backtest
Better to leave when the trend flips than at a target?
Leaving on a 50-day or 200-day flip lifts expected R versus a fixed 2R target, and also gives back more.
Instead of selling at a fixed target, leave when the 50-day or 200-day line flips down and expected R per trade rises. The share of trades that were green and then finished red rises too. Fifteen large tech names, from 2019.
Rule name: Entry is breakout_rr, minimum reward/risk 2.0.
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.