The thesis
donchian-breakout runs one of the oldest ideas in systematic trading: buy a 20-day high, sell a 20-day low. It is pure trend following — no forecasting, no mean reversion, just a commitment to ride momentum wherever it appears across a 24-name large-cap universe spanning tech (AAPL, MSFT, NVDA), financials (JPM, V, MA), staples (PG, KO, WMT) and energy (XOM, CVX). The strategy is live, was approved by review at zero risk as a built-in hand-written rule, and is doing what it says on the tin.
Recent activity
The 29 October scheduled run was the busy one: four executions — ABBV (8 @ $289.91), MA (3 @ $636.60), HD (7 @ $328.57) and WMT (20 @ $121.17) — alongside one rejection, landing total equity near $9,912. The following day's run executed nothing and rejected one order, with equity ticking back up to roughly $10,004 and cash held tight at $959. That is characteristic breakout behaviour: it fires in clusters when several names poke through their highs at once, then goes quiet. The persistent single rejection per run is worth a look — likely a sizing or cash constraint rather than a signal problem, given cash sat flat at $959.13 across both days.
Backtest and validation
Over 451 days the backtest returned 6.95% (final equity $10,695), a 3.83% CAGR, Sharpe of 0.34, and a 21.73% max drawdown. The win rate is 38.46% across 108 trades — low, but entirely normal for trend following, where a few outsized winners pay for many small losses. Turnover of 2,082% is high; fees were a modest $108 and FX cost zero.
The cross-validation tells the real story. Across four folds, three were positive, and the out-of-sample stretch looks genuinely strong: +11.35% at a 1.86 Sharpe in the most recent fold, and a spectacular +14.09% at 2.72 Sharpe in fold 3 with a tiny 3.14% drawdown. But fold 2 bled −7.46% at a −1.07 Sharpe — the strategy got chopped up in a trendless, whipsawing market, which is precisely when breakout systems suffer.
The verdict
Validation did not pass. Despite a respectable PSR of 0.674, the deflated Sharpe ratio sits at just 0.198 after accounting for six trials — not enough confidence that the edge survives multiple-testing scrutiny, and the headline 0.34 Sharpe is thin to begin with.
Strengths: a clean, transparent rule; strong recent out-of-sample performance; disciplined exits. Risks: a brutal dependence on trending regimes (fold 2 is the cautionary tale), a 21.7% drawdown that will test any investor's nerve, and a low win rate that makes equity curves feel worse than they are. We keep it live and watching — but on probation, not promotion.