Thesis
channel-pullback is a disciplined buy-the-dip strategy with a trend filter. It buys pullbacks to the lower regression channel or volume support only in confirmed uptrends, then exits at the upper channel or resistance. In principle this is a sound, well-worn edge: let the trend do the directional work, and improve entry price by waiting for a retrace rather than chasing. It runs on a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT), healthcare, and energy (XOM, CVX).
Recent activity
The strategy is live and trading on schedule. Across the last six sessions (Oct 1–8, 2026) it executed 1–3 orders per day with only a single rejection, ending Oct 8 with $5,330.98 cash and a total book of $11,033.94 — up from roughly $10,8k a week earlier.
The trade log shows the churn you'd expect from a pullback system. PFE was a near-breakeven round trip — bought at $28.18, sold at $28.08 — then re-entered at $27.83 the next day. Energy names cycled repeatedly: CVX and XOM each saw buys and sells within days, alongside trims of JPM and MA. This is rotation, not conviction holding, and it echoes the backtest's standout flaw: turnover of 2,311%, or roughly 23x the book per year.
Backtest and validation
Over 451 days the backtest returned +7.62% (CAGR 4.19%, final equity $10,761.52) on 137 trades, with a Sharpe of 0.40 and a 14.83% max drawdown. The win rate is just 39.39% — the strategy loses more often than it wins, relying on winners outrunning losers. That asymmetry is characteristic of trend-following, but it leaves little margin: a Sharpe of 0.40 is a thin reward for a near-15% drawdown.
Crucially, validation did not pass. The walk-forward split shows three of four folds positive, but the dispersion is severe: Fold 3 (Jul–Dec 2025) returned +20.68% at a Sharpe of 3.86, while Fold 2 (Jan–Jul 2025) lost 11.42% at a Sharpe of -1.70. The out-of-sample fold managed only +3.63% (Sharpe 0.74). Most telling, across 7 trials the probabilistic Sharpe ratio is 0.702 but the deflated Sharpe is just 0.196 — once you account for multiple testing, the measured edge is hard to distinguish from luck.
Verdict
The thesis is coherent and the strategy is trading cleanly, but the evidence is not yet convincing. The return is real but modest, the win rate is low, and — most importantly — the deflated Sharpe and the brutal Fold 2 drawdown point to regime sensitivity rather than a stable edge. channel-pullback earns its place in live paper trading as a candidate, not a conviction holding. The next milestone is clearing validation, not posting another green week.