Thesis
Channel-pullback is a disciplined dip-buyer. It buys pullbacks to the lower regression channel or volume support only within confirmed uptrends, then exits at the upper channel or resistance. It is not a bottom-fisher: the uptrend filter is the whole point, keeping the strategy from catching falling knives. Its universe is 24 large-cap US names spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (KO, PG, WMT), healthcare (JNJ, PFE), and energy (XOM, CVX).
Recent activity
The strategy is live and runs on a daily schedule. Over the six sessions from 2 Oct to 9 Oct, total account value rose from $10,848.54 to $11,086.07, with one rejected order (6 Oct) and no execution failures otherwise. Cash fluctuated sharply — from $1,718 up to $9,265 — reflecting an active book that rotates capital rather than sitting idle.
The tape shows classic channel behaviour. XOM was bought at $163.77 (5 Oct) and sold at $168.81 (8 Oct); CVX bought at $207.21 (2 Oct) and sold at $211.95 (8 Oct) — both clean round-trips into resistance. PFE is the busier story: sold 70 at $28.08 (7 Oct), re-bought 71 at $27.83 (8 Oct), then sold 71 at $28.17 (9 Oct). That churn captures small edges but illustrates how often the model re-tests the same support.
Backtest and validation
Over 451 days the backtest returned 7.62% (CAGR 4.19%), ending at $10,761.52 on 137 trades. The headline tension: a win rate of just 39.39% paired with a positive return. This is a textbook asymmetric profile — losers are cut, winners run to the channel top. Turnover is a heavy 2,311%, though flat fees kept total costs to $137 and FX cost was zero.
The risk numbers are more sobering. Sharpe is 0.40 and max drawdown 14.83%. The 4-fold walk-forward test did not pass: three of four folds were positive, but fold 2 (Jan–Jul 2025) lost 11.42% with a Sharpe of -1.70 and a 16.09% drawdown. Fold 3 then delivered a standout +20.68% (Sharpe 3.86), which flatters the aggregate. Out-of-sample return was 3.63% (OOS Sharpe 0.74). Most tellingly, across 7 trials the probabilistic Sharpe ratio is 0.702 but the deflated Sharpe ratio is only 0.196 — once you penalise for multiple attempts, the edge is not statistically convincing.
The balance
Strengths: a coherent, trend-filtered thesis; low fee drag; and a cut-losers-run-winners profile that survives a sub-40% hit rate. Risks: the whole backtest Sharpe leans on one exceptional fold, the strategy bled double digits in an unfavourable regime, and the failed validation plus low DSR say the live edge is unproven. The early live P&L is encouraging but tiny. Treat this as a promising prototype on a short leash — worth watching, not yet worth scaling.