The Thesis
channel-pullback is a buy-the-dip strategy with discipline. It waits for a confirmed uptrend, then buys pullbacks toward the lower regression channel or a volume-support level, aiming to exit at the upper channel or overhead resistance. The universe is 24 large-cap US names spanning tech, financials, healthcare, staples, and energy — AAPL, NVDA, JPM, V, UNH, KO, XOM and CAT among them. It is now running live, executing on a scheduled daily cadence.
Recent Activity
The last week has been steady rather than dramatic. Scheduled runs from 2026-09-30 through 2026-10-07 mostly executed two orders apiece, with a single rejection on 2026-10-06. Portfolio total value has hovered in a tight band — roughly $10,860 to $10,992 — closing the window at $10,927.66 with $3,727.06 in cash.
The trade tape shows the strategy's churn up close. It bought PFE (70 shares at $28.18 on 10-01) and sold the same block six days later at $28.08 — essentially a scratch. CVX was sold at $206.95 on 10-01, then rebought at $207.21 the next day, the kind of round-trip that quietly feeds the fee line. Other moves included selling JPM into strength at $331.68, trimming MA, and rotating XOM and energy exposure. This is an active book, not a buy-and-hold one.
Backtest Performance
Over 451 days the backtest returned +7.62% (CAGR 4.19%), ending at $10,761.52 on $10,000. The headline caveats are a Sharpe of just 0.40, a 14.83% max drawdown, and a 39.39% win rate across 137 trades. A sub-40% win rate with a positive return means the winners are meaningfully larger than the losers — a legitimate trend-following profile, but one that demands patience through long strings of small losses. Turnover was an eye-watering 2,311%, so execution quality and fees matter; the test booked $137 in fees against that modest return.
Validation: Did Not Pass
This is the part that deserves the most weight. The walk-forward validation failed. Three of four folds were positive, but the dispersion is extreme: fold 3 (mid-2025) printed +20.68% at a Sharpe of 3.86, while fold 2 (early-to-mid 2025) lost -11.42% at a Sharpe of -1.70 with a 16% drawdown. The most recent out-of-sample fold returned a tamer +3.63% (Sharpe 0.74).
The statistics confirm the unease. The Probabilistic Sharpe Ratio is 0.702, but the Deflated Sharpe Ratio is only 0.196 after accounting for 7 trials — meaning once you penalise for selection, there is weak evidence the edge is real rather than lucky.
Verdict
channel-pullback has a coherent thesis and shines when trends cooperate, but its edge is regime-dependent and statistically unproven. Live deployment despite a failed gate is a risk worth watching closely.