The thesis
Channel-pullback is a disciplined dip-buyer. It waits for a confirmed uptrend, then buys pullbacks to the lower regression channel or a volume-support shelf, and exits into the upper channel or overhead resistance. It trades a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, COST) and energy (XOM, CVX). The logic is sound and well-worn: buy strength on weakness, sell the bounce.
Backtest: positive, but thin
Over 451 days the backtest returned 7.62% (CAGR 4.19%), ending at $10,761.52 from a $10,000 base. The headline number hides the texture. The Sharpe is only 0.40, max drawdown reached 14.83%, and the win rate is 39.39% across 137 trades — this is a strategy that loses more often than it wins and relies on its winners (upper-channel exits) outrunning a majority of small losers. Turnover is a heavy 2,311%, so execution quality matters; fees alone totalled $137 (roughly $1 a trade).
Validation: it did not pass
This is the part to take seriously. Walk-forward validation failed. Three of four out-of-sample folds were positive, and OOS Sharpe (0.74) actually beat the full-sample Sharpe — encouraging. But the dispersion is alarming: fold results ran from −11.42% (Sharpe −1.70) to +20.68% (Sharpe 3.86). Most tellingly, with 7 trials in the search, the deflated Sharpe ratio is just 0.196 — once you discount for how many variants were tried, almost all the apparent edge evaporates. The probabilistic Sharpe (0.702) is the kinder read, but the DSR is the honest one. This strategy's performance is heavily regime-dependent, and we cannot yet distinguish skill from a lucky fold.
Recent live activity
Live, the account sits near $11,029 with roughly $7,391 in cash — it is carrying risk selectively, not swinging for the fences. Most scheduled runs this week executed nothing (0 of 6 sessions fired trades on three days). When it acts, it acts cleanly: a 9-share NVDA round-trip bought at $220.45 and sold at $220.92, a fresh NVDA entry at $211.74, and a quick PFE scalp (71 shares, $27.83 → $28.17). Earlier it trimmed KO, XOM, CVX and JNJ. The cadence looks like a patient channel strategy waiting for setups rather than forcing them.
The verdict
Strengths: a coherent thesis, genuine OOS positivity in three of four folds, and disciplined, low-frequency live behaviour. Risks: a failed validation gate, a near-zero deflated Sharpe, sub-40% win rate, and one fold deep in the red that shows how badly this bleeds in the wrong tape. Channel-pullback earns a place on the live roster as a probationary allocation — small size, close monitoring, and no promotion until the edge survives more out-of-sample tape and the DSR climbs off the floor.