Backtest Results

BTC Donchian Trend

Dukascopy tick data priced at IC Markets costs · OOS 2022–2026 · IS 2019–2022 · commission and swap included

A Turtle-style Donchian breakout on Bitcoin H4, long and short, priced at IC Markets' real spread and financing. Out-of-sample 2022-2025 it made +$5,380.47 on $10,000 (PF 1.173, 425 trades) and beat a 12-1 momentum baseline, but it failed three of our fourteen gates.

BTC/USD

Real edge, below the bar
$10k → $15.4k
+$5,380 net profit
Win Rate: 25.41% · PF: 1.173 · Max DD: 14.66%

Strategy Rules

Last completed H4 close is the highest close of the past EntryPeriod bars (Donchian close-breakout, excluding the current forming bar)
Trend filter: close above the midline of the FilterPeriod-bar Donchian channel
No open position
Mirror: lowest close of past EntryPeriod bars and close below the FilterPeriod midline
signal exit: close long when the last completed close is the lowest close of the past ExitPeriod bars (mirror for shorts) - the channel exit IS the strategy's exit; the wide RR takeprofit is a formality and the ATR stop is disaster protection
no spread filter in tester (spread lives in the fills)

Backtest Parameters

In-Sample Window2019.01.01 – 2022.01.01
Out-of-Sample Window2022.01.01 – 2026.01.01
Data SourceDukascopy tick data (real ticks)
CostsIC Markets: $5 spread (stress $25), $3.50/side/lot commission, -20%/yr long financing
Starting Capital$10,000
Risk per Trade1.0% of equity
OOS Runs Consumed3

Methodology

Frozen parameter set run once on the out-of-sample window on real ticks. Every trade is re-priced at the execution venue: the tester's data-vendor spread is replaced by IC Markets' measured spread and its long financing is charged per rollover. Verdicts gated on net profit factor, drawdown, in-sample-to-out-of-sample retention, Monte Carlo resampling and a 12-1 momentum baseline.

Key Takeaway

The edge is real and small. At the broker's $5 spread the frozen parameters kept 77% of their in-sample profit factor and still made money with commission stressed or the spread raised to $25. It fails on quality, not validity: per-trade Sharpe 0.043 against a 0.05 floor, an out-of-sample drawdown 2.35 times the in-sample one, and a 19.5% chance of loss across 10,000 resamples. The realized 14.66% drawdown was also unusually gentle: reshuffling the same trades gives a median of 29.7% and a 95th percentile of 50.7%. The long side carried it (+$6,976.69); the shorts lost $1,596.22, and longs pay 20% a year in overnight financing at this broker.

THE BACKTEST FILES
Get every rulebook, free

The exact rules of every strategy we've put on trial, how we tested each one, and what the data showed. 12 case files so far, free with your email.

We use your email to send the link to the files, and nothing else unless you tick the box. Privacy

Disclaimer: Past performance is not indicative of future results. These backtest results are based on historical data with realistic commission assumptions. Real trading involves additional risks including execution delays, variable spreads, and emotional decision-making.