Breakout · Donchian channel breakout
Crypto Basket (4) Breakout 55/20 · 12H
Donchian channel breakout on BTC/USD, ETH/USD, SOL/USD, BNB/USD CFDs, evaluated on completed 12H bars and executed at live bid/ask.
Annual return+3.0%Backtest
Max drawdown−31.8%Volatility 19.4%
Sharpe0.25Trades 108
Since go-live—awaiting first trade
Backtest on real market data
Annual return+3.0%
Max drawdown−31.8%
Sharpe0.25
Trades108
Winning trades35%
Time in market90%
Backtest on real historical prices from Nov 5, 2023 to Oct 4, 2026: signals on completed bars, filled at the next bar's open, net of typical spread, commission and overnight financing. Past and backtested results are not a reliable indicator of future results. (Binance)
Methodology
- Long on a close above the highest high of the previous 55 bars, short on a close below the lowest low.
- Exit when price breaks the opposite 20-bar channel.
- Protective stop: exit if price moves 3× ATR(14) against the entry; no re-entry in the same direction until the signal flips.
- Trades both directions (long and short).
- Position size targets 25% annualised volatility (risk level 5/5), capped at 2:1 leverage per instrument. Costs: live bid/ask spread, commission and overnight financing.
Monthly returns · Backtest
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Σ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 1.4 | 10.1 | 11.7% | ||||||||||
| 2024 | -7.0 | 11.4 | 13.5 | -3.0 | -4.0 | -3.5 | 1.5 | -7.1 | -3.7 | -2.4 | 15.2 | -6.4 | 0.9% |
| 2025 | -5.1 | 0.5 | -1.9 | -1.9 | 4.5 | -6.4 | 6.5 | -4.8 | -0.1 | -2.6 | 1.9 | -0.5 | -10.2% |
| 2026 | 0.3 | 10.7 | -8.4 | -4.1 | -1.5 | 4.6 | -1.7 | 6.4 | 1.1 | 1.4 | 7.7% |