1% | 5 |
| breakout-200ma | -0.27 | -9.6% | -59.3% | 28 |
| bb-squeeze | -0.59 | -4.7% | -38.9% | 36 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +2.87 | +10.1% | -21.0% | 192 |
| donchian-55 | +2.10 | +2.2% | -13.7% | 38 |
| sma-50-200-cross | +1.43 | +22.6% | -43.1% | 2 |
| breakout-200ma | +1.34 | +20.7% | -43.9% | 7 |
| momentum-12-1 | +1.21 | +20.0% | -43.7% | 5 |
| macd-cross | +1.15 | +17.4% | -31.5% | 45 |
| adx-trend | +0.99 | +9.9% | -34.8% | 40 |
| bb-squeeze | +0.99 | +0.7% | -13.4% | 36 |
| rsi-extreme | -0.90 | -16.2% | -69.3% | 24 |
| bollinger-mr | -0.90 | -14.0% | -68.2% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +2.80 | +3.0% | -13.0% | 20 |
| adx-trend | +1.15 | +8.6% | -32.0% | 40 |
| macd-cross | +1.03 | +19.4% | -39.6% | 44 |
| bb-squeeze | +1.01 | +2.0% | -27.3% | 52 |
| momentum-12-1 | -0.14 | -6.7% | -47.6% | 23 |
| vol-breakout | -0.42 | -15.8% | -72.8% | 231 |
| rsi-extreme | -0.71 | -13.9% | -67.2% | 19 |
| breakout-200ma | -0.73 | -12.8% | -63.6% | 26 |
| bollinger-mr | -0.80 | -14.3% | -69.6% | 16 |
| sma-50-200-cross | -0.95 | -17.0% | -64.6% | 7 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +2.61 | +8.9% | -33.1% | 218 |
| bb-squeeze | +2.11 | +6.7% | -22.7% | 47 |
| donchian-55 | +1.56 | +0.7% | -10.7% | 42 |
| macd-cross | +0.88 | +12.6% | -32.0% | 52 |
| momentum-12-1 | +0.55 | +7.3% | -33.0% | 16 |
| adx-trend | +0.44 | +0.8% | -46.2% | 43 |
| breakout-200ma | +0.26 | +0.2% | -47.7% | 16 |
| sma-50-200-cross | -0.21 | -9.0% | -53.8% | 5 |
| rsi-extreme | -0.37 | -7.1% | -71.4% | 17 |
| bollinger-mr | -0.81 | -12.0% | -75.2% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +2.51 | +17.2% | -17.8% | 27 |
| rsi-extreme | +1.76 | +10.4% | -16.5% | 23 |
| bb-squeeze | +0.84 | +0.0% | -15.1% | 37 |
| sma-50-200-cross | +0.27 | +1.8% | -47.0% | 4 |
| macd-cross | +0.22 | -1.5% | -34.1% | 52 |
| momentum-12-1 | +0.22 | +0.4% | -35.6% | 17 |
| breakout-200ma | +0.08 | -2.9% | -48.5% | 27 |
| adx-trend | -0.68 | -8.4% | -47.7% | 44 |
| vol-breakout | -1.30 | -19.1% | -67.5% | 225 |
| donchian-55 | -4.42 | -7.5% | -32.7% | 37 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +2.39 | +9.7% | -38.0% | 216 |
| bb-squeeze | +1.97 | +6.4% | -21.8% | 41 |
| adx-trend | +1.47 | +16.8% | -36.2% | 38 |
| macd-cross | +0.79 | +11.5% | -44.1% | 50 |
| sma-50-200-cross | +0.26 | -0.2% | -59.5% | 6 |
| rsi-extreme | +0.03 | -3.6% | -62.4% | 21 |
| momentum-12-1 | -0.00 | -6.4% | -68.0% | 17 |
| breakout-200ma | -0.06 | -7.7% | -72.0% | 25 |
| bollinger-mr | -0.82 | -12.8% | -68.1% | 17 |
| donchian-55 | -3.15 | -8.9% | -38.6% | 37 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +2.38 | +18.8% | -31.0% | 24 |
| rsi-extreme | +2.35 | +15.9% | -29.1% | 24 |
| bb-squeeze | +0.95 | +0.8% | -19.5% | 40 |
| sma-50-200-cross | +0.87 | +14.8% | -25.0% | 3 |
| macd-cross | +0.75 | +7.2% | -33.3% | 49 |
| vol-breakout | +0.71 | -6.7% | -48.1% | 209 |
| momentum-12-1 | +0.64 | +7.2% | -32.7% | 28 |
| breakout-200ma | +0.48 | +4.8% | -47.1% | 22 |
| donchian-55 | -0.33 | -1.9% | -14.8% | 29 |
| adx-trend | -0.43 | -7.8% | -41.0% | 47 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +2.29 | +8.3% | -11.2% | 22 |
| vol-breakout | +1.14 | -6.0% | -40.5% | 221 |
| rsi-extreme | +1.07 | +3.0% | -13.9% | 17 |
| adx-trend | +0.85 | +1.6% | -21.5% | 45 |
| donchian-55 | +0.85 | -0.9% | -12.7% | 32 |
| sma-50-200-cross | +0.34 | +2.9% | -18.8% | 3 |
| momentum-12-1 | +0.32 | +1.4% | -19.5% | 20 |
| macd-cross | +0.17 | -2.3% | -46.5% | 59 |
| bb-squeeze | +0.07 | -2.4% | -23.4% | 47 |
| breakout-200ma | -0.11 | -3.5% | -33.2% | 25 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +2.06 | +5.5% | -13.9% | 33 |
| adx-trend | +2.05 | +21.7% | -30.6% | 39 |
| donchian-55 | +2.00 | +1.8% | -13.6% | 30 |
| macd-cross | +1.63 | +30.7% | -37.0% | 38 |
| breakout-200ma | +0.66 | +6.5% | -37.0% | 12 |
| sma-50-200-cross | +0.29 | +1.0% | -42.7% | 4 |
| momentum-12-1 | +0.21 | -0.9% | -52.0% | 19 |
| vol-breakout | +0.08 | -11.2% | -60.3% | 215 |
| rsi-extreme | -0.76 | -13.0% | -63.7% | 24 |
| bollinger-mr | -0.85 | -12.1% | -56.6% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +2.01 | +0.7% | -7.2% | 26 |
| bb-squeeze | +0.91 | +0.0% | -15.8% | 41 |
| vol-breakout | +0.62 | -6.7% | -43.3% | 188 |
| momentum-12-1 | +0.27 | +1.2% | -32.3% | 16 |
| macd-cross | +0.26 | -0.7% | -45.1% | 47 |
| sma-50-200-cross | +0.06 | -1.5% | -30.1% | 5 |
| adx-trend | -0.08 | -3.4% | -31.0% | 36 |
| rsi-extreme | -0.09 | -3.6% | -34.5% | 23 |
| breakout-200ma | -0.10 | -3.6% | -26.6% | 22 |
| bollinger-mr | -0.28 | -5.6% | -44.0% | 22 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.97 | +0.7% | -19.8% | 26 |
| adx-trend | +0.84 | +4.9% | -16.8% | 38 |
| macd-cross | +0.48 | +1.9% | -26.7% | 51 |
| bollinger-mr | +0.32 | +0.1% | -22.5% | 19 |
| rsi-extreme | +0.29 | -0.1% | -23.4% | 25 |
| momentum-12-1 | +0.06 | -1.8% | -28.5% | 25 |
| breakout-200ma | -0.15 | -4.2% | -25.9% | 21 |
| sma-50-200-cross | -0.15 | -3.8% | -38.7% | 5 |
| bb-squeeze | -0.25 | -3.2% | -20.9% | 48 |
| vol-breakout | -0.34 | -11.1% | -49.4% | 184 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.94 | +0.1% | -11.9% | 37 |
| breakout-200ma | +0.94 | +9.5% | -38.6% | 19 |
| momentum-12-1 | +0.86 | +9.9% | -31.9% | 13 |
| sma-50-200-cross | +0.75 | +8.7% | -31.9% | 4 |
| bollinger-mr | +0.56 | +2.2% | -37.1% | 19 |
| macd-cross | +0.48 | +2.0% | -35.0% | 48 |
| vol-breakout | +0.35 | -9.3% | -44.4% | 220 |
| adx-trend | -0.14 | -4.0% | -31.4% | 46 |
| rsi-extreme | -0.15 | -3.6% | -39.6% | 20 |
| bb-squeeze | -0.97 | -4.3% | -25.9% | 42 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.91 | +25.1% | -28.9% | 31 |
| donchian-55 | +1.81 | +4.6% | -38.6% | 31 |
| macd-cross | +1.62 | +42.7% | -40.2% | 34 |
| momentum-12-1 | +1.50 | +52.4% | -55.8% | 5 |
| bollinger-mr | +1.48 | +14.1% | -39.7% | 20 |
| sma-50-200-cross | +1.19 | +40.6% | -55.8% | 2 |
| rsi-extreme | +1.13 | +8.6% | -39.2% | 15 |
| breakout-200ma | +0.87 | +21.0% | -61.8% | 20 |
| vol-breakout | +0.78 | -4.0% | -79.9% | 165 |
| bb-squeeze | -0.15 | -3.6% | -21.9% | 36 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| macd-cross | +1.87 | +32.6% | -31.4% | 36 |
| momentum-12-1 | +1.13 | +15.0% | -25.6% | 5 |
| breakout-200ma | +0.88 | +11.2% | -20.7% | 8 |
| adx-trend | +0.61 | +2.2% | -31.7% | 44 |
| sma-50-200-cross | +0.56 | +6.8% | -25.6% | 4 |
| vol-breakout | +0.12 | -11.8% | -52.4% | 216 |
| bollinger-mr | +0.05 | -2.4% | -43.1% | 18 |
| bb-squeeze | -0.28 | -3.5% | -21.0% | 37 |
| rsi-extreme | -0.29 | -5.7% | -50.2% | 18 |
| donchian-55 | -3.12 | -5.1% | -20.9% | 40 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.81 | +21.0% | -45.7% | 36 |
| vol-breakout | +1.76 | +5.6% | -61.1% | 231 |
| macd-cross | +1.14 | +22.9% | -53.3% | 49 |
| donchian-55 | +1.12 | +0.4% | -31.9% | 29 |
| sma-50-200-cross | -0.36 | -11.5% | -54.3% | 3 |
| breakout-200ma | -0.41 | -10.3% | -52.7% | 11 |
| bb-squeeze | -0.85 | -7.2% | -45.6% | 47 |
| momentum-12-1 | -0.98 | -20.0% | -72.5% | 12 |
| rsi-extreme | -1.24 | -26.3% | -82.3% | 18 |
| bollinger-mr | -1.49 | -27.9% | -85.3% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.78 | +3.0% | -17.2% | 43 |
| vol-breakout | +1.68 | +1.2% | -31.3% | 220 |
| adx-trend | +1.47 | +11.0% | -20.1% | 44 |
| donchian-55 | +0.87 | -0.5% | -16.7% | 29 |
| macd-cross | +0.71 | +6.6% | -30.9% | 44 |
| momentum-12-1 | -0.11 | -4.4% | -47.0% | 22 |
| rsi-extreme | -0.24 | -5.5% | -50.6% | 24 |
| bollinger-mr | -0.32 | -5.9% | -41.6% | 21 |
| sma-50-200-cross | -0.47 | -10.2% | -47.1% | 5 |
| breakout-200ma | -0.87 | -13.9% | -57.8% | 29 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.77 | +15.1% | -19.9% | 43 |
| donchian-55 | +1.30 | -0.1% | -12.8% | 31 |
| macd-cross | +1.09 | +17.5% | -39.0% | 45 |
| breakout-200ma | +0.62 | +5.8% | -35.5% | 21 |
| bb-squeeze | +0.59 | -0.7% | -22.4% | 47 |
| momentum-12-1 | +0.35 | +2.3% | -35.5% | 11 |
| sma-50-200-cross | +0.31 | +1.8% | -32.7% | 3 |
| rsi-extreme | +0.17 | -2.0% | -52.7% | 21 |
| vol-breakout | +0.06 | -11.3% | -59.0% | 219 |
| bollinger-mr | -0.41 | -8.9% | -60.3% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.77 | +5.4% | -16.9% | 48 |
| macd-cross | +0.61 | +6.2% | -56.9% | 48 |
| adx-trend | +0.51 | +1.3% | -39.4% | 49 |
| vol-breakout | +0.50 | -8.8% | -53.7% | 226 |
| rsi-extreme | +0.10 | -2.0% | -52.8% | 17 |
| breakout-200ma | -0.03 | -4.3% | -39.3% | 21 |
| momentum-12-1 | -0.04 | -4.8% | -61.1% | 15 |
| sma-50-200-cross | -0.04 | -4.6% | -50.9% | 5 |
| bollinger-mr | -0.51 | -7.6% | -54.7% | 17 |
| donchian-55 | -0.59 | -1.9% | -18.3% | 22 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.77 | +1.3% | -25.2% | 29 |
| bb-squeeze | +0.78 | +0.1% | -23.6% | 43 |
| macd-cross | +0.75 | +8.1% | -36.1% | 44 |
| adx-trend | +0.12 | -2.7% | -37.2% | 43 |
| breakout-200ma | -0.28 | -6.6% | -42.6% | 25 |
| rsi-extreme | -0.38 | -6.2% | -39.9% | 25 |
| sma-50-200-cross | -0.53 | -9.6% | -48.8% | 5 |
| momentum-12-1 | -0.66 | -10.7% | -57.1% | 16 |
| vol-breakout | -1.12 | -15.7% | -58.7% | 187 |
| bollinger-mr | -1.44 | -14.5% | -65.5% | 14 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.76 | +5.9% | -20.2% | 43 |
| macd-cross | +0.83 | +10.8% | -38.8% | 49 |
| adx-trend | +0.73 | +5.0% | -31.1% | 34 |
| momentum-12-1 | -0.21 | -6.7% | -53.5% | 7 |
| breakout-200ma | -0.32 | -7.5% | -41.0% | 19 |
| rsi-extreme | -0.33 | -7.7% | -63.6% | 18 |
| sma-50-200-cross | -0.39 | -10.0% | -50.2% | 4 |
| bollinger-mr | -0.42 | -9.7% | -66.2% | 22 |
| vol-breakout | -0.56 | -16.2% | -64.5% | 226 |
| donchian-55 | -1.34 | -3.7% | -25.6% | 33 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.76 | +1.6% | -9.3% | 50 |
| bollinger-mr | +1.75 | +8.3% | -29.0% | 19 |
| rsi-extreme | +0.97 | +3.5% | -27.4% | 22 |
| momentum-12-1 | +0.83 | +9.4% | -26.8% | 10 |
| sma-50-200-cross | +0.63 | +7.0% | -22.1% | 3 |
| breakout-200ma | +0.56 | +4.9% | -22.9% | 13 |
| macd-cross | +0.23 | -1.1% | -30.8% | 49 |
| adx-trend | -0.14 | -4.2% | -38.4% | 47 |
| vol-breakout | -0.55 | -12.8% | -56.7% | 196 |
| donchian-55 | -1.50 | -2.9% | -13.7% | 25 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.70 | +1.3% | -21.5% | 27 |
| vol-breakout | +0.82 | -4.7% | -55.6% | 196 |
| macd-cross | +0.69 | +8.4% | -60.5% | 55 |
| bb-squeeze | +0.51 | -1.1% | -29.2% | 54 |
| adx-trend | +0.39 | +0.8% | -49.7% | 36 |
| breakout-200ma | +0.12 | -2.5% | -43.1% | 19 |
| momentum-12-1 | -0.02 | -4.8% | -45.3% | 17 |
| sma-50-200-cross | -0.60 | -14.1% | -61.4% | 6 |
| rsi-extreme | -0.72 | -13.0% | -61.8% | 19 |
| bollinger-mr | -0.94 | -14.1% | -63.0% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +1.68 | +3.4% | -31.8% | 224 |
| bb-squeeze | +1.06 | +2.4% | -23.2% | 42 |
| breakout-200ma | +0.88 | +19.2% | -39.3% | 11 |
| macd-cross | +0.88 | +13.6% | -55.0% | 53 |
| sma-50-200-cross | +0.71 | +15.7% | -54.2% | 2 |
| bollinger-mr | +0.56 | +1.8% | -53.1% | 16 |
| adx-trend | +0.49 | +0.8% | -36.5% | 49 |
| rsi-extreme | +0.31 | -0.4% | -55.0% | 16 |
| momentum-12-1 | +0.28 | +1.6% | -70.7% | 3 |
| donchian-55 | -0.64 | -4.6% | -38.1% | 46 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.65 | +2.5% | -11.4% | 50 |
| donchian-55 | +1.40 | -0.1% | -14.3% | 31 |
| momentum-12-1 | +1.00 | +14.8% | -21.7% | 3 |
| macd-cross | +0.70 | +6.2% | -34.2% | 47 |
| sma-50-200-cross | +0.58 | +8.1% | -21.9% | 3 |
| breakout-200ma | +0.54 | +5.7% | -26.0% | 19 |
| adx-trend | +0.30 | -0.7% | -18.0% | 37 |
| bollinger-mr | +0.17 | -1.2% | -41.9% | 19 |
| vol-breakout | -0.19 | -12.1% | -55.6% | 214 |
| rsi-extreme | -0.24 | -4.5% | -33.7% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.64 | +1.2% | -22.2% | 24 |
| bollinger-mr | +1.53 | +8.0% | -23.5% | 22 |
| macd-cross | +1.19 | +17.1% | -27.4% | 44 |
| bb-squeeze | +0.92 | +0.4% | -19.0% | 41 |
| adx-trend | +0.41 | +0.2% | -40.7% | 43 |
| momentum-12-1 | +0.33 | -0.2% | -42.9% | 32 |
| sma-50-200-cross | +0.15 | -1.1% | -44.4% | 6 |
| rsi-extreme | -0.05 | -2.2% | -24.2% | 19 |
| breakout-200ma | -0.87 | -14.6% | -65.0% | 40 |
| vol-breakout | -1.05 | -15.5% | -62.2% | 189 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.61 | +0.4% | -10.6% | 25 |
| macd-cross | +0.61 | +6.3% | -44.9% | 44 |
| breakout-200ma | +0.50 | +2.9% | -30.1% | 10 |
| vol-breakout | +0.42 | -8.5% | -52.1% | 212 |
| adx-trend | -0.12 | -4.1% | -49.3% | 39 |
| sma-50-200-cross | -0.17 | -5.0% | -49.0% | 3 |
| momentum-12-1 | -0.60 | -9.5% | -48.8% | 14 |
| bb-squeeze | -0.61 | -5.2% | -28.1% | 48 |
| bollinger-mr | -1.78 | -28.9% | -84.8% | 20 |
| rsi-extreme | -2.24 | -29.5% | -85.7% | 17 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.60 | +0.4% | -12.4% | 26 |
| vol-breakout | +1.36 | -0.6% | -54.2% | 204 |
| adx-trend | +1.07 | +6.7% | -30.9% | 35 |
| macd-cross | +0.91 | +14.7% | -47.0% | 55 |
| bb-squeeze | +0.25 | -1.7% | -23.7% | 40 |
| sma-50-200-cross | +0.12 | -2.2% | -51.6% | 3 |
| breakout-200ma | +0.01 | -4.0% | -44.9% | 15 |
| rsi-extreme | -0.25 | -8.0% | -63.7% | 21 |
| bollinger-mr | -0.65 | -13.3% | -69.4% | 18 |
| momentum-12-1 | -0.70 | -16.9% | -68.1% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.54 | +0.1% | -11.5% | 23 |
| vol-breakout | +1.13 | -2.1% | -52.0% | 168 |
| adx-trend | +0.69 | +3.4% | -29.7% | 40 |
| bb-squeeze | +0.30 | -1.4% | -21.9% | 36 |
| breakout-200ma | -0.03 | -3.5% | -36.2% | 14 |
| momentum-12-1 | -0.09 | -4.2% | -51.5% | 8 |
| macd-cross | -0.15 | -10.2% | -65.1% | 51 |
| sma-50-200-cross | -0.75 | -12.2% | -60.0% | 6 |
| rsi-extreme | -1.94 | -31.1% | -91.1% | 22 |
| bollinger-mr | -2.23 | -33.8% | -91.0% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.52 | +0.3% | -15.2% | 19 |
| bb-squeeze | +1.05 | +1.1% | -32.2% | 41 |
| adx-trend | +0.76 | +4.9% | -36.6% | 36 |
| vol-breakout | +0.62 | -6.8% | -45.1% | 197 |
| macd-cross | -0.03 | -7.8% | -46.6% | 45 |
| sma-50-200-cross | -0.13 | -4.1% | -36.9% | 5 |
| momentum-12-1 | -0.32 | -5.2% | -43.0% | 14 |
| breakout-200ma | -0.49 | -7.8% | -55.9% | 22 |
| rsi-extreme | -0.61 | -12.7% | -71.3% | 24 |
| bollinger-mr | -0.87 | -14.9% | -69.8% | 17 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.46 | +0.4% | -18.6% | 37 |
| adx-trend | +0.88 | +7.1% | -50.3% | 46 |
| vol-breakout | +0.76 | -6.2% | -50.1% | 228 |
| macd-cross | +0.71 | +8.7% | -33.2% | 49 |
| rsi-extreme | +0.67 | +3.8% | -45.9% | 22 |
| bollinger-mr | +0.21 | -1.7% | -54.6% | 19 |
| bb-squeeze | +0.20 | -2.2% | -18.9% | 47 |
| momentum-12-1 | -0.02 | -5.2% | -67.8% | 16 |
| breakout-200ma | -0.31 | -10.5% | -54.8% | 22 |
| sma-50-200-cross | -0.53 | -15.8% | -67.5% | 5 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +1.45 | +9.4% | -21.1% | 24 |
| bb-squeeze | +1.31 | +1.7% | -13.4% | 46 |
| rsi-extreme | +1.07 | +7.0% | -25.3% | 25 |
| donchian-55 | +0.97 | -0.3% | -14.0% | 27 |
| macd-cross | +0.28 | -0.5% | -41.8% | 52 |
| vol-breakout | +0.26 | -9.3% | -41.8% | 208 |
| momentum-12-1 | +0.14 | -1.7% | -38.6% | 27 |
| sma-50-200-cross | +0.04 | -2.3% | -37.9% | 5 |
| breakout-200ma | -0.17 | -5.8% | -46.3% | 32 |
| adx-trend | -0.65 | -8.3% | -57.2% | 47 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.45 | +0.6% | -24.6% | 36 |
| macd-cross | +0.98 | +14.7% | -47.6% | 46 |
| bollinger-mr | +0.87 | +6.8% | -41.2% | 22 |
| vol-breakout | +0.78 | -6.3% | -52.4% | 237 |
| adx-trend | +0.61 | +2.4% | -49.4% | 37 |
| bb-squeeze | +0.42 | -0.7% | -17.2% | 34 |
| momentum-12-1 | +0.28 | +0.8% | -43.4% | 13 |
| breakout-200ma | +0.10 | -1.8% | -34.8% | 14 |
| sma-50-200-cross | -0.14 | -6.4% | -54.3% | 5 |
| rsi-extreme | -0.84 | -15.0% | -66.3% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.45 | +11.1% | -23.8% | 38 |
| macd-cross | +0.67 | +7.5% | -44.3% | 49 |
| bb-squeeze | +0.01 | -3.2% | -32.4% | 48 |
| momentum-12-1 | -0.25 | -10.1% | -60.7% | 12 |
| sma-50-200-cross | -0.63 | -14.0% | -60.1% | 5 |
| breakout-200ma | -0.82 | -14.6% | -57.6% | 23 |
| rsi-extreme | -1.08 | -15.1% | -64.9% | 16 |
| vol-breakout | -1.35 | -22.3% | -76.1% | 241 |
| bollinger-mr | -1.43 | -19.0% | -72.4% | 15 |
| donchian-55 | -2.29 | -3.9% | -19.9% | 30 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| macd-cross | +1.36 | +23.7% | -29.1% | 47 |
| adx-trend | +1.34 | +9.7% | -27.7% | 37 |
| rsi-extreme | +1.22 | +10.1% | -33.0% | 20 |
| vol-breakout | +0.85 | -5.0% | -39.1% | 203 |
| momentum-12-1 | +0.40 | +3.4% | -41.6% | 17 |
| breakout-200ma | +0.38 | +2.8% | -40.7% | 16 |
| bollinger-mr | +0.21 | -1.3% | -38.9% | 18 |
| sma-50-200-cross | +0.07 | -3.9% | -47.0% | 5 |
| donchian-55 | -0.36 | -2.9% | -31.6% | 36 |
| bb-squeeze | -1.34 | -7.8% | -37.7% | 40 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +1.35 | -1.4% | -36.2% | 202 |
| adx-trend | +0.85 | +5.4% | -22.0% | 44 |
| rsi-extreme | +0.42 | +0.9% | -47.1% | 26 |
| macd-cross | +0.38 | +1.5% | -44.6% | 47 |
| momentum-12-1 | +0.10 | -2.5% | -58.0% | 11 |
| bb-squeeze | -0.01 | -3.0% | -23.8% | 46 |
| bollinger-mr | -0.09 | -3.9% | -54.2% | 18 |
| breakout-200ma | -0.43 | -9.8% | -58.6% | 25 |
| sma-50-200-cross | -0.48 | -12.6% | -69.6% | 5 |
| donchian-55 | -0.69 | -3.0% | -31.2% | 28 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +1.34 | -2.4% | -34.4% | 212 |
| macd-cross | +1.13 | +19.6% | -33.7% | 44 |
| donchian-55 | +0.98 | -0.6% | -12.7% | 30 |
| breakout-200ma | +0.93 | +11.6% | -33.0% | 8 |
| adx-trend | +0.92 | +8.5% | -33.3% | 47 |
| sma-50-200-cross | +0.66 | +7.9% | -42.3% | 3 |
| bb-squeeze | +0.57 | -0.8% | -14.6% | 51 |
| momentum-12-1 | +0.39 | +2.4% | -36.1% | 18 |
| rsi-extreme | -0.18 | -5.0% | -47.7% | 18 |
| bollinger-mr | -0.32 | -6.5% | -50.8% | 18 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.34 | +3.0% | -16.6% | 44 |
| adx-trend | +0.89 | +5.5% | -29.4% | 37 |
| macd-cross | +0.85 | +13.1% | -31.4% | 43 |
| bollinger-mr | +0.64 | +3.6% | -41.7% | 21 |
| sma-50-200-cross | +0.55 | +7.9% | -45.4% | 3 |
| momentum-12-1 | +0.49 | +4.3% | -33.7% | 17 |
| rsi-extreme | +0.31 | -0.4% | -41.4% | 16 |
| breakout-200ma | +0.10 | -3.2% | -47.9% | 20 |
| vol-breakout | -0.63 | -18.3% | -73.2% | 238 |
| donchian-55 | -2.66 | -5.5% | -25.8% | 31 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.26 | +9.1% | -31.4% | 32 |
| macd-cross | +0.67 | +8.5% | -40.9% | 52 |
| momentum-12-1 | +0.67 | +10.4% | -39.8% | 18 |
| breakout-200ma | +0.62 | +7.9% | -36.8% | 15 |
| sma-50-200-cross | +0.47 | +5.5% | -37.0% | 5 |
| bollinger-mr | +0.47 | +1.2% | -68.5% | 18 |
| bb-squeeze | +0.47 | -0.6% | -21.3% | 41 |
| rsi-extreme | +0.22 | -2.3% | -68.4% | 21 |
| vol-breakout | -0.39 | -17.2% | -70.0% | 246 |
| donchian-55 | -0.66 | -2.6% | -24.1% | 28 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| donchian-55 | +1.23 | +0.0% | -11.3% | 23 |
| bb-squeeze | +1.10 | +0.6% | -19.2% | 41 |
| momentum-12-1 | +0.99 | +11.9% | -33.4% | 20 |
| macd-cross | +0.66 | +5.8% | -39.4% | 50 |
| bollinger-mr | +0.54 | +2.4% | -32.5% | 19 |
| sma-50-200-cross | +0.18 | -0.4% | -43.8% | 5 |
| rsi-extreme | +0.16 | -1.0% | -28.0% | 20 |
| adx-trend | -0.19 | -5.6% | -31.8% | 46 |
| breakout-200ma | -0.35 | -8.9% | -54.1% | 36 |
| vol-breakout | -0.44 | -12.9% | -63.1% | 205 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| momentum-12-1 | +1.22 | +19.5% | -31.7% | 14 |
| bb-squeeze | +1.20 | +1.3% | -13.5% | 40 |
| breakout-200ma | +1.09 | +16.5% | -26.9% | 12 |
| bollinger-mr | +1.06 | +5.6% | -32.7% | 19 |
| rsi-extreme | +1.06 | +5.1% | -24.2% | 20 |
| sma-50-200-cross | +1.05 | +17.5% | -31.7% | 3 |
| adx-trend | +0.74 | +4.1% | -33.1% | 45 |
| macd-cross | +0.70 | +6.1% | -36.3% | 53 |
| donchian-55 | +0.55 | -1.1% | -14.3% | 36 |
| vol-breakout | -0.15 | -11.7% | -50.8% | 216 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.22 | +2.4% | -27.1% | 42 |
| macd-cross | +1.20 | +20.4% | -36.9% | 45 |
| vol-breakout | +0.73 | -5.6% | -42.7% | 189 |
| momentum-12-1 | +0.67 | +8.9% | -36.1% | 11 |
| sma-50-200-cross | +0.55 | +6.9% | -50.4% | 3 |
| breakout-200ma | +0.32 | +1.5% | -47.5% | 15 |
| adx-trend | +0.20 | -1.9% | -52.5% | 37 |
| rsi-extreme | +0.17 | -2.0% | -41.7% | 20 |
| bollinger-mr | +0.11 | -2.6% | -47.7% | 20 |
| donchian-55 | -0.15 | -2.0% | -19.8% | 30 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +1.18 | -2.8% | -47.8% | 221 |
| macd-cross | +0.37 | +1.1% | -49.6% | 51 |
| breakout-200ma | +0.21 | -0.5% | -30.4% | 10 |
| sma-50-200-cross | -0.18 | -6.3% | -50.4% | 3 |
| adx-trend | -0.24 | -5.9% | -34.1% | 35 |
| momentum-12-1 | -0.35 | -7.8% | -40.8% | 10 |
| bb-squeeze | -0.44 | -5.8% | -43.9% | 56 |
| bollinger-mr | -0.72 | -14.5% | -77.3% | 22 |
| rsi-extreme | -0.92 | -16.2% | -72.0% | 21 |
| donchian-55 | -2.13 | -4.4% | -31.8% | 35 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.17 | +2.5% | -15.8% | 41 |
| adx-trend | +0.76 | +3.6% | -36.1% | 40 |
| macd-cross | +0.30 | -1.1% | -53.9% | 55 |
| breakout-200ma | +0.10 | -2.5% | -38.2% | 9 |
| donchian-55 | -0.06 | -2.0% | -18.8% | 31 |
| vol-breakout | -0.28 | -15.0% | -70.2% | 228 |
| sma-50-200-cross | -0.29 | -10.8% | -65.3% | 3 |
| momentum-12-1 | -0.74 | -18.8% | -71.3% | 9 |
| bollinger-mr | -1.30 | -26.3% | -87.0% | 17 |
| rsi-extreme | -1.37 | -24.3% | -83.9% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.17 | +7.5% | -31.4% | 30 |
| breakout-200ma | +0.77 | +8.9% | -39.7% | 19 |
| macd-cross | +0.71 | +10.0% | -53.7% | 50 |
| sma-50-200-cross | +0.61 | +7.5% | -39.7% | 3 |
| vol-breakout | +0.54 | -8.4% | -52.0% | 248 |
| bollinger-mr | +0.40 | +0.1% | -67.2% | 24 |
| donchian-55 | +0.34 | -1.3% | -15.2% | 29 |
| rsi-extreme | +0.26 | -2.0% | -75.0% | 21 |
| momentum-12-1 | +0.10 | -3.1% | -51.4% | 10 |
| bb-squeeze | -0.61 | -5.6% | -33.9% | 45 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| momentum-12-1 | +1.16 | +16.4% | -30.5% | 1 |
| sma-50-200-cross | +0.94 | +12.6% | -29.2% | 2 |
| breakout-200ma | +0.93 | +10.9% | -23.5% | 14 |
| macd-cross | +0.40 | +1.7% | -43.3% | 46 |
| vol-breakout | +0.23 | -9.8% | -41.2% | 216 |
| bollinger-mr | -0.35 | -5.7% | -53.2% | 20 |
| bb-squeeze | -0.42 | -4.2% | -24.7% | 48 |
| rsi-extreme | -1.05 | -9.4% | -53.5% | 13 |
| donchian-55 | -1.40 | -2.9% | -14.0% | 32 |
| adx-trend | -1.50 | -15.1% | -56.3% | 47 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| macd-cross | +1.15 | +20.5% | -29.9% | 45 |
| rsi-extreme | +0.99 | +8.1% | -49.5% | 23 |
| momentum-12-1 | +0.58 | +6.3% | -35.4% | 29 |
| sma-50-200-cross | +0.40 | +3.4% | -35.4% | 3 |
| bollinger-mr | +0.22 | -1.9% | -56.4% | 21 |
| breakout-200ma | -0.11 | -5.8% | -42.2% | 24 |
| adx-trend | -0.18 | -5.7% | -40.5% | 39 |
| bb-squeeze | -0.79 | -6.7% | -41.8% | 45 |
| vol-breakout | -1.30 | -22.3% | -81.6% | 239 |
| donchian-55 | -3.30 | -6.0% | -31.3% | 38 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| rsi-extreme | +1.10 | +5.9% | -30.5% | 24 |
| vol-breakout | +0.85 | -5.6% | -38.5% | 207 |
| bollinger-mr | +0.74 | +3.5% | -31.3% | 21 |
| sma-50-200-cross | -0.14 | -7.1% | -47.2% | 5 |
| macd-cross | -0.14 | -8.1% | -51.3% | 47 |
| breakout-200ma | -0.20 | -8.7% | -44.5% | 28 |
| momentum-12-1 | -0.25 | -8.7% | -50.1% | 23 |
| bb-squeeze | -0.95 | -8.0% | -39.5% | 38 |
| adx-trend | -0.98 | -12.2% | -53.4% | 56 |
| donchian-55 | -2.49 | -5.5% | -30.0% | 36 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +1.08 | +8.5% | -25.0% | 39 |
| sma-50-200-cross | +0.54 | +5.6% | -40.5% | 3 |
| breakout-200ma | +0.20 | -0.7% | -35.2% | 20 |
| bollinger-mr | +0.11 | -3.1% | -61.3% | 23 |
| momentum-12-1 | +0.00 | -3.0% | -39.1% | 11 |
| macd-cross | -0.20 | -10.4% | -44.7% | 54 |
| bb-squeeze | -0.28 | -4.0% | -27.1% | 42 |
| rsi-extreme | -0.37 | -7.2% | -58.4% | 19 |
| vol-breakout | -1.73 | -21.5% | -73.8% | 212 |
| donchian-55 | -5.61 | -6.3% | -33.4% | 24 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +1.04 | +1.8% | -21.7% | 34 |
| macd-cross | +0.78 | +10.8% | -52.4% | 46 |
| donchian-55 | +0.71 | -0.7% | -23.2% | 33 |
| vol-breakout | +0.53 | -8.5% | -68.0% | 240 |
| bollinger-mr | +0.43 | +1.1% | -36.8% | 21 |
| adx-trend | +0.34 | -0.9% | -46.7% | 46 |
| momentum-12-1 | +0.15 | -1.9% | -40.1% | 16 |
| rsi-extreme | -0.03 | -5.0% | -40.2% | 20 |
| sma-50-200-cross | -0.19 | -9.7% | -62.1% | 4 |
| breakout-200ma | -0.27 | -9.7% | -52.8% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +1.01 | +6.9% | -50.2% | 23 |
| vol-breakout | +0.85 | -5.4% | -32.4% | 186 |
| breakout-200ma | +0.80 | +7.4% | -42.3% | 21 |
| donchian-55 | +0.75 | -0.8% | -15.1% | 29 |
| sma-50-200-cross | +0.75 | +7.9% | -33.1% | 4 |
| momentum-12-1 | +0.62 | +5.8% | -26.0% | 20 |
| macd-cross | +0.20 | -2.0% | -48.2% | 49 |
| rsi-extreme | -0.21 | -4.9% | -50.1% | 24 |
| adx-trend | -0.21 | -5.8% | -47.9% | 45 |
| bb-squeeze | -1.58 | -7.8% | -34.7% | 50 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.99 | +5.9% | -23.2% | 44 |
| macd-cross | +0.59 | +5.2% | -35.0% | 46 |
| bb-squeeze | -0.15 | -3.6% | -20.8% | 52 |
| momentum-12-1 | -0.33 | -8.2% | -43.0% | 20 |
| bollinger-mr | -0.35 | -5.3% | -51.8% | 17 |
| breakout-200ma | -0.42 | -8.3% | -42.3% | 20 |
| sma-50-200-cross | -0.65 | -12.5% | -51.5% | 4 |
| rsi-extreme | -0.82 | -7.3% | -46.3% | 16 |
| donchian-55 | -1.90 | -4.4% | -23.5% | 29 |
| vol-breakout | -2.29 | -23.1% | -75.2% | 218 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| rsi-extreme | +0.98 | +4.7% | -30.4% | 19 |
| bollinger-mr | +0.86 | +5.0% | -30.7% | 18 |
| adx-trend | +0.70 | +3.6% | -33.4% | 42 |
| momentum-12-1 | +0.69 | +8.6% | -37.6% | 17 |
| sma-50-200-cross | +0.55 | +7.2% | -43.1% | 3 |
| donchian-55 | +0.50 | -0.8% | -23.1% | 23 |
| macd-cross | +0.42 | +2.0% | -48.3% | 53 |
| breakout-200ma | +0.03 | -4.2% | -51.5% | 25 |
| bb-squeeze | -0.28 | -4.3% | -35.0% | 46 |
| vol-breakout | -1.74 | -21.6% | -76.6% | 206 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| momentum-12-1 | +0.96 | +15.9% | -31.9% | 13 |
| macd-cross | +0.96 | +14.3% | -48.6% | 46 |
| rsi-extreme | +0.85 | +5.3% | -40.7% | 20 |
| sma-50-200-cross | +0.51 | +6.4% | -32.4% | 4 |
| adx-trend | +0.41 | +0.4% | -35.5% | 36 |
| breakout-200ma | +0.38 | +2.7% | -31.0% | 19 |
| bollinger-mr | +0.38 | +0.2% | -48.9% | 22 |
| bb-squeeze | +0.10 | -2.4% | -27.5% | 45 |
| vol-breakout | -0.85 | -19.7% | -76.1% | 250 |
| donchian-55 | -4.04 | -6.9% | -30.1% | 37 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| breakout-200ma | +0.87 | +13.2% | -31.6% | 10 |
| adx-trend | +0.74 | +4.4% | -45.0% | 42 |
| rsi-extreme | +0.72 | +4.7% | -53.8% | 19 |
| vol-breakout | +0.60 | -7.7% | -43.1% | 233 |
| macd-cross | +0.50 | +3.6% | -44.3% | 48 |
| momentum-12-1 | +0.49 | +5.5% | -47.8% | 11 |
| sma-50-200-cross | +0.45 | +4.7% | -40.8% | 3 |
| bollinger-mr | -0.33 | -8.8% | -59.9% | 17 |
| donchian-55 | -0.33 | -2.9% | -20.5% | 33 |
| bb-squeeze | -2.12 | -11.7% | -48.2% | 45 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| vol-breakout | +0.84 | -5.8% | -38.1% | 202 |
| rsi-extreme | +0.78 | +3.4% | -37.3% | 20 |
| bb-squeeze | +0.58 | -0.8% | -17.1% | 41 |
| macd-cross | +0.57 | +4.0% | -35.0% | 51 |
| momentum-12-1 | +0.52 | +4.2% | -30.0% | 23 |
| bollinger-mr | +0.48 | +1.4% | -42.2% | 21 |
| adx-trend | +0.09 | -2.6% | -39.3% | 43 |
| breakout-200ma | -0.15 | -4.7% | -40.2% | 26 |
| sma-50-200-cross | -0.19 | -4.7% | -33.9% | 4 |
| donchian-55 | -0.40 | -1.9% | -13.3% | 22 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.82 | +4.6% | -26.1% | 47 |
| bb-squeeze | +0.73 | +0.0% | -22.3% | 41 |
| macd-cross | +0.61 | +6.4% | -44.2% | 44 |
| bollinger-mr | +0.55 | +2.1% | -40.4% | 20 |
| rsi-extreme | +0.47 | +1.0% | -34.8% | 19 |
| sma-50-200-cross | +0.14 | -1.5% | -47.0% | 7 |
| momentum-12-1 | -0.21 | -6.6% | -57.0% | 11 |
| breakout-200ma | -0.29 | -9.4% | -57.6% | 31 |
| donchian-55 | -0.94 | -3.2% | -15.0% | 34 |
| vol-breakout | -1.14 | -18.9% | -66.5% | 231 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| sma-50-200-cross | +0.80 | +10.4% | -43.2% | 4 |
| momentum-12-1 | +0.71 | +7.7% | -52.6% | 12 |
| breakout-200ma | +0.65 | +6.7% | -37.5% | 18 |
| adx-trend | +0.63 | +3.1% | -40.7% | 39 |
| macd-cross | +0.41 | +1.9% | -60.9% | 55 |
| bb-squeeze | +0.39 | -1.0% | -23.9% | 44 |
| vol-breakout | +0.12 | -11.8% | -60.8% | 237 |
| rsi-extreme | +0.11 | -2.6% | -60.9% | 18 |
| bollinger-mr | -0.13 | -5.8% | -64.6% | 20 |
| donchian-55 | -1.73 | -4.5% | -26.1% | 29 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bollinger-mr | +0.79 | +3.8% | -24.3% | 24 |
| donchian-55 | +0.32 | -0.8% | -6.8% | 18 |
| rsi-extreme | -0.05 | -2.4% | -28.5% | 22 |
| sma-50-200-cross | -0.31 | -4.3% | -36.5% | 4 |
| macd-cross | -0.36 | -7.5% | -40.0% | 49 |
| adx-trend | -0.61 | -6.8% | -34.8% | 50 |
| bb-squeeze | -0.69 | -3.9% | -23.9% | 45 |
| momentum-12-1 | -0.71 | -7.4% | -38.0% | 31 |
| breakout-200ma | -0.99 | -10.7% | -44.7% | 27 |
| vol-breakout | -2.81 | -20.6% | -69.0% | 207 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| macd-cross | +0.77 | +8.4% | -32.7% | 44 |
| adx-trend | +0.29 | -0.7% | -26.6% | 41 |
| momentum-12-1 | +0.28 | +1.1% | -30.5% | 25 |
| bb-squeeze | +0.09 | -2.8% | -17.6% | 53 |
| vol-breakout | +0.05 | -10.4% | -57.9% | 200 |
| rsi-extreme | -0.22 | -4.4% | -29.7% | 21 |
| breakout-200ma | -0.29 | -7.5% | -39.7% | 27 |
| sma-50-200-cross | -0.37 | -8.8% | -46.0% | 8 |
| donchian-55 | -0.56 | -2.8% | -31.8% | 31 |
| bollinger-mr | -0.65 | -7.8% | -41.0% | 16 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.65 | +2.8% | -31.2% | 49 |
| bollinger-mr | +0.59 | +2.8% | -30.8% | 24 |
| vol-breakout | +0.22 | -9.2% | -47.8% | 200 |
| momentum-12-1 | +0.14 | -1.1% | -40.4% | 16 |
| macd-cross | -0.16 | -6.8% | -46.6% | 54 |
| bb-squeeze | -0.26 | -3.2% | -25.1% | 46 |
| breakout-200ma | -0.26 | -4.7% | -35.7% | 17 |
| sma-50-200-cross | -0.29 | -4.0% | -34.6% | 3 |
| rsi-extreme | -0.37 | -6.4% | -41.6% | 25 |
| donchian-55 | -0.55 | -1.5% | -10.6% | 20 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.62 | +3.4% | -38.0% | 40 |
| bb-squeeze | +0.43 | -1.3% | -21.7% | 52 |
| momentum-12-1 | +0.04 | -2.4% | -35.0% | 15 |
| vol-breakout | +0.04 | -9.9% | -48.0% | 189 |
| breakout-200ma | -0.04 | -3.4% | -31.9% | 12 |
| rsi-extreme | -0.18 | -5.4% | -55.7% | 17 |
| sma-50-200-cross | -0.20 | -6.2% | -46.0% | 3 |
| bollinger-mr | -0.23 | -6.2% | -57.1% | 19 |
| macd-cross | -0.23 | -10.8% | -44.4% | 46 |
| donchian-55 | -1.57 | -2.2% | -10.5% | 19 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| sma-50-200-cross | +0.58 | +9.0% | -41.2% | 4 |
| adx-trend | +0.53 | +1.6% | -43.8% | 41 |
| rsi-extreme | +0.34 | -0.4% | -45.6% | 19 |
| macd-cross | +0.28 | -1.6% | -51.1% | 52 |
| bollinger-mr | +0.23 | -1.9% | -57.7% | 20 |
| bb-squeeze | -0.03 | -3.6% | -30.0% | 46 |
| breakout-200ma | -0.10 | -7.2% | -49.0% | 23 |
| vol-breakout | -0.11 | -13.7% | -62.3% | 229 |
| momentum-12-1 | -0.50 | -13.4% | -63.6% | 3 |
| donchian-55 | -6.78 | -6.3% | -30.4% | 25 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| momentum-12-1 | +0.50 | +5.1% | -32.1% | 18 |
| rsi-extreme | +0.49 | +1.9% | -57.7% | 19 |
| bb-squeeze | +0.39 | -1.2% | -20.3% | 41 |
| macd-cross | +0.21 | -2.4% | -51.7% | 54 |
| vol-breakout | +0.19 | -10.4% | -57.8% | 219 |
| sma-50-200-cross | -0.01 | -4.5% | -48.9% | 5 |
| bollinger-mr | -0.01 | -5.0% | -66.1% | 20 |
| breakout-200ma | -0.04 | -4.8% | -46.2% | 21 |
| donchian-55 | -0.07 | -1.7% | -15.1% | 30 |
| adx-trend | -0.92 | -10.5% | -48.9% | 45 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.48 | +0.7% | -31.5% | 31 |
| macd-cross | +0.40 | +1.4% | -47.9% | 51 |
| sma-50-200-cross | -0.01 | -3.6% | -32.5% | 3 |
| breakout-200ma | -0.08 | -4.3% | -33.4% | 12 |
| bollinger-mr | -0.40 | -9.1% | -64.6% | 22 |
| vol-breakout | -0.51 | -16.2% | -61.8% | 229 |
| rsi-extreme | -0.64 | -11.5% | -66.7% | 19 |
| bb-squeeze | -0.90 | -5.7% | -30.6% | 37 |
| momentum-12-1 | -1.17 | -21.6% | -71.4% | 16 |
| donchian-55 | -9.36 | -7.8% | -33.2% | 24 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| sma-50-200-cross | +0.42 | +3.7% | -34.9% | 3 |
| adx-trend | +0.40 | +0.1% | -20.3% | 35 |
| macd-cross | +0.40 | +1.2% | -37.2% | 44 |
| momentum-12-1 | +0.17 | -0.1% | -31.2% | 11 |
| breakout-200ma | -0.06 | -3.4% | -32.6% | 23 |
| vol-breakout | -0.59 | -13.6% | -52.9% | 199 |
| bollinger-mr | -0.86 | -12.7% | -68.0% | 21 |
| rsi-extreme | -1.15 | -12.9% | -63.5% | 14 |
| bb-squeeze | -2.29 | -9.6% | -48.6% | 51 |
| donchian-55 | -2.83 | -3.9% | -18.8% | 29 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| momentum-12-1 | +0.40 | +1.7% | -39.9% | 12 |
| sma-50-200-cross | +0.38 | +2.6% | -31.9% | 2 |
| macd-cross | +0.24 | -2.0% | -47.8% | 46 |
| breakout-200ma | +0.19 | -0.5% | -34.0% | 11 |
| rsi-extreme | -0.83 | -16.0% | -70.0% | 21 |
| bb-squeeze | -0.92 | -6.2% | -38.1% | 36 |
| adx-trend | -0.94 | -11.8% | -49.7% | 41 |
| vol-breakout | -0.98 | -18.7% | -69.8% | 228 |
| bollinger-mr | -1.35 | -23.9% | -76.9% | 20 |
| donchian-55 | -6.16 | -6.1% | -27.0% | 24 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| bb-squeeze | +0.33 | -1.3% | -19.0% | 40 |
| rsi-extreme | +0.32 | -0.2% | -57.5% | 21 |
| macd-cross | +0.16 | -3.7% | -62.9% | 57 |
| adx-trend | +0.08 | -3.1% | -44.3% | 38 |
| sma-50-200-cross | -0.00 | -5.4% | -43.5% | 3 |
| momentum-12-1 | -0.42 | -12.6% | -63.2% | 18 |
| breakout-200ma | -0.57 | -16.3% | -69.4% | 32 |
| bollinger-mr | -0.72 | -11.7% | -65.0% | 18 |
| vol-breakout | -0.96 | -18.7% | -68.7% | 213 |
| donchian-55 | -1.43 | -4.2% | -33.2% | 30 |
| Strategy | Sharpe | CAGR | MaxDD | Trades |
|---|---|---|---|---|
| adx-trend | +0.26 | -1.0% | -22.8% | 41 |
| macd-cross | +0.06 | -4.9% | -58.5% | 52 |
| rsi-extreme | -0.06 | -3.2% | -35.3% | 18 |
| momentum-12-1 | -0.09 | -5.8% | -57.8% | 29 |
| bollinger-mr | -0.19 | -5.3% | -45.8% | 21 |
| sma-50-200-cross | -0.38 | -7.9% | -50.2% | 4 |
| breakout-200ma | -0.44 | -8.7% | -40.1% | 20 |
| bb-squeeze | -1.29 | -5.8% | -31.1% | 42 |
| donchian-55 | -1.38 | -2.9% | -20.2% | 23 |
| vol-breakout | -2.34 | -22.5% | -75.5% | 195 |
Sharpe ratio đo lợi nhuận điều chỉnh theo rủi ro. ≥1.5 là tốt, ≥1.0 là khá, <0.5 là yếu.
CAGR (Compound Annual Growth Rate) — tăng trưởng vốn trung bình mỗi năm. So với Buy & Hold của từng mã.
MaxDD — sụt giảm tối đa từ đỉnh, đại diện rủi ro tâm lý cần chấp nhận.
Trades — tổng số lệnh vào/ra trong 5 năm. Quá nhiều (>200) = phí giao dịch ăn lợi nhuận; quá ít (<5) = mẫu thống kê yếu.
Toàn bộ kết quả đã trừ phí giao dịch 0.15% (mức VPS Securities) + thuế bán 0.1%. Vào lệnh tại giá mở cửa ngày tiếp theo (no look-ahead). Long-only (TTCK VN cấm short cơ sở).
Backtest KHÔNG phải khuyến nghị mua/bán. Đây là phân tích định lượng dựa trên dữ liệu lịch sử để hiểu đặc tính của chiến lược.
Kết quả lịch sử KHÔNG đảm bảo hiệu suất tương lai. Trước khi áp dụng vốn thật, cần walk-forward optimization + paper trading 3-6 tháng để xác nhận chiến lược không bị overfit.
Giao dịch chứng khoán có rủi ro mất vốn. Chỉ đầu tư số tiền bạn có thể chịu mất.