TREND-02 · Trend Following

Donchian Breakout

A classic trend system that enters on 55-day highs and exits on 20-day lows with ATR sizing.

TrendBreakout

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At a glance

Best onGold 3Y Calmar Top3

Signal frequencyDaily

Typical holding periodWeeks

Asset classesCommodity, Index, FX

Markets tested10

Data through2026-11-10

What the backtest shows

Beat buy-and-hold on 4 of 10 markets by annual return over 5 years.
Had a smaller maximum drawdown than buy-and-hold on 9 of 10 markets.
Best market by Sharpe ratio: DBC (Sharpe 0.79, CAGR 9.7%).
Weakest market: UNG (Sharpe -0.16, CAGR -10.4%).

Equity curve

Donchian Breakout Buy & hold · GLD, 2010-01-04 → 2026-11-10, growth of 1

Score and risk profile

Arena Score: 56.8GLD, 5 years

Return quality · 30%51

Drawdown control · 25%67

Consistency · 20%23

Robustness · 15%73

Significance · 10%94

Each bar is a percentile against every strategy on the same market and window (100 = best).

Time in market46%

Ulcer index7.0%

Longest drawdown310 days

Daily VaR (95%)-1.29%

Probability Sharpe > 094%

Beta vs buy & hold0.56

Alpha (annual)+0.6%

Positive months38%

CAGR after 10 bp costs9.0%

Deflated Sharpe (luck-adjusted)43%

CAGR, 90% bootstrap range-0.1% to 20.9%

Max drawdown, 90% bootstrap range-30.3% to -12.7%

How it held up in sell-offs (GLD)

Period	Strategy	Buy & hold
Q4 2018 sell-off	+1.1%	+6.6%
COVID crash (Feb–Mar 2020)	-5.6%	-3.6%
2022 bear market	+1.9%	-7.3%
Market above its 200-day average (annualized) · 58%	+6.7%	+9.0%
Market below its 200-day average (annualized) · 42%	+1.6%	+5.4%

Sell-off dates follow the US stock market. Above/below the 200-day average uses the previous day's position, so there is no look-ahead.

Results by market (5 years)

Market	CAGR	Buy & hold CAGR	Sharpe	Max drawdown	Buy & hold max DD	Volatility	Arena Score
DBCInvesco DB Commodity Index	9.7%	10.8%	0.79	-22.5%	-27.3%	12.7%	78
GLDSPDR Gold Shares	9.5%	16.4%	0.72	-14.1%	-28.3%	14.3%	57
USOUnited States Oil Fund	14.5%	20.2%	0.66	-32.3%	-36.2%	25.7%	70
SLViShares Silver Trust	11.7%	15.2%	0.57	-36.8%	-57.8%	25.8%	58
SPYSPDR S&P 500	3.7%	11.6%	0.45	-17.6%	-24.5%	8.5%	39
BTC-USDBitcoin	9.3%	2.6%	0.37	-36.2%	-75.9%	22.1%	58
DBAInvesco DB Agriculture	2.7%	8.8%	0.36	-17.8%	-15.9%	8.8%	46
ETH-USDEthereum	7.3%	-15.1%	0.30	-34.4%	-79.0%	27.1%	69
EURUSD=XEUR/USD	-0.0%	-0.7%	0.01	-8.1%	-17.2%	3.9%	42
UNGUnited States Natural Gas	-10.4%	-30.7%	-0.16	-65.4%	-93.3%	33.3%	45

Strategy metrics use daily returns without trading costs. Buy-and-hold figures are for the same market and window. Rows are sorted by Sharpe ratio.

GLD across time windows

Window	Total return	CAGR	Sharpe	Sortino	Max DD	Win days	Trades
1 year	+4.3%	4.3%	0.31	0.19	-14.1%	16%	4
3 years	+56.4%	16.1%	0.95	0.82	-14.1%	30%	15
5 years	+57.2%	9.5%	0.72	0.61	-14.1%	26%	23
Full history	+112.2%	4.6%	0.46	0.35	-27.3%	20%	78

Rules

Entry

If close > DonchianHigh then enter long

Exit

If close < DonchianLow then exit

Indicators

DonchianHigh
DonchianLow
ATR(20)

Inputs

BreakoutLookback = 55
ExitLookback = 20
Risk = 1%

Position sizing

Position = Risk / ATR

Risk controls

Max 3 concurrent trades
Trailing stop at 2x ATR

Strategy evidence

Only available, validated bundles appear below. Missing evidence is not a passing validation result.

Evidence coverage

10 / 10 declared strategy–market pairs validated

Notes

Strong in persistent trends
Choppy ranges can whipsaw signals

Related strategies

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Backtests are historical simulations on daily data and do not include commissions or slippage. They do not guarantee future results and are not investment advice. See the methodology for how every strategy is tested.