BtcDonchianBreakoutTurtleLS

BTC Donchian Channel Breakout — Long-Short, Classic 2-Parameter Turtle-Style Trend Capture, Wide Slow Channel, ATR Stop, No Regime Gate (BTCUSDT.BINANCE USD-M, 1D)

A LONG-SHORT, single-instrument, single-leg directional strategy on BTCUSDT.BINANCE USD-M using the classic Donchian channel breakout (the Turtle mechanism) — deliberately the SIMPLEST, most parameter-sparse trend design possible, in direct response to the dominant failure mode in the log: OVERFIT. My gated/complex momentum variants (alt-breadth, vol-regime-band) died with IS Sharpe 7.6 collapsing to OOS -2.1 and deflated_sharpe 0, precisely because extra parameters and reduced trade counts created a large best-of-N noise surface. The lone survivor is the simple ungated BTC momentum book. This strategy pushes simplicity to the limit: only TWO structural parameters (entry channel length, exit channel length), NO regime gate, NO vol filter, NO breadth confirm — nothing for an optimizer to curve-fit. It also uses a DIFFERENT entry trigger than everything in the pipeline (which is all EMA-momentum-confluence or mean-reversion): a breakout enters only on a genuinely NEW N-day extreme, which by construction fires rarely and only when a real directional move is underway, giving large per-trade moves that make fees negligible and reducing the whipsaw that a fast EMA cross suffers in ranges. It trades BTC because BTC is the one asset where directional trading has survived (alts die as beta/outlier artifacts). Single perp leg with a hard ATR stop — NO hedge leg, NO leverage stacking — so the cross-account liquidation flaw that killed the carry/pair books is structurally impossible. Long-short (fills the under-weight direction bucket) and daily/multi-week horizon (fills the sparse long/macro horizon). This is NOT the dead pure-TSMOM (sign-of-trailing-return) book — it is a channel-breakout with an explicit channel-based exit and ATR stop, a distinct, empirically robust, low-parameter classic.

Implements the hypothesis literally and minimally. (1) Two structural parameters only — entry_len and exit_len — with the entry trigger being a genuinely NEW N-day extreme: the channel is computed over the N bars BEFORE the current bar, so a breakout is not tautological. (2) No regime/vol/breadth gate, addressing the overfit failure mode: the optimizer's search surface is deliberately tiny, and entry_thresh is clamped to [0.95, 1.15] (declared in _param_bounds) so it cannot be curve-fit into a mid-channel always-in rule; entry_len/exit_len/atr_len/atr_stop_mult clamps are likewise declared. (3) The signal is CONTINUOUS and varies on every bar (normalised channel position), not gated behind the entry condition, so it is inspectable and never frozen. (4) Single perp leg, no hedge, no leverage stacking (leverage=1.0, and sizing references config.leverage only in the notional ceiling), so the cross-account liquidation failure mode is structurally impossible. (5) On daily BTC a 30/12 channel is wide/slow enough that entries fire only on real directional moves (per-trade moves of many percent, dwarfing the ~0.10% round-trip taker cost) yet still fires roughly 8-15 times a year, well above the zero-trade sandbox floor — I chose 30 rather than the classic 55 precisely so the Layer-3 window and the 15-day holdout remain measurable, with 55-80 still inside the declared optimizer bounds. (6) Risk-per-trade is capped at 2.5% of equity over a 3-ATR stop rather than sizing off equity*leverage every bar, which is the compounding-sizing pattern that produced past 80-100% drawdowns. One caveat, stated as required: a channel breakout on BTC daily is a well-known, widely-traded mechanism, so any surviving edge is likely modest and regime-dependent (it will give back open profit in every range) — but the low parameter count is exactly what should make its walk-forward OOS hold up rather than collapse.

Outlier-mirage OHLCV breakout, the L9/L41 class (0/213 survival). The +119.6% total return is carried almost entirely by ONE day — 2021-03-24 +82.1% (2021 annual +75.8%) — with return_kurtosis 287.5 and skew 10.3 confirming a single observation dominates the whole distribution; remove it and there is no edge. Every year outside that 2021 spike is negative or flat (2022 -4.6%, 2023 -5.4%, 2024 -6.4%, then modest 2025 +9.0%/2026 +3.6%), so this is captured luck on one breakout, not a distributed edge. It fires only 49 times in 6.6 years, so the Sharpe (0.57, CI-low -0.04 straddling zero) is statistically unmeasured (L10) and the 7.78% avg trade is itself the one outlier trade. benchmark_meaningful is true and alpha is only 0.058 with IR -0.57 — it underperforms simply holding BTC. The simplicity/low-parameter framing does not cure this: a 49-trade, kurtosis-287 series sent into the 3-phase run would best-of-N overfit and collapse in walk-forward OOS/holdout exactly as the vol-regime and alt-breadth siblings just did (DSR ~0). Additionally, a +82% single-day return at ~29% avg position is implausible from BTC price action, indicating a compounding/attribution concentration that inflates the metrics. Abandon rather than spend the optimization budget.

Classic Turtle-style Donchian channel breakout on BTCUSDT.BINANCE USD-M perpetual, daily bars, long AND short. Every bar it computes the close's continuous position inside the prior 30-day Donchian channel, normalised to the channel half-width (0 = channel mid, +1 = exactly a new 30-day high, -1 = a new 30-day low). It goes long when the close makes a NEW 30-day high (signal >= 1.0) and short on a new 30-day low (signal <= -1.0). A position is closed when price breaks the opposite 12-day channel, or when a hard ATR stop (3 x the 20-day ATR observed at entry, measured from the entry fill price) is hit. There is no regime gate, no volatility filter and no confirmation overlay — only two structural parameters (entry channel length, exit channel length) plus the ATR stop multiple. Position size risks 2.5% of current equity over the ATR stop distance (Turtle unit sizing), capped by a 1x-equity gross-notional ceiling, so per-trade loss is bounded and cannot compound into a blow-up. Leverage is 1.0; the futures venue is used only because the strategy must be able to short.

Donchian/N-day-high breakout is a repeatedly-abandoned pure-OHLCV mechanism class with zero survivors in the outcome log (L7/L9). Hypothesis itself concedes edge is 'modest and regime-dependent.' Research-Lead/Analyst base-rate concern.

Only 8 trades, Sharpe CI [-1.47, 1.89] straddles zero, kurtosis 18.9, likely-empty 15-day holdout. Statistically thin — needs walk-forward OOS + outlier removal. (avg_trade_return_pct 1.28% clears fees, so not a fee failure.)

Genuinely simple, low-parameter design (2 structural params) with clean risk-based sizing and a hard ATR stop; controlled max drawdown (19.5%)

profit_factor 1.56 and a large-per-trade breakout structure that does clear fees when it fires

Outlier mirage: the +119.6% total is carried by a SINGLE day (2021-03-24 +82.1%); return_kurtosis 287.5, skew 10.3 — remove that day and there is no edge

Every year outside the 2021 spike is negative or flat (2022 -4.6%, 2023 -5.4%, 2024 -6.4%) — luck on one breakout, not a distributed edge

Only 49 trades over 6.6 years — Sharpe (0.57, CI-low -0.04 straddling zero) is statistically unmeasured; the 7.78% avg trade is itself the one outlier

OHLCV Donchian/Turtle breakout is the L9 trend/breakout class (0/213 survival); benchmark_meaningful true with alpha only 0.058 and IR -0.57 (underperforms holding BTC)

A +82% single-day return at ~29% avg position is implausible from BTC price action — a compounding/attribution concentration that inflates the headline

BtcDonchianBreakoutTurtleLS pushed simplicity to the limit — two structural parameters, no regime gate, no filters — explicitly to deny an optimizer any surface to curve-fit after complex momentum siblings collapsed out-of-sample. Its +119.6% headline with PF 1.56 and a 19.5% drawdown looked clean, but it was an outlier mirage: a single day on 2021-03-24 (+82.1%) carried almost the entire return (kurtosis 287.5), every non-2021 year was flat or negative, and just 49 trades left the Sharpe unmeasured with a CI straddling zero. The analyst abandoned it at backtest review as the 0/213-survival OHLCV breakout class with captured luck rather than a distributed edge, also flagging an implausible single-day return that pointed to a concentration/attribution artifact. It never reached optimization, analysis, or risk review.

Radical parameter-sparsity does not by itself defeat overfitting or manufacture an edge — a breakout that fires only 49 times in 6.6 years with its entire return from one day is statistically unmeasured and outlier-carried, and simplicity cannot rescue a class (OHLCV Turtle breakout) with zero prior survival.

The analyst abandoned it at backtest review as the L9/L41 outlier-mirage OHLCV breakout class (0/213 survival): remove the one 2021 day and there is no edge, the 49-trade sample leaves Sharpe statistically unmeasured with a CI straddling zero, alpha is only 0.058 with IR -0.57 (underperforms holding BTC), and a +82% single-day return at ~29% average position implies a compounding/attribution concentration inflating the headline — a 49-trade, kurtosis-287 series would best-of-N overfit and collapse in walk-forward like its siblings.

A long-short, single-instrument Donchian channel breakout (classic Turtle) on BTCUSDT.BINANCE USD-M daily (2 structural parameters) that entered only on a genuinely new N-day extreme, exited on an opposite shorter M-day channel break or a hard ATR stop, with risk-based sizing and no regime gate — deliberately the sparsest possible trend design to resist overfitting.

The backtest (BTCUSDT 1D, 2409 data days) returned +119.6% with profit factor 1.56 and a controlled 19.5% drawdown, but on only 49 trades over 6.6 years and with Sharpe 0.57 (CI-low -0.04 straddling zero). The return was an outlier mirage: a single day (2021-03-24, +82.1%) carried almost all of it (kurtosis 287.5, skew 10.3), and every year outside the 2021 spike was negative or flat (2022 -4.6%, 2023 -5.4%, 2024 -6.4%).