The thesis
donchian-breakout is a textbook trend-following system: buy when price sets a fresh 20-day high, exit when it prints a 20-day low. It runs on a 24-name universe of US large caps — mega-cap tech (AAPL, MSFT, NVDA), payments (V, MA), staples (KO, PG, WMT, COST) and healthcare (JNJ, UNH, PFE). The logic is deliberately simple and asymmetric: cut losers quickly at the lower channel, let winners ride the upper one.
Recent activity
The strategy trades on a scheduled cadence, and lately it has been quiet. Of the last six scheduled runs, only 2026-09-22 fired — four orders executed (buys in AAPL and WMT, sells in V and MA), while the other sessions logged zero executions and a string of rejected orders (one or two per run). Those rejections, alongside a cash balance parked at $3,513.36, suggest the book is capital-constrained or waiting on valid breakout signals rather than actively rotating.
The headline number to sit with: total portfolio value closed the latest run at $9,927.65, fractionally below the $10,000 stake. Live performance, in other words, has not yet earned its keep.
Backtest and validation
Over 451 days the backtest returned +6.95% (CAGR 3.83%, final equity $10,695.11) across 108 trades. The internals are pure trend-following: a 38.46% win rate, a modest 0.34 Sharpe, and a punishing 21.73% max drawdown. Turnover ran hot at 2,082%, though fees stayed light at $108 total.
The walk-forward validation is where the caution flags go up — it did not pass. Three of four folds were positive, and the out-of-sample tail was genuinely strong (fold 4: +11.35%, Sharpe 1.86; fold 3: +14.09%, Sharpe 2.72). But fold 2 (2025-01-22 to 2025-07-05) bled −7.46% at a −1.07 Sharpe, exposing how badly the system whipsaws in rangebound regimes. Crucially, after adjusting for the six trials run, the deflated Sharpe ratio sits at just 0.198 (PSR 0.674) — not enough confidence that the edge survives multiple-testing scrutiny.
Verdict
The strengths are real: recent folds trend-followed beautifully, and the exit discipline kept fold-3 and fold-4 drawdowns in single digits. But the risks are equally real — a sub-0.35 headline Sharpe, a 20%+ drawdown, a coin-flip-minus win rate, and a validation gate the strategy could not clear. The live book being marginally underwater is consistent with a system that only pays out when a durable trend arrives.
Trend-following demands patience and a wide berth for drawdown. donchian-breakout has the right shape but has not yet proven the edge is durable rather than lucky. Watch the fold-2-style chop, not the fold-3 fireworks.