The thesis
Channel-pullback is a disciplined mean-reversion play inside a trend-following frame. It buys pullbacks to the lower regression channel or volume support — but only in confirmed uptrends — and exits into the upper channel or resistance. The universe is 24 mega-cap names spanning tech, financials, healthcare, staples, and energy, so the strategy leans on quality liquidity rather than speculative small-caps. It runs live and trades on a scheduled cadence.
Recent activity
The last two weeks tell a coherent story of rotation. The book trimmed NVDA on both 2026-09-15 and 2026-09-16 (9 shares at $214.11 and $212.03), sold HD and PG on 2026-09-21, and redeployed into energy and financials: XOM at $163.54, BAC at $59.86, CVX at $204.99, plus a re-entry into MSFT at $498.37. Small round-trips in PFE round out the tape.
Execution quality is uneven. Scheduled runs frequently report rejected orders — for example, 2 executed / 2 rejected on 2026-09-23, and 0 executed / 2 rejected on both 2026-09-17 and 2026-09-18. That is consistent with a strategy that only fires when its channel and volume conditions are met, but it means a meaningful share of intended trades never land. Portfolio value has drifted gently lower across the window, from roughly $11,171 on 2026-09-17 to $10,960 on 2026-09-23.
Backtest and validation
The headline backtest is respectable but not thrilling: +7.62% total return over 451 days, a 4.19% CAGR, and a Sharpe of just 0.40. The win rate is a low 39.39% across 137 trades, so profitability depends on winners meaningfully outsizing losers — a classic pullback signature. Two figures deserve scrutiny. Turnover is extreme at 2,311%, and total fees of $137 (roughly one dollar per trade) are a real drag at this account size. Max drawdown of 14.83% is not trivial for a single-digit return.
Crucially, the strategy fails validation. Across four walk-forward folds, three were positive but the spread is alarming: fold 3 returned +20.68% (Sharpe 3.86) while fold 2 lost -11.42% (Sharpe -1.70, 16.09% drawdown). Out-of-sample return was only +3.63%, and the deflated Sharpe ratio (DSR) sits at 0.196 — weak once penalised for the 7 trials tested. The probabilistic Sharpe (PSR) of 0.702 is middling. In short, most of the edge lives in one lucky regime.
The verdict
Strengths: a sound, well-understood thesis; sensible mega-cap universe; and genuine live discipline, evidenced by the frequent rejected orders. Risks: the equity curve is regime-dependent, the low win rate leaves little room for slippage, turnover is punishing, and the validation gate said no. Fold 2 is the warning — this book can bleed double digits in an unfriendly tape. Treat channel-pullback as an interesting live experiment, not a proven all-weather engine, until it demonstrates that fold-3 magic is repeatable rather than a fortunate draw.