[{"data":1,"prerenderedAt":41},["ShallowReactive",2],{"strategy-o20":3},{"id":4,"name":5,"family":6,"tags":7,"universe":11,"bars":12,"rules":13,"sizing":14,"cadence":15,"original":16,"testable":24,"not_testable_reason":25,"prompt":26,"deviation":27,"source_file":28,"prompt_note":29,"collection":30,"collection_name":31,"bars_label":32,"universe_short":10,"rule_short":13,"links":33,"verdict":40,"result":27,"chart":27},"O20","Futures Donchian Contracts","Futures trend",[8,9,10],"Breakout","Trend following","Futures","MES, MNQ, CL and GC continuous futures","daily","55-day Donchian breakout, long or short, in whole contracts sized by ATR and margin.","ATR-sized contracts","daily check",{"total_return":17,"cagr":18,"sharpe":19,"max_dd":20,"win_rate":21,"profit_factor":22,"span":23},35.5,4.67,0.3,-16.7,48,1.34,"2019-2025",false,"Futures. Orbital's backtester covers US stocks and ETFs.","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.",null,"example_orders_20_futures_donchian_contracts.py","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.","retest","The viral 50, re-tested","Daily",[34,37],[35,36],"Source code","https://github.com/QuantJourneyOrg/quantjourney-bt/blob/main/strategies/example_orders_20_futures_donchian_contracts.py",[38,39],"Original results","https://backtester.quantjourney.cloud/strategies/example-orders-20-futures-donchian-contracts","skip",1794261303665]