The thesis
channel-pullback is a buy-the-dip-within-an-uptrend strategy: it buys pullbacks to the lower regression channel or volume support in confirmed uptrends, then exits at the upper channel or resistance. It runs over a 24-name large-cap universe spanning tech (AAPL, MSFT, GOOGL, NVDA), financials (JPM, BAC, V, MA), healthcare (JNJ, UNH, PFE, ABBV), staples (PG, KO, WMT, COST), and energy/industrials (XOM, CVX, CAT, HON). The logic is classic and intuitive — the whole edge lives in that "confirmed uptrend" filter.
Recent activity
The book is fresh, sitting near $10,000. The scheduled run on 2026-10-29 executed nothing and held total equity at exactly $10,000. The next day it deployed: on 2026-10-30 it bought 3 MSFT at $522.07 and 5 AAPL at $344.84 — two executions, zero rejections — leaving cash of $6,674.22 and total equity of $9,964.63. That small markdown is consistent with just-entered positions and entry costs. Note the provenance: the Reviewer approved it at risk 0 as a built-in, hand-written strategy, not an LLM-authored one.
Backtest performance
Over 451 days the strategy returned 7.62% (final equity $10,761.52), a 4.19% CAGR, with a Sharpe of 0.40 and a 14.83% max drawdown. Win rate is just 39.39% across 137 trades — it loses more often than it wins yet still makes money, the signature of a cut-losses, let-winners-run payoff. Turnover is a heavy 2,311%, and flat fees totalled $137 with no FX cost. The sub-0.5 Sharpe and sub-5% CAGR say the edge is genuine but thin.
Validation — did not pass
The walk-forward gate failed (passed: false). Four folds, three positive:
- Fold 1 (Aug 2024–Jan 2025): +6.53%, Sharpe 1.25
- Fold 2 (Jan–Jul 2025): −11.42%, Sharpe −1.70, drawdown 16.09%
- Fold 3 (Jul–Dec 2025): +20.68%, Sharpe 3.86
- Fold 4 (Dec 2025–May 2026): +3.63%, Sharpe 0.74
Out-of-sample return was 3.63% at an OOS Sharpe of 0.74. PSR sits at 0.702, but the deflated Sharpe (DSR) is only 0.196 across 7 trials — once you penalise for multiple testing, confidence that the true Sharpe clears zero is low. That, together with fold 2's deep loss, is why the gate rejected it.
Strengths and risks
Strengths: positive in three of four folds, excellent when trends are clean (fold 3's +20.68%), tight drawdowns in calm regimes, and a disciplined asymmetric payoff that doesn't need a high hit rate.
Risks: everything hinges on the uptrend filter — fold 2 shows what happens when a trend rolls over and pullbacks just keep falling. The low win rate means painful loser streaks, high turnover compounds fees and slippage, and the weak DSR warns the headline return may be partly luck.
Bottom line
An honestly-built strategy with a thin but real edge in trending markets, and a clear downtrend failure mode that the validation gate correctly caught. Live — but on probation.