Backtest Results

BTC Donchian Trend

Dukascopy Tick Data · OOS 2022–2026 · IS 2019–2022 · commission included

A classic Donchian channel breakout on Bitcoin H4 stayed profitable across four unseen years (+7.8%/yr out-of-sample, 327 trades) with healthy in-sample-to-out-of-sample retention - and still failed three absolute-quality gates. This is what an honestly mediocre strategy looks like, as opposed to an overfit one.

BTC/USD

Mediocre, not overfit - below the bar
$10k → $13.5k
+$3,480 net profit
Win Rate: 24.46% · PF: 1.121 · Max DD: 25.19%

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)
Starting Capital$10,000
Risk per Trade1.0% of equity
Commission$3.50/side/lot (IC Markets Raw, modeled)
OOS Runs Consumed1

Methodology

Genetic optimization on the in-sample window with a net-of-costs robustness criterion; parameter-plateau selection (top candidates must have profitable neighborhoods, not just a best pass); out-of-sample window run once per frozen candidate on real ticks; verdicts gated on net profit factor, drawdown, and IS-to-OOS retention.

Key Takeaway

The retention numbers say the edge is real trend capture rather than curve-fit: profit factor retained 83%, drawdown ratio 0.84, and the parameter neighborhood was 100% profitable. But the absolute quality is below our bar on three gates at once: out-of-sample profit factor 1.121 (minimum 1.15), max drawdown 25.2% (limit 20%), and per-trade Sharpe 0.03 (floor 0.05). With a 24% win rate, the equity curve spends most of its life in drawdown waiting for the next big trend. The same rules on H1 lost in all 60 configurations - the mechanism only exists at swing scale. One further honesty note: the tester charged no swap on BTC, so real results would be slightly worse than shown.

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.