The thesis
Channel-pullback is a trend-following, mean-reversion hybrid. It waits for a confirmed uptrend, then buys dips toward the lower regression channel or a volume-support level, aiming to exit near the upper channel or resistance. The universe is 24 US large caps spanning tech, financials, healthcare, staples and energy — AAPL, MSFT, NVDA, JPM, V, JNJ, XOM and peers. The design is deliberately patient: buy weakness inside strength, sell into the move.
Recent activity
The strategy is live and currently holds roughly $11,006 in total equity against $7,276 in cash as of 15 October — a largely de-risked posture after a busy early-October stretch. Its scheduled runs have been quiet lately: zero trades on 12, 13 and 15 October, one on the 14th, and bursts of two and three on 9 and 8 October. The executions themselves tell a clear rotation story. It bought NVDA (9 @ $220.45) and earlier added XOM and CVX, while trimming into strength — selling XOM, CVX, KO and MA, and round-tripping PFE (71 bought @ $27.83, sold @ $28.17 for a thin gain). That is the model doing what it claims: scaling into pullbacks, booking exits near targets.
Backtest and validation
Over 451 days the backtest returned 7.62% (4.19% CAGR), ending at $10,761.52 on a $10k base. The headline caveats are a 0.40 Sharpe, a 14.83% max drawdown, and a 39.39% win rate across 137 trades. A sub-40% hit rate alongside a positive return signals the expected asymmetry — winners outrun losers — but it also means the equity curve leans on a minority of trades. Turnover is heavy at 2,311%, though fees stayed modest at $137 and FX cost was zero.
Walk-forward validation is where the honest story lives, and it did not pass. Three of four folds were positive, but fold 2 (Jan–Jul 2025) lost 11.42% at a -1.70 Sharpe, while fold 3 (Jul–Dec 2025) returned a stellar 20.68% at a 3.86 Sharpe. That dispersion matters: out-of-sample return averaged just 3.63% at a 0.74 Sharpe, roughly half the in-sample figure. The deflated Sharpe ratio of 0.196 — adjusted for 7 trials — is the real red flag, hinting that much of the apparent edge may be selection rather than skill. The 0.702 probabilistic Sharpe offers only modest reassurance.
The balance
Strengths: a coherent, repeatable thesis; disciplined exits; low fees; and genuine positive out-of-sample returns in three of four windows. Risks: clear regime sensitivity (the 2025 drawdown), a thin win rate that demands large winners to work, and a validation verdict of failed driven by that weak DSR.
Bottom line
Channel-pullback is a plausible, well-behaved strategy that earns its keep in trending regimes and bleeds in choppy ones. Live equity is modestly above water, but the validation math argues for treating it as a candidate under observation rather than a proven edge. We would want more out-of-sample history and a higher deflated Sharpe before sizing it up.