Since 2022 Sort Finance

Donchian Breakout

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Track the highest and lowest close of the previous 20 bars — the Donchian channel.
  2. Buy when today's close beats the 20-bar high: price has just done something it hasn't managed in the whole window, often the start of a trend.
  3. Sell when the close falls below the 20-bar low, handing the trend back once the range breaks the other way.
Score
Total Score Mean Of Real And Resampled 52 / 100
Real Data 51 / 100
Resampled Data 53 / 100
Overall Rank Top 33% 17 of 52
Rank In Breakout Top 40% 2 of 5
Score By Metric
Beats Hold Real 42 · Resampled 57 49 / 100
Risk Adjusted Real 51 · Resampled 46 49 / 100
Profitability Real 63 · Resampled 60 61 / 100
Win Rate Real 43 · Resampled 39 41 / 100
Fee Efficiency Real 63 · Resampled 63 63 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.