The rules
55-day Donchian breakout, long or short, in whole contracts sized by ATR and margin.
- Universe
- MES, MNQ, CL and GC continuous futures
- Bars
- daily
- Position size
- ATR-sized contracts
- Rebalance
- daily check
Results
| Measure | Orbital re-test | Published | SPY, same days |
|---|---|---|---|
| Window | Not re-tested | 2019-2025 | — |
| Total return | — | +35.50% | — |
| CAGR | — | +4.67% | — |
| Sharpe | — | 0.30 | — |
| Discounted Sharpe | — | — | — |
| Max drawdown | — | −16.7% | — |
| Win rate | — | 48.0% | — |
| Profit factor | — | 1.34 | — |
| Trades | — | — | — |
Rebuild it in Orbital
Paste this into Orbital Chat. The Strategy Developer builds the workflow and asks before it runs any backtest.
Closest Orbital version: SPY, QQQ, USO and GLD stand in for the micro S&P 500, micro Nasdaq-100, crude oil and gold futures. Contracts sized by ATR and margin become 25% of equity per ETF, the original's notional cap on each market, and a reversal spends a day flat because Orbital closes a position before opening the other side.
Trade SPY, QQQ, USO and GLD on daily bars. Go long an ETF when it closes above the highest high of the prior 55 days, and short it when it closes below the lowest low of the prior 55 days, with 25% of equity per position. Hold each position until the opposite breakout, then close it at the next open and open the other side the day after. Use a margin account so it can sell short. Backtest the last 10 years with $100,000.
Why it was not re-tested
Futures. Orbital's backtester covers US stocks and ETFs.
Sources