Filtered Donchian breakout using LWTI direction and volume confirmation.
No AI qualification submitted
This strategy keeps its course or research provenance. A normal backtest snapshot cannot award the AI-generated label.
How the strategy works
The strategy combines three confirmations: price must break a Donchian boundary, LWTI must agree with the direction, and volume must exceed its recent average. The filters aim to keep only breakouts with trend and participation.
Concrete example
NQ breaks its prior 20-bar high while LWTI is positive and volume is above its 20-bar average. The model enters long, uses a 50-point stop and 100-point target, and refuses another entry that day.
Exact algorithm
- Use prior Donchian highs/lows for breakout levels.
- Confirm direction with LWTI and above-average volume.
- Allow one entry per day, long or short.
- Use a 100-point target, 50-point stop and optional volatility gate.
Required data: ohlcv
Where it may work—and where it can fail
Main risks
- Fixed point stops behave differently across volatility regimes
- Filters can enter late
- Donchian breakouts whipsaw in ranges
- The positive result currently rests on only 58 trades
“Best conditions” is an interpretation of the strategy's mechanism, not an additional course entry rule and not a performance guarantee.
Forward paper transactions
| Entry | Side | Entry price | Exit | Exit price | Capital basis | Gross notional | Outcome | P&L |
|---|---|---|---|---|---|---|---|---|
| 2026-09-29 05:30:00+00:00 | SHORT | 30,418.50 | 2026-09-29 06:05:00+00:00 | 30,468.50 | $10,000.00 | $10,000.00 | MISS | $-20.44 |
| 2026-09-29 05:10:00+00:00 | SHORT | 30,419.25 | 2026-09-29 06:05:00+00:00 | 30,469.25 | $10,000.00 | $10,000.00 | MISS | $-20.44 |
| 2026-09-28 04:00:00+00:00 | SHORT | 30,644.00 | 2026-09-28 04:20:00+00:00 | 30,694.00 | $10,000.00 | $10,000.00 | MISS | $-20.32 |
| 2026-09-28 05:00:00+00:00 | LONG | 30,697.50 | 2026-09-28 05:30:00+00:00 | 30,647.50 | $10,000.00 | $10,000.00 | MISS | $-20.29 |
| 2026-09-27 22:50:00+00:00 | SHORT | 30,790.00 | 2026-09-27 23:00:00+00:00 | 30,787.50 | $10,000.00 | $10,000.00 | MISS | $-3.19 |
| 2026-09-25 05:10:00+00:00 | LONG | 30,813.75 | 2026-09-25 08:25:00+00:00 | 30,913.75 | $10,000.00 | $10,000.00 | HIT | $+28.45 |
| 2026-09-24 04:05:00+00:00 | SHORT | 30,688.25 | 2026-09-24 06:00:00+00:00 | 30,588.25 | $10,000.00 | $10,000.00 | HIT | $+28.59 |
| 2026-09-24 04:10:00+00:00 | SHORT | 30,661.75 | 2026-09-24 05:05:00+00:00 | 30,711.75 | $10,000.00 | $10,000.00 | MISS | $-20.31 |
| 2026-09-23 04:05:00+00:00 | LONG | 31,027.00 | 2026-09-23 11:20:00+00:00 | 30,977.00 | $10,000.00 | $10,000.00 | MISS | $-20.11 |
| 2026-09-23 04:15:00+00:00 | LONG | 31,034.00 | 2026-09-23 11:20:00+00:00 | 30,984.00 | $10,000.00 | $10,000.00 | MISS | $-20.11 |
| 2026-09-22 04:05:00+00:00 | SHORT | 30,863.75 | 2026-09-22 07:30:00+00:00 | 30,763.75 | $10,000.00 | $10,000.00 | HIT | $+28.40 |
| 2026-09-22 04:10:00+00:00 | SHORT | 30,840.75 | 2026-09-22 08:00:00+00:00 | 30,740.75 | $10,000.00 | $10,000.00 | HIT | $+28.42 |
| 2026-09-21 05:35:00+00:00 | LONG | 30,100.75 | 2026-09-21 08:00:00+00:00 | 30,200.75 | $10,000.00 | $10,000.00 | HIT | $+29.22 |
| 2026-09-21 00:00:00+00:00 | LONG | 30,040.25 | 2026-09-21 00:10:00+00:00 | 30,044.50 | $10,000.00 | $10,000.00 | MISS | $-2.59 |
| 2026-09-18 04:15:00+00:00 | LONG | 29,768.75 | 2026-09-18 06:00:00+00:00 | 29,868.75 | $10,000.00 | $10,000.00 | HIT | $+29.59 |
| 2026-09-17 04:40:00+00:00 | LONG | 29,466.50 | 2026-09-17 05:30:00+00:00 | 29,416.50 | $10,000.00 | $10,000.00 | MISS | $-20.97 |
| 2026-09-16 05:00:00+00:00 | SHORT | 29,298.75 | 2026-09-16 06:00:00+00:00 | 29,348.75 | $10,000.00 | $10,000.00 | MISS | $-21.07 |
| 2026-09-15 04:15:00+00:00 | SHORT | 29,411.50 | 2026-09-15 05:15:00+00:00 | 29,311.50 | $10,000.00 | $10,000.00 | HIT | $+30.00 |
| 2026-09-14 04:15:00+00:00 | SHORT | 29,008.25 | 2026-09-14 07:50:00+00:00 | 28,908.25 | $10,000.00 | $10,000.00 | HIT | $+30.47 |
| 2026-09-14 00:25:00+00:00 | SHORT | 29,010.00 | 2026-09-14 00:30:00+00:00 | 29,021.25 | $10,000.00 | $10,000.00 | MISS | $-7.88 |
| 2026-09-11 05:10:00+00:00 | LONG | 29,151.50 | 2026-09-11 06:15:00+00:00 | 29,251.50 | $10,000.00 | $10,000.00 | HIT | $+30.30 |
| 2026-09-11 04:25:00+00:00 | LONG | 29,111.50 | 2026-09-11 05:50:00+00:00 | 29,211.50 | $10,000.00 | $10,000.00 | HIT | $+30.35 |
| 2026-09-10 04:50:00+00:00 | LONG | 29,447.25 | 2026-09-10 09:25:00+00:00 | 29,397.25 | $10,000.00 | $10,000.00 | MISS | $-20.98 |
| 2026-09-10 04:35:00+00:00 | LONG | 29,437.50 | 2026-09-10 09:30:00+00:00 | 29,387.50 | $10,000.00 | $10,000.00 | MISS | $-20.99 |
| 2026-09-09 04:10:00+00:00 | SHORT | 29,560.50 | 2026-09-09 04:50:00+00:00 | 29,610.50 | $10,000.00 | $10,000.00 | MISS | $-20.91 |
| 2026-09-08 04:35:00+00:00 | LONG | 29,752.00 | 2026-09-08 05:05:00+00:00 | 29,702.00 | $10,000.00 | $10,000.00 | MISS | $-20.81 |
| 2026-09-04 04:20:00+00:00 | LONG | 29,578.75 | 2026-09-04 10:25:00+00:00 | 29,678.75 | $10,000.00 | $10,000.00 | HIT | $+29.81 |
| 2026-09-03 04:05:00+00:00 | LONG | 29,243.00 | 2026-09-03 05:00:00+00:00 | 29,193.00 | $10,000.00 | $10,000.00 | MISS | $-21.10 |
| 2026-09-03 05:00:00+00:00 | SHORT | 29,202.25 | 2026-09-03 05:20:00+00:00 | 29,102.25 | $10,000.00 | $10,000.00 | HIT | $+30.24 |
| 2026-09-02 04:05:00+00:00 | SHORT | 29,046.25 | 2026-09-02 05:30:00+00:00 | 29,096.25 | $10,000.00 | $10,000.00 | MISS | $-21.21 |
| 2026-09-02 04:10:00+00:00 | SHORT | 29,041.00 | 2026-09-02 05:25:00+00:00 | 29,091.00 | $10,000.00 | $10,000.00 | MISS | $-21.22 |
| 2026-09-01 04:25:00+00:00 | LONG | 29,500.50 | 2026-09-01 05:20:00+00:00 | 29,450.50 | $10,000.00 | $10,000.00 | MISS | $-20.95 |
| 2026-08-31 04:35:00+00:00 | LONG | 29,367.25 | 2026-08-31 05:15:00+00:00 | 29,467.25 | $10,000.00 | $10,000.00 | HIT | $+30.05 |
| 2026-08-30 23:10:00+00:00 | SHORT | 29,428.00 | 2026-08-30 23:20:00+00:00 | 29,411.00 | $10,000.00 | $10,000.00 | HIT | $+1.78 |
| 2026-08-28 05:00:00+00:00 | SHORT | 29,639.00 | 2026-08-28 13:40:00+00:00 | 29,689.00 | $10,000.00 | $10,000.00 | MISS | $-20.87 |
| 2026-08-27 04:30:00+00:00 | SHORT | 29,526.50 | 2026-08-27 06:00:00+00:00 | 29,426.50 | $10,000.00 | $10,000.00 | HIT | $+29.87 |
| 2026-08-26 06:00:00+00:00 | SHORT | 29,217.25 | 2026-08-26 06:45:00+00:00 | 29,267.25 | $10,000.00 | $10,000.00 | MISS | $-21.11 |
| 2026-08-25 04:05:00+00:00 | LONG | 29,190.00 | 2026-08-25 06:10:00+00:00 | 29,140.00 | $10,000.00 | $10,000.00 | MISS | $-21.13 |
| 2026-08-25 05:10:00+00:00 | LONG | 29,217.25 | 2026-08-25 06:10:00+00:00 | 29,167.25 | $10,000.00 | $10,000.00 | MISS | $-21.11 |
| 2026-08-24 05:20:00+00:00 | SHORT | 29,261.25 | 2026-08-24 06:05:00+00:00 | 29,161.25 | $10,000.00 | $10,000.00 | HIT | $+30.17 |
| 2026-08-23 22:10:00+00:00 | SHORT | 29,367.75 | 2026-08-23 23:20:00+00:00 | 29,417.75 | $10,000.00 | $10,000.00 | MISS | $-21.03 |
| 2026-08-23 23:25:00+00:00 | LONG | 29,418.00 | 2026-08-23 23:30:00+00:00 | 29,448.00 | $10,000.00 | $10,000.00 | HIT | $+6.20 |
| 2026-08-21 04:20:00+00:00 | SHORT | 29,342.75 | 2026-08-21 06:30:00+00:00 | 29,392.75 | $10,000.00 | $10,000.00 | MISS | $-21.04 |
| 2026-08-20 05:10:00+00:00 | SHORT | 29,593.50 | 2026-08-20 06:05:00+00:00 | 29,643.50 | $10,000.00 | $10,000.00 | MISS | $-20.90 |
| 2026-08-19 04:05:00+00:00 | SHORT | 29,514.00 | 2026-08-19 07:20:00+00:00 | 29,564.00 | $10,000.00 | $10,000.00 | MISS | $-20.94 |
| 2026-08-19 04:10:00+00:00 | SHORT | 29,514.00 | 2026-08-19 07:20:00+00:00 | 29,564.00 | $10,000.00 | $10,000.00 | MISS | $-20.94 |
| 2026-08-18 05:30:00+00:00 | SHORT | 29,873.25 | 2026-08-18 08:00:00+00:00 | 29,773.25 | $10,000.00 | $10,000.00 | HIT | $+29.47 |
| 2026-08-17 04:00:00+00:00 | LONG | 30,247.25 | 2026-08-17 12:35:00+00:00 | 30,197.25 | $10,000.00 | $10,000.00 | MISS | $-20.53 |
| 2026-08-17 04:05:00+00:00 | LONG | 30,249.25 | 2026-08-17 12:35:00+00:00 | 30,199.25 | $10,000.00 | $10,000.00 | MISS | $-20.53 |
| 2026-08-16 23:45:00+00:00 | LONG | 30,211.75 | 2026-08-16 23:50:00+00:00 | 30,226.75 | $10,000.00 | $10,000.00 | HIT | $+0.96 |
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.
| Version | Market | Exposure | Allocation | Cost | Code hash | Started | Archived | Fills | Starting cash | Ending cash | Realized P&L | Final status |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| legacy-v1 | unknown · unknown | unknown | unknown | unknown | legacy | 2026-08-16T16:54:09.212635+00:00 | 2026-08-16T22:55:39.032727+00:00 | 0 | $100,000.00 | $100,000.00 | $+0.00 | running |
Rolling 70/30 diagnostic
This moving 70/30 split is a dashboard diagnostic, not frozen qualification evidence. It cannot award AI-qualified status.
Candles and execution signals
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
The free intraday sample is 60 days and continuous futures may include roll artefacts.
Historical transactions
HIT = profitable after the 4 bps cost assumption; MISS = loss after costs; FLAT = break-even. Showing the most recent 100 of 59 transactions.
| Entry | Side | Entry price | Exit | Exit price | Outcome | Net return |
|---|---|---|---|---|---|---|
| 2026-09-30 04:30:00+00:00 | LONG | 30,660.50 | 2026-09-30 05:10:00+00:00 | 30,610.50 | MISS | -0.203% |
| 2026-09-29 05:30:00+00:00 | SHORT | 30,418.50 | 2026-09-29 06:05:00+00:00 | 30,468.50 | MISS | -0.204% |
| 2026-09-28 04:00:00+00:00 | SHORT | 30,644.00 | 2026-09-28 04:20:00+00:00 | 30,694.00 | MISS | -0.203% |
| 2026-09-27 22:50:00+00:00 | SHORT | 30,790.00 | 2026-09-27 23:45:00+00:00 | 30,840.00 | MISS | -0.202% |
| 2026-09-25 05:10:00+00:00 | LONG | 30,813.75 | 2026-09-25 08:25:00+00:00 | 30,913.75 | HIT | +0.285% |
| 2026-09-24 04:05:00+00:00 | SHORT | 30,688.25 | 2026-09-24 06:00:00+00:00 | 30,588.25 | HIT | +0.286% |
| 2026-09-23 04:05:00+00:00 | LONG | 31,027.00 | 2026-09-23 11:20:00+00:00 | 30,977.00 | MISS | -0.201% |
| 2026-09-22 04:05:00+00:00 | SHORT | 30,863.75 | 2026-09-22 07:30:00+00:00 | 30,763.75 | HIT | +0.284% |
| 2026-09-21 05:35:00+00:00 | LONG | 30,100.75 | 2026-09-21 08:00:00+00:00 | 30,200.75 | HIT | +0.292% |
| 2026-09-21 00:00:00+00:00 | LONG | 30,040.25 | 2026-09-21 03:55:00+00:00 | 30,090.00 | HIT | +0.126% |
| 2026-09-18 04:15:00+00:00 | LONG | 29,768.75 | 2026-09-18 06:00:00+00:00 | 29,868.75 | HIT | +0.296% |
| 2026-09-17 04:40:00+00:00 | LONG | 29,466.50 | 2026-09-17 05:30:00+00:00 | 29,416.50 | MISS | -0.210% |
| 2026-09-16 05:00:00+00:00 | SHORT | 29,298.75 | 2026-09-16 06:00:00+00:00 | 29,348.75 | MISS | -0.211% |
| 2026-09-15 04:15:00+00:00 | SHORT | 29,411.50 | 2026-09-15 05:15:00+00:00 | 29,311.50 | HIT | +0.300% |
| 2026-09-14 04:15:00+00:00 | SHORT | 29,008.25 | 2026-09-14 07:50:00+00:00 | 28,908.25 | HIT | +0.305% |
| 2026-09-14 00:25:00+00:00 | SHORT | 29,010.00 | 2026-09-14 01:55:00+00:00 | 29,060.00 | MISS | -0.212% |
| 2026-09-11 05:10:00+00:00 | LONG | 29,151.50 | 2026-09-11 06:15:00+00:00 | 29,251.50 | HIT | +0.303% |
| 2026-09-10 04:50:00+00:00 | LONG | 29,447.25 | 2026-09-10 09:25:00+00:00 | 29,397.25 | MISS | -0.210% |
| 2026-09-09 04:10:00+00:00 | SHORT | 29,560.50 | 2026-09-09 04:50:00+00:00 | 29,610.50 | MISS | -0.209% |
| 2026-09-08 04:35:00+00:00 | LONG | 29,752.00 | 2026-09-08 05:05:00+00:00 | 29,702.00 | MISS | -0.208% |
| 2026-09-04 04:20:00+00:00 | LONG | 29,578.75 | 2026-09-04 10:25:00+00:00 | 29,678.75 | HIT | +0.298% |
| 2026-09-03 04:05:00+00:00 | LONG | 29,243.00 | 2026-09-03 05:00:00+00:00 | 29,193.00 | MISS | -0.211% |
| 2026-09-02 04:05:00+00:00 | SHORT | 29,046.25 | 2026-09-02 05:30:00+00:00 | 29,096.25 | MISS | -0.212% |
| 2026-09-01 04:25:00+00:00 | LONG | 29,500.50 | 2026-09-01 05:20:00+00:00 | 29,450.50 | MISS | -0.209% |
| 2026-08-31 04:35:00+00:00 | LONG | 29,367.25 | 2026-08-31 05:15:00+00:00 | 29,467.25 | HIT | +0.301% |
| 2026-08-30 23:10:00+00:00 | SHORT | 29,428.00 | 2026-08-30 23:40:00+00:00 | 29,328.00 | HIT | +0.300% |
| 2026-08-28 05:00:00+00:00 | SHORT | 29,636.25 | 2026-08-28 13:40:00+00:00 | 29,686.25 | MISS | -0.209% |
| 2026-08-27 04:30:00+00:00 | SHORT | 29,526.50 | 2026-08-27 06:00:00+00:00 | 29,426.50 | HIT | +0.299% |
| 2026-08-26 06:00:00+00:00 | SHORT | 29,217.25 | 2026-08-26 06:45:00+00:00 | 29,267.25 | MISS | -0.211% |
| 2026-08-25 04:05:00+00:00 | LONG | 29,190.00 | 2026-08-25 06:10:00+00:00 | 29,140.00 | MISS | -0.211% |
| 2026-08-24 05:20:00+00:00 | SHORT | 29,261.25 | 2026-08-24 06:05:00+00:00 | 29,161.25 | HIT | +0.302% |
| 2026-08-23 23:25:00+00:00 | LONG | 29,418.00 | 2026-08-24 00:15:00+00:00 | 29,368.00 | MISS | -0.210% |
| 2026-08-21 04:20:00+00:00 | SHORT | 29,342.75 | 2026-08-21 06:30:00+00:00 | 29,392.75 | MISS | -0.210% |
| 2026-08-20 05:10:00+00:00 | SHORT | 29,593.50 | 2026-08-20 06:05:00+00:00 | 29,643.50 | MISS | -0.209% |
| 2026-08-19 04:05:00+00:00 | SHORT | 29,514.00 | 2026-08-19 07:20:00+00:00 | 29,564.00 | MISS | -0.209% |
| 2026-08-18 05:30:00+00:00 | SHORT | 29,873.25 | 2026-08-18 08:00:00+00:00 | 29,773.25 | HIT | +0.295% |
| 2026-08-17 04:00:00+00:00 | LONG | 30,247.25 | 2026-08-17 12:35:00+00:00 | 30,197.25 | MISS | -0.205% |
| 2026-08-16 23:45:00+00:00 | LONG | 30,211.75 | 2026-08-17 03:55:00+00:00 | 30,245.75 | HIT | +0.073% |
| 2026-08-14 04:30:00+00:00 | SHORT | 30,148.00 | 2026-08-14 07:40:00+00:00 | 30,198.00 | MISS | -0.206% |
| 2026-08-13 04:05:00+00:00 | LONG | 29,880.00 | 2026-08-13 08:00:00+00:00 | 29,830.00 | MISS | -0.207% |
| 2026-08-12 04:30:00+00:00 | SHORT | 29,684.50 | 2026-08-12 06:55:00+00:00 | 29,734.50 | MISS | -0.208% |
| 2026-08-11 04:10:00+00:00 | LONG | 29,847.50 | 2026-08-11 05:45:00+00:00 | 29,797.50 | MISS | -0.208% |
| 2026-08-10 04:15:00+00:00 | LONG | 29,899.50 | 2026-08-10 11:45:00+00:00 | 29,849.50 | MISS | -0.207% |
| 2026-08-09 23:05:00+00:00 | LONG | 29,860.25 | 2026-08-10 00:00:00+00:00 | 29,810.25 | MISS | -0.207% |
| 2026-08-07 04:10:00+00:00 | SHORT | 29,475.50 | 2026-08-07 04:30:00+00:00 | 29,525.50 | MISS | -0.210% |
| 2026-08-06 06:00:00+00:00 | SHORT | 29,541.75 | 2026-08-06 09:10:00+00:00 | 29,441.75 | HIT | +0.299% |
| 2026-08-05 04:05:00+00:00 | LONG | 29,893.75 | 2026-08-05 08:20:00+00:00 | 29,843.75 | MISS | -0.207% |
| 2026-08-04 05:25:00+00:00 | LONG | 29,023.25 | 2026-08-04 08:05:00+00:00 | 29,123.25 | HIT | +0.305% |
| 2026-08-03 05:05:00+00:00 | SHORT | 28,640.00 | 2026-08-03 08:00:00+00:00 | 28,540.00 | HIT | +0.309% |
| 2026-08-03 00:25:00+00:00 | SHORT | 28,545.00 | 2026-08-03 00:35:00+00:00 | 28,595.00 | MISS | -0.215% |
| 2026-07-31 04:15:00+00:00 | LONG | 28,478.25 | 2026-07-31 05:25:00+00:00 | 28,578.25 | HIT | +0.311% |
| 2026-07-30 05:00:00+00:00 | SHORT | 27,434.75 | 2026-07-30 05:15:00+00:00 | 27,484.75 | MISS | -0.222% |
| 2026-07-29 04:05:00+00:00 | SHORT | 27,702.00 | 2026-07-29 04:55:00+00:00 | 27,752.00 | MISS | -0.220% |
| 2026-07-28 05:15:00+00:00 | SHORT | 27,949.00 | 2026-07-28 05:15:00+00:00 | 27,999.00 | MISS | -0.219% |
| 2026-07-27 04:40:00+00:00 | LONG | 28,650.75 | 2026-07-27 09:45:00+00:00 | 28,750.75 | HIT | +0.309% |
| 2026-07-26 23:40:00+00:00 | LONG | 28,647.00 | 2026-07-27 00:15:00+00:00 | 28,597.00 | MISS | -0.215% |
| 2026-07-24 04:55:00+00:00 | LONG | 28,560.75 | 2026-07-24 06:10:00+00:00 | 28,510.75 | MISS | -0.215% |
| 2026-07-23 04:25:00+00:00 | LONG | 29,142.25 | 2026-07-23 05:50:00+00:00 | 29,092.25 | MISS | -0.212% |
| 2026-07-22 06:05:00+00:00 | SHORT | 29,140.25 | 2026-07-22 07:40:00+00:00 | 29,040.25 | HIT | +0.303% |