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"2026-09-30T19:30:48.857868+00:00", "version_current": true}, "strategy": {"best_conditions": "Sustained trends with limited back-and-forth around breakout levels.", "caveat": "This SPY long-only test is a constrained expression of diversified trend following.", "data_requirement": "ohlcv", "evidence_label": "Hurst, Ooi & Pedersen \u2014 A Century of Evidence on Trend Following", "evidence_url": "https://www.aqr.com/insights/research/journal-article/a-century-of-evidence-on-trend-following-investing", "exact_with_yahoo": true, "example": "SPY's prior 55-day high is 610. A move through 610 enters long; weeks later, if the prior 20-day low is 596 and price breaks it, the strategy exits near 596.", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "how_it_works": "A 55-day high confirms a long-term breakout. The position stays open until a faster 20-day low is broken, so small losses can occur often while rare extended trends contribute most profits.", "id": "donchian_55_20", "interval": "1d", "main_risks": ["Low hit rates are normal", "Range-bound markets cause whipsaws", "Gap fills can differ greatly from channel levels", "Long-only SPY omits diversified futures opportunities"], "name": "55/20 Donchian trend", "origin": "research", "paper_allocation": 0.1, "paper_spec_id": "2:a933b4a9a857d1fefe93cb1229690bf01c03b891233ed6f3b4e2c19d989a38ee", "paper_spec_manifest": {"data_requirement": "ohlcv", "execution_code_sha256": "747f4b6189083e9979ceb538ba2e88a8388bd2c02e526fa4e7281126943e13d4", "execution_runtime": {"packages": {"beautifulsoup4": "4.15.0", "certifi": "2026.7.22", "cffi": "2.1.1", "charset-normalizer": "3.5.1", "curl-cffi": "0.16.0", "exchange-calendars": "4.13.2", "idna": "3.18", "korean-lunar-calendar": "0.4.0", "lxml": "6.1.1", "multitasking": "0.0.13", "numpy": "2.5.1", "packaging": "26.3", "pandas": "2.3.3", "peewee": "4.3.0", "platformdirs": "4.11.3", "protobuf": "7.35.1", "pycparser": "3.0", "pyluach": "2.3.0", "python-dateutil": "2.9.0.post0", "pytz": "2026.3.post1", "requests": "2.34.2", "six": "1.17.0", "soupsieve": "2.9.2", "toolz": "1.1.0", "typing-extensions": "4.16.0", "tzdata": "2026.3", "urllib3": "2.7.0", "websockets": "17.0.1", "yfinance": "1.6.0"}, "python": "3.12.13", "system_timezone_data_sha256": ["c63188e9f5017bb86bf93bcc12613cf4f814f6864119333fae06881b5b603814", "d7f2206b3a45989fc9ad63d558922532fa7352280d5f87176bf1db79cb1d1fa9"]}, "gross_exposure": 1.0, "interval": "1d", "name": "55/20 Donchian trend", "paper_allocation": 0.1, "paper_spec_id": "2:a933b4a9a857d1fefe93cb1229690bf01c03b891233ed6f3b4e2c19d989a38ee", "paper_version": "2", "qualification_benchmark": "SPY adjusted close", "round_trip_cost_bps": 4.0, "rules": ["Enter long above the previous 55-session high.", "Fill gaps at the session open when necessary.", "Stay long until price breaks the previous 20-session low.", "Use one position at a time."], "strategy_id": "donchian_55_20", "strategy_spec_hash": "a933b4a9a857d1fefe93cb1229690bf01c03b891233ed6f3b4e2c19d989a38ee", "symbol": "SPY"}, "paper_version": "2", "qualification": {"eligible_for_ai_label": false, "evidence_id": null, "gates": [], "policy": {"minimum_base_cost_bps": 4.0, "minimum_locked_calendar_days": 180, "minimum_locked_trades": 100, "minimum_stress_cost_bps": 8.0}, "status": "not_submitted", "strategy_id": "donchian_55_20"}, "qualification_benchmark": "SPY adjusted close", "rules": ["Enter long above the previous 55-session high.", "Fill gaps at the session open when necessary.", "Stay long until price breaks the previous 20-session low.", "Use one position at a time."], "strategy_spec_hash": "a933b4a9a857d1fefe93cb1229690bf01c03b891233ed6f3b4e2c19d989a38ee", "summary": "Long-term breakout entry with a faster channel exit to let large trends run.", "symbol": "SPY"}}