← ALL STRATEGIES · donchian_55_20

55/20 Donchian trend

RESEARCH STRATEGY
RUNNING

Long-term breakout entry with a faster channel exit to let large trends run.

DEFAULT MARKETSPY
BAR INTERVAL1d
GROSS EXPOSURE1.0x
PAPER CASH$100,000.00
REALIZED P&L$+0.00
PROMOTION AUDIT

No AI qualification submitted

This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.

NOT TESTEDLocked evidenceRequires 100+ trades over 180+ untouched calendar days.
NOT TESTEDCost survivalMust beat exposure-matched Buy & Hold at 4 and 8 bps.
NOT TESTEDIntraday flatnessEvery position must close within its trading session.
NOT TESTEDImmutable provenanceExact algorithm, dataset, and trade-ledger SHA-256 fingerprints are mandatory.

How the strategy 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.

Concrete 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.

Published research

Hurst, Ooi & Pedersen — A Century of Evidence on Trend Following

Published evidence motivates this candidate; it does not guarantee this implementation will pass our current sample.

Exact algorithm

Required data: ohlcv

Where it may work—and where it can fail

EXPECTED BEST CONDITIONS

Sustained trends with limited back-and-forth around breakout levels.

IMPORTANT CONTEXT

This SPY long-only test is a constrained expression of diversified trend following.

Main risks

“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.

Forward paper transactions

LEDGER START2026-08-16T22:55:46.697046+00:00
PAPER VERSIONv2 · a933b4a9a857
STATUSrunning
STATUS DETAILNo issue
EntrySideEntry priceExitExit priceCapital basisGross notionalOutcomeP&L
No forward-paper transactions yet. The ledger began at deployment and never imports historical P&L.

Capital basis is allocated paper equity. Gross notional uses the exposure stored with that exact fill; legacy fills with no recorded exposure are shown as unknown. A new semantic paper generation archives the prior run and restarts the forward clock.

Archived paper versions

Read-only prior runs preserve their executable manifest, balances, and fills. They never contribute to the active clock, cash, or qualification.

VersionMarketExposureAllocationCostCode hashStartedArchivedFillsStarting cashEnding cashRealized P&LFinal status
legacy-v1unknown · unknownunknownunknownunknownlegacy2026-08-16T16:54:09.212635+00:002026-08-16T22:55:46.697046+00:000$100,000.00$100,000.00$+0.00running
TRADES30
AVERAGE TRADE+175.02 bps
STRATEGY 1.0x / BUY & HOLD 1x+63.45% / +315.11%
VS 1x REFERENCE-251.66% · LAGS
DRAWDOWN: STRATEGY / B&H+16.05% / +33.72%
HITS / MISSES17 / 13
HIT RATE+56.67%
AVG HIT / MISS+4.93% / -2.41%
LONGEST MISS STREAK5

Rolling 70/30 diagnostic

This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.

FINAL 30% TRADES9
STRATEGY / B&H 1x+26.87% / +75.03%
FINAL 30% VS B&H-48.16%
FINAL 30% HIT RATE+55.56%
FINAL 30% DRAWDOWN+4.19%
INDEPENDENT EVIDENCE?No

Candles and execution signals

▲ BUY▼ SELLHover a candle or marker for exact values
779.37753.67727.98702.28676.582026-04-10T00:00:00+00:00 O 681.32 H 682.03 L 678.45 C 679.462026-04-13T00:00:00+00:00 O 677.41 H 686.30 L 676.58 C 686.102026-04-14T00:00:00+00:00 O 687.69 H 694.58 L 687.66 C 694.462026-04-15T00:00:00+00:00 O 695.26 H 700.28 L 694.20 C 699.942026-04-16T00:00:00+00:00 O 701.06 H 702.78 L 698.53 C 701.662026-04-17T00:00:00+00:00 O 706.14 H 712.39 L 705.76 C 710.142026-04-20T00:00:00+00:00 O 708.78 H 709.91 L 706.14 C 708.722026-04-21T00:00:00+00:00 O 710.28 H 711.28 L 702.64 C 704.082026-04-22T00:00:00+00:00 O 709.15 H 711.45 L 708.22 C 711.212026-04-23T00:00:00+00:00 O 709.50 H 712.36 L 702.28 C 708.452026-04-24T00:00:00+00:00 O 710.75 H 714.47 L 709.01 C 713.942026-04-27T00:00:00+00:00 O 713.17 H 715.63 L 712.30 C 715.172026-04-28T00:00:00+00:00 O 711.82 H 712.88 L 709.25 C 711.692026-04-29T00:00:00+00:00 O 711.00 H 712.20 L 708.37 C 711.582026-04-30T00:00:00+00:00 O 714.63 H 719.79 L 710.45 C 718.662026-05-01T00:00:00+00:00 O 721.25 H 724.87 L 720.47 C 720.652026-05-04T00:00:00+00:00 O 720.07 H 722.12 L 714.99 C 718.012026-05-05T00:00:00+00:00 O 721.77 H 725.04 L 721.49 C 723.772026-05-06T00:00:00+00:00 O 728.16 H 734.59 L 727.82 C 733.832026-05-07T00:00:00+00:00 O 735.05 H 736.13 L 729.75 C 731.582026-05-08T00:00:00+00:00 O 734.93 H 738.08 L 734.57 C 737.622026-05-11T00:00:00+00:00 O 736.45 H 740.79 L 736.45 C 739.302026-05-12T00:00:00+00:00 O 736.89 H 738.84 L 731.83 C 738.182026-05-13T00:00:00+00:00 O 738.47 H 743.91 L 735.47 C 742.312026-05-14T00:00:00+00:00 O 743.65 H 749.53 L 743.56 C 748.172026-05-15T00:00:00+00:00 O 741.79 H 743.46 L 737.96 C 739.172026-05-18T00:00:00+00:00 O 739.83 H 741.42 L 733.39 C 738.652026-05-19T00:00:00+00:00 O 734.78 H 737.65 L 731.53 C 733.732026-05-20T00:00:00+00:00 O 735.71 H 741.87 L 733.89 C 741.252026-05-21T00:00:00+00:00 O 738.64 H 744.87 L 737.03 C 742.722026-05-22T00:00:00+00:00 O 746.24 H 748.94 L 744.48 C 745.642026-05-26T00:00:00+00:00 O 750.01 H 752.13 L 748.37 C 750.592026-05-27T00:00:00+00:00 O 750.88 H 751.38 L 748.22 C 750.462026-05-28T00:00:00+00:00 O 750.25 H 755.15 L 749.23 C 754.602026-05-29T00:00:00+00:00 O 755.90 H 758.08 L 754.69 C 756.482026-06-01T00:00:00+00:00 O 755.36 H 760.28 L 754.69 C 758.542026-06-02T00:00:00+00:00 O 757.03 H 760.40 L 756.75 C 759.572026-06-03T00:00:00+00:00 O 758.15 H 758.80 L 753.57 C 754.242026-06-04T00:00:00+00:00 O 752.10 H 758.31 L 751.47 C 757.092026-06-05T00:00:00+00:00 O 752.31 H 752.82 L 735.53 C 737.552026-06-08T00:00:00+00:00 O 743.36 H 745.34 L 738.19 C 739.222026-06-09T00:00:00+00:00 O 743.63 H 746.90 L 722.59 C 737.052026-06-10T00:00:00+00:00 O 733.39 H 738.38 L 725.33 C 725.432026-06-11T00:00:00+00:00 O 728.76 H 740.00 L 724.41 C 737.762026-06-12T00:00:00+00:00 O 740.71 H 744.44 L 735.03 C 741.752026-06-15T00:00:00+00:00 O 751.85 H 756.68 L 751.76 C 754.832026-06-16T00:00:00+00:00 O 754.55 H 755.44 L 749.88 C 750.332026-06-17T00:00:00+00:00 O 751.29 H 752.15 L 739.22 C 740.962026-06-18T00:00:00+00:00 O 747.76 H 748.23 L 743.86 C 746.742026-06-22T00:00:00+00:00 O 747.70 H 750.18 L 743.13 C 744.392026-06-23T00:00:00+00:00 O 733.81 H 739.63 L 732.30 C 733.582026-06-24T00:00:00+00:00 O 735.17 H 739.95 L 730.84 C 733.242026-06-25T00:00:00+00:00 O 738.91 H 739.37 L 729.60 C 734.302026-06-26T00:00:00+00:00 O 728.95 H 736.53 L 716.58 C 728.992026-06-29T00:00:00+00:00 O 736.53 H 741.56 L 732.09 C 741.002026-06-30T00:00:00+00:00 O 741.29 H 748.02 L 740.89 C 746.772026-07-01T00:00:00+00:00 O 745.00 H 749.44 L 742.38 C 745.762026-07-02T00:00:00+00:00 O 747.40 H 751.31 L 740.03 C 744.782026-07-06T00:00:00+00:00 O 748.74 H 752.41 L 747.41 C 751.282026-07-07T00:00:00+00:00 O 750.22 H 750.96 L 745.21 C 747.712026-07-08T00:00:00+00:00 O 743.16 H 746.15 L 739.51 C 745.402026-07-09T00:00:00+00:00 O 747.35 H 751.97 L 745.59 C 751.712026-07-10T00:00:00+00:00 O 752.05 H 755.42 L 748.10 C 754.952026-07-13T00:00:00+00:00 O 752.47 H 753.91 L 748.00 C 749.172026-07-14T00:00:00+00:00 O 750.91 H 753.34 L 748.66 C 751.832026-07-15T00:00:00+00:00 O 754.24 H 755.58 L 750.20 C 754.812026-07-16T00:00:00+00:00 O 752.76 H 754.57 L 747.88 C 750.722026-07-17T00:00:00+00:00 O 742.08 H 747.29 L 740.80 C 743.292026-07-20T00:00:00+00:00 O 747.06 H 748.73 L 741.51 C 742.092026-07-21T00:00:00+00:00 O 746.29 H 749.04 L 744.18 C 748.282026-07-22T00:00:00+00:00 O 746.62 H 750.02 L 746.37 C 747.412026-07-23T00:00:00+00:00 O 739.37 H 742.56 L 735.21 C 738.182026-07-24T00:00:00+00:00 O 738.51 H 743.72 L 737.29 C 738.932026-07-27T00:00:00+00:00 O 744.91 H 745.53 L 735.87 C 739.092026-07-28T00:00:00+00:00 O 739.19 H 742.79 L 735.98 C 740.862026-07-29T00:00:00+00:00 O 739.97 H 742.68 L 729.10 C 729.462026-07-30T00:00:00+00:00 O 736.05 H 742.45 L 734.59 C 741.692026-07-31T00:00:00+00:00 O 744.68 H 748.90 L 737.68 C 747.032026-08-03T00:00:00+00:00 O 749.44 H 758.58 L 748.80 C 757.672026-08-04T00:00:00+00:00 O 760.63 H 773.41 L 760.52 C 771.332026-08-05T00:00:00+00:00 O 775.85 H 776.85 L 769.51 C 769.792026-08-06T00:00:00+00:00 O 770.21 H 771.82 L 767.46 C 768.562026-08-07T00:00:00+00:00 O 771.02 H 773.92 L 769.61 C 773.262026-08-10T00:00:00+00:00 O 772.60 H 775.05 L 771.62 C 773.032026-08-11T00:00:00+00:00 O 774.53 H 774.61 L 769.20 C 770.562026-08-12T00:00:00+00:00 O 774.71 H 774.90 L 771.28 C 772.492026-08-13T00:00:00+00:00 O 774.87 H 779.37 L 774.11 C 777.882026-08-14T00:00:00+00:00 O 778.54 H 778.80 L 775.43 C 776.342026-08-17T00:00:00+00:00 O 776.18 H 776.78 L 772.51 C 772.672026-08-18T00:00:00+00:00 O 768.70 H 769.50 L 766.92 C 767.452026-08-19T00:00:00+00:00 O 770.36 H 772.47 L 768.10 C 769.062026-08-20T00:00:00+00:00 O 765.96 H 768.15 L 762.04 C 762.602026-08-21T00:00:00+00:00 O 766.05 H 767.85 L 764.17 C 765.722026-08-24T00:00:00+00:00 O 764.78 H 765.22 L 762.08 C 763.472026-08-25T00:00:00+00:00 O 766.16 H 766.78 L 763.05 C 765.912026-08-26T00:00:00+00:00 O 764.73 H 767.35 L 763.93 C 766.082026-08-27T00:00:00+00:00 O 768.50 H 772.36 L 767.16 C 771.102026-08-28T00:00:00+00:00 O 771.76 H 775.30 L 768.31 C 769.352026-08-31T00:00:00+00:00 O 767.33 H 768.00 L 764.72 C 767.052026-09-01T00:00:00+00:00 O 762.01 H 764.67 L 759.48 C 761.782026-09-02T00:00:00+00:00 O 762.45 H 766.43 L 761.73 C 765.162026-09-03T00:00:00+00:00 O 767.90 H 774.03 L 767.45 C 773.172026-09-04T00:00:00+00:00 O 772.01 H 772.87 L 769.00 C 770.192026-09-08T00:00:00+00:00 O 769.07 H 769.70 L 765.14 C 765.962026-09-09T00:00:00+00:00 O 764.08 H 764.47 L 760.94 C 762.402026-09-10T00:00:00+00:00 O 758.03 H 760.11 L 756.64 C 757.832026-09-11T00:00:00+00:00 O 764.72 H 766.38 L 763.60 C 764.292026-09-14T00:00:00+00:00 O 759.00 H 763.52 L 757.93 C 760.882026-09-15T00:00:00+00:00 O 760.12 H 760.35 L 756.15 C 757.392026-09-16T00:00:00+00:00 O 759.50 H 761.67 L 749.60 C 754.052026-09-17T00:00:00+00:00 O 763.15 H 763.57 L 759.96 C 762.602026-09-18T00:00:00+00:00 O 761.31 H 762.00 L 757.97 C 761.692026-09-21T00:00:00+00:00 O 766.25 H 774.89 L 766.03 C 773.502026-09-22T00:00:00+00:00 O 774.03 H 775.14 L 772.57 C 773.382026-09-23T00:00:00+00:00 O 772.79 H 773.05 L 766.50 C 767.812026-09-24T00:00:00+00:00 O 764.07 H 768.95 L 763.25 C 767.182026-09-25T00:00:00+00:00 O 768.78 H 772.28 L 766.29 C 771.352026-09-28T00:00:00+00:00 O 768.35 H 769.54 L 763.72 C 765.612026-09-29T00:00:00+00:00 O 766.83 H 766.98 L 762.35 C 764.202026-09-30T00:00:00+00:00 O 766.45 H 769.41 L 766.00 C 766.79ENTRY BUY · 2026-04-15 00:00:00+00:00 · 697.84BUYEXIT SELL · 2026-06-09 00:00:00+00:00 · 731.53SELLENTRY BUY · 2026-08-04 00:00:00+00:00 · 760.63BUYEXIT SELL · 2026-09-01 00:00:00+00:00 · 760.52SELL2026-04-102026-09-30

Shows the latest 120 available bars. BUY/SELL marks strategy entries and exits whose timestamps fall in this visible window.

Historical equity curve

Compounds each encoded net trade sequentially, including the strategy's declared exposure and modeled costs. The forward ledger starts only after deployment.

Backtest specification

STATUS / REPLICATIONcompleted · exact_course_rules
DATAYahoo Finance (delayed/unofficial)
MARKETSPY · 1d
HISTORY2016-09-30T00:00:00+00:00
2026-09-30T00:00:00+00:00
WIN RATE+56.67%
PROFIT FACTOR2.67

This SPY long-only test is a constrained expression of diversified trend following.

Historical transactions

Download JSONDownload all transactions as CSV

HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 30 transactions.

EntrySideEntry priceExitExit priceOutcomeNet return
2026-08-04 00:00:00+00:00LONG760.632026-09-01 00:00:00+00:00760.52MISS-0.054%
2026-04-15 00:00:00+00:00LONG697.842026-06-09 00:00:00+00:00731.53HIT+4.788%
2025-12-24 00:00:00+00:00LONG689.702026-02-05 00:00:00+00:00676.57MISS-1.944%
2025-10-24 00:00:00+00:00LONG676.462025-11-18 00:00:00+00:00661.21MISS-2.294%
2025-06-03 00:00:00+00:00LONG595.542025-10-10 00:00:00+00:00654.30HIT+9.827%
2025-01-23 00:00:00+00:00LONG609.072025-02-25 00:00:00+00:00590.49MISS-3.091%
2024-09-17 00:00:00+00:00LONG565.162024-12-20 00:00:00+00:00581.77HIT+2.899%
2024-05-15 00:00:00+00:00LONG525.832024-07-24 00:00:00+00:00542.44HIT+3.119%
2023-11-20 00:00:00+00:00LONG453.672024-04-15 00:00:00+00:00508.12HIT+11.962%
2023-05-18 00:00:00+00:00LONG417.622023-08-10 00:00:00+00:00444.96HIT+6.507%
2023-04-28 00:00:00+00:00LONG415.722023-05-04 00:00:00+00:00403.78MISS-2.912%
2023-02-01 00:00:00+00:00LONG410.492023-02-24 00:00:00+00:00395.42MISS-3.711%
2022-11-30 00:00:00+00:00LONG403.102022-12-15 00:00:00+00:00390.14MISS-3.255%
2022-08-08 00:00:00+00:00LONG417.442022-08-26 00:00:00+00:00406.77MISS-2.596%
2021-12-27 00:00:00+00:00LONG473.542022-01-20 00:00:00+00:00451.46MISS-4.703%
2021-10-22 00:00:00+00:00LONG454.052021-11-30 00:00:00+00:00457.77HIT+0.779%
2021-06-04 00:00:00+00:00LONG422.822021-09-20 00:00:00+00:00434.88HIT+2.812%
2021-03-11 00:00:00+00:00LONG394.172021-05-11 00:00:00+00:00410.59HIT+4.126%
2020-11-09 00:00:00+00:00LONG363.972021-03-04 00:00:00+00:00378.23HIT+3.878%
2020-05-26 00:00:00+00:00LONG301.932020-09-10 00:00:00+00:00332.88HIT+10.211%
2019-10-28 00:00:00+00:00LONG302.942020-02-25 00:00:00+00:00320.73HIT+5.832%
2019-09-12 00:00:00+00:00LONG302.232019-10-02 00:00:00+00:00291.50MISS-3.590%
2019-06-20 00:00:00+00:00LONG296.042019-08-01 00:00:00+00:00295.20MISS-0.324%
2019-02-25 00:00:00+00:00LONG280.732019-05-07 00:00:00+00:00286.70HIT+2.087%
2018-07-13 00:00:00+00:00LONG279.482018-10-05 00:00:00+00:00286.71HIT+2.547%
2018-06-05 00:00:00+00:00LONG275.392018-06-28 00:00:00+00:00269.10MISS-2.324%
2017-09-11 00:00:00+00:00LONG248.912018-02-05 00:00:00+00:00271.95HIT+9.216%
2017-07-14 00:00:00+00:00LONG245.012017-08-10 00:00:00+00:00243.76MISS-0.550%
2017-05-15 00:00:00+00:00LONG240.322017-06-29 00:00:00+00:00241.31HIT+0.372%
2017-01-25 00:00:00+00:00LONG228.702017-03-21 00:00:00+00:00235.41HIT+2.894%