The thesis
donchian-breakout is a classic trend-following system: buy when price closes at a 20-day high, exit when it hits a 20-day low. The idea is to ride persistent moves and cut the ones that reverse — accepting many small losses in exchange for a few large winners. It trades a 24-name large-cap universe spanning tech, financials, healthcare, staples and energy (AAPL, MSFT, NVDA, JPM, JNJ, XOM, CAT and others), so it is diversified across sectors rather than betting on a single theme.
Recent activity
Execution has gone quiet. The six most recent scheduled runs — 19 through 26 October — all report 0 executed and between 1 and 3 rejected orders each. Cash has sat frozen at $2,241.07 the entire week while the account's total value drifted between roughly $9,734 and $9,832. The repeated rejections suggest the strategy is finding signals it cannot fill — most likely sizing against insufficient cash or hitting an order constraint — rather than seeing no breakouts at all.
The last genuine fills were in mid-October and late September: buys in WMT and MSFT, a 10-share NVDA round trip (bought near $230, trimmed around $217), plus rotations out of CAT and KO. That cadence is normal for a 20-day system, but the week of pure rejections is worth watching — a trend follower that cannot enter breakouts is effectively switched off.
Backtest and validation
Over 451 days the backtest returns 6.95% (3.83% CAGR) on 108 trades, ending at $10,695. The shape is textbook trend-following: a low 38.46% win rate carried by asymmetric winners. Less comfortable are a Sharpe of just 0.34, a 21.73% max drawdown, and eye-watering 2,082% turnover — a lot of churn for the return earned, even if fees stayed modest at $108.
The walk-forward picture is more flattering. 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 out-of-sample fold returned 11.35% at a 1.86 Sharpe with only a 6% drawdown. Fold 2, by contrast, lost 7.46% at a −1.07 Sharpe — the strategy's choppy-market failure mode laid bare.
Despite that, validation failed. The deflated Sharpe ratio sits at 0.198 and the probabilistic Sharpe at 0.674 — across 6 trials, that is not enough confidence to rule out that the headline Sharpe is noise. In other words: the recent out-of-sample strength is encouraging, but the gate is right to demand the regime holds up before trusting it.
Verdict
The honest read is split. The out-of-sample folds hint that this breakout logic has found something real in the recent regime, and the sector diversification is sensible. But the full-sample Sharpe is weak, the drawdown is steep, the turnover is extreme, and a week of nothing-but-rejections means live conviction is unproven. This is a strategy to keep on the leaderboard and watch — not one to scale into yet.