Signal-only research · No auto-trading · Not financial advice
20-Day Breakout + 10-Day Trailing Stop
Every day, scan for symbols that make a new 20-day high (long) or new 20-day low (short). Rank them by volatility-normalised strength — (close − 20d SMA) / ATR(14) — enter the top 5 per side, and exit on a 10-day trailing stop. Backtested on 5 years of real data with a 10,000-run block-bootstrap Monte Carlo, net of fees & slippage.
1 · Historical Backtest 5Y · 2021-08 → 2026-08
43 Bybit USDT perps (crypto) + 153 US stocks + 38 index ETFs + 18 commodity ETFs. Returns = equal-weight sum of per-trade % P&L. Net = after 5.5 bps taker fee + 5 bps slippage per side (10 bps round-trip).
| Asset class | Trades | Gross ret | Net ret | Win rate | Profit factor | Verdict |
|---|
| Crypto-perps (Bybit) | 1,813 | +9,778% | +9,588% | 51.0% | 3.84 | STRONG |
| Stocks (US) | 2,459 | +2,671% | +2,413% | 42.0% | 1.83 | STRONG |
| Indexes | 1,657 | +695% | +521% | 39.9% | 1.52 | MODERATE |
| Commodities / Futures | 1,421 | +509% | +359% | 34.6% | 1.17 | WEAK |
2 · Monte Carlo — Equal-Weight Return Distribution 10,000 SIMS · NET
Block-bootstrap resampling of the actual realised trade P&L list (preserves regime autocorrelation), compounded into equity curves. Net of costs.
| Asset class | Terminal P5 | Terminal P50 | Terminal P95 | P(profit) | MaxDD P50 |
|---|
| Crypto-perps | +7,260% | +9,624% | +12,241% | 100% | 92.5% |
| Stocks | +1,638% | +2,389% | +3,254% | 100% | 193% |
| Indexes | +274% | +515% | +780% | 100% | 220% |
| Commodities / Futures | −239% | +341% | +979% | 82.8% | 458% |
Read: even the 5th-percentile outcome is strongly positive for crypto, stocks and indexes. Commodities are the weak link — P5 is negative and only ~83% of sims are profitable, consistent with its low historical profit factor (1.17).
3 · Monte Carlo — Compounded Equity 1% RISK / TRADE · NET
The realistic one. Each trade is sized as a constant 1% of equity risked and the equity curve is compounded via each trade's net R-multiple — i.e. what a low-leverage account actually following the strategy would have seen over 5 years.
Crypto · 5y CAGR
+177%
MC P5 → P95+120% → +259%
Equity after 5y×162
Max DD3.9%
P(profit)100%
Stocks · 5y CAGR
+38%
MC P5 → P95+23% → +55%
Equity after 5y×5.0
Max DD16.5%
P(profit)100%
Commodities · 5y CAGR
+10%
MC P5 → P95−1.7% → +23%
Equity after 5y×1.6
Max DD21.6%
P(profit)92%
Compounded CAGR distribution by asset class (5th / 50th / 95th percentile)
5th pct (worst)
50th pct (median)
95th pct (best)
| Asset class | Trades | Equity ×5y | CAGR | MC CAGR P5 | MC CAGR P50 | MC CAGR P95 | P(profit) | MaxDD P50 |
|---|
| Crypto-perps | 1,813 | ×162.4 | +176.8% | +119.9% | +177.6% | +260.9% | 100% | 3.9% |
| Stocks | 2,459 | ×5.04 | +38.2% | +23.4% | +37.8% | +55.3% | 100% | 13.4% |
| Indexes | 1,657 | ×3.69 | +29.8% | +16.2% | +30.1% | +46.4% | 100% | 11.3% |
| Commodities / Futures | 1,421 | ×1.63 | +10.3% | −1.3% | +10.0% | +23.2% | 92.4% | 19.8% |
| All combined | 7,350 | ×4,939 | +447.9% | +255.6% | +446.6% | +779.3% | 100% | 18.8% |
4 · Parameter Sensitivity CRYPTO · GROSS
Every lookback × trailing-stop combination was profitable — the edge is not a single lucky parameter point. Top rows by terminal return:
| Lookback | Trail | Trades | Terminal | Win rate | Profit factor | Max DD |
|---|
| 10 | 20 | 2,149 | +12,360% | 51.2% | 4.24 | 174.7% |
| 10 | 10 | 2,375 | +12,133% | 51.5% | 3.88 | 174.7% |
| 15 | 20 | 1,879 | +10,956% | 50.4% | 4.16 | 93.5% |
| 20 | 20 | 1,688 | +10,007% | 51.2% | 4.30 | 77.1% |
| 20 | 10 | 1,813 | +9,778% | 52.1% | 3.98 | 87.0% |
| 30 | 10 | 1,471 | +9,175% | 51.7% | 4.40 | 80.3% |
Shorter lookbacks trade more and make more, at the cost of higher drawdown. The 20/20 region has the best return-to-drawdown trade-off. Bold row = the strategy as specified (20-day lookback, 10-day trail).
5 · Methodology & Caveats READ ME
- Signal: long when today's high > max(high of prior 20d); short when today's low < min(low of prior 20d). Entry at next bar's open (no look-ahead).
- Ranking: volatility-normalised strength (close − 20d SMA) / ATR(14); top 5 longs + top 5 shorts per day.
- Exit: 10-day trailing stop — min low of prior 10d for longs, max high for shorts. ~99% of trades exit via the stop, not period-end.
- Monte Carlo: block-bootstrap resamples the actual realised trade P&L list (block ≈ n/50 to preserve autocorrelation), 10,000 sims, both equal-weight sum-of-returns and constant-1%-risk compounded variants. Net of 10 bps round-trip (5.5 fee + 5 slippage).
- Survivorship bias: only currently-trading symbols are included (crypto perps limited to 43 symbols with full 5y history; many alts listed later).
- Sum-of-returns caveat: §1–2 numbers are the standard cross-sectional edge metric and overstate a real compounded portfolio; the §3 compounded figures are the realistic account-level picture.
- Fills: trailing stop assumed filled at the stop level; real fills can be worse on gaps.
- Signal-only: this is research. No auto-trading. Not financial advice.