The thesis
donchian-breakout is a classic trend follower: buy 20-day high breakouts, exit on 20-day lows. It trades a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), healthcare (UNH, JNJ), and staples (KO, PG, WMT). The logic is deliberately simple and asymmetric — cut losers quickly at new lows, let winners run to new highs. That design shows up cleanly in the numbers.
Backtest and validation
Over 451 days the strategy returned 6.95% (CAGR 3.83%), with a Sharpe of just 0.34 and a maximum drawdown of 21.73%. The win rate is 38.46% across 108 trades — below a coin flip, which is exactly what you expect from breakout trend following: many small stop-outs paid for by a few large trends. Turnover of ~2,083% confirms this is an active, whipsaw-prone approach, though total fees were a modest $108.
Walk-forward validation is where the picture gets interesting. Three of four folds were positive, and the two most recent folds are genuinely strong: fold 3 returned +14.09% at a 2.72 Sharpe, and the latest fold (through May 2026) posted +11.35% at a 1.86 Sharpe with a shallow 6% drawdown. Aggregate out-of-sample return was 11.35% at a 1.86 Sharpe — better than the full-sample backtest.
Despite that, the robustness gate returned passed: false. The reason is discipline, not a single bad number. The full-sample Sharpe of 0.34 is weak, PSR sits at 0.674 (short of the confidence we require), and after deflating for 6 trials the deflated Sharpe ratio collapses to 0.198. Fold 2 also lost -7.46% (Sharpe -1.07, 15.6% drawdown), a reminder that in the wrong regime this strategy bleeds. The gate is correctly refusing to over-reward a recent hot streak.
Recent activity
Live behavior has been quiet — and telling. The last six scheduled runs executed only on 12–13 August (buying V and MA, selling AAPL and UNH); every other session logged zero executions and one to three rejections. That is not a malfunction so much as the strategy's nature: when few names are printing fresh 20-day highs, there is simply nothing to buy. Cash has sat at $1,510.88 and total equity has drifted around $9,750–$9,950, modestly below the $10k starting line.
Verdict
The strengths are real: coherent thesis, strong recent out-of-sample performance, and controlled per-trade risk. The risks are equally real: a sub-0.5 win rate, a 21% historical drawdown, regime sensitivity (fold 2), and a validation gate it has not cleared. The recent OOS strength earns it a longer live look, but the low DSR is a fair warning that we may be admiring luck. Watching, not promoting.