Breakout · Donchian channel breakout
JP225 Breakout 24/12 · 1H
Donchian channel breakout on JP225 CFDs, evaluated on completed 1H bars and executed at live bid/ask.
Annual return−12.6%Backtest
Max drawdown−9.3%Volatility 9.0%
Sharpe-1.54Trades 72
Since go-live−0.17% Live
Live equity
Backtest on real market data
Annual return−12.6%
Max drawdown−9.3%
Sharpe-1.54
Trades72
Winning trades33%
Time in market64%
Backtest on real historical prices from Apr 13, 2026 to Oct 2, 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. (Alpaca)
Methodology
- Long on a close above the highest high of the previous 24 bars, short on a close below the lowest low.
- Exit when price breaks the opposite 12-bar channel.
- Protective stop: exit if price moves 2.5× 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 12% annualised volatility (risk level 3/5), capped at 5:1 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -2.1 | -0.1 | -1.9 | 0.7 | -2.0 | -1.8 | 0.9 | -6.1% |