Futures Donchian Contracts
Breakout / Trend following · Futures · Daily · Market order
The rules, in plain English
This is a Donchian-channel breakout system for futures, sized in whole contracts using ATR — a measure of volatility — to decide how many contracts to hold. Donchian trend following is one of the oldest futures approaches in existence. Whole contracts and volatility sizing keep the risk per trade more consistent.
The published backtest
| Total return | +35.5% |
|---|---|
| CAGR (annual growth rate) | +4.67% |
| Sharpe ratio | 0.30 |
| Maximum drawdown (worst peak-to-trough fall) | -16.7% |
| Win rate | 48.0% |
| Profit factor | 1.34 |
| Risk grade (our shorthand, from the published figures) | B |
| Asset class | Futures |
| Style | Breakout / Trend following |
| Timeframe | Daily · Market order |
| Type | Orders |
— means no figure was published for this strategy. Ungraded and workflow entries publish diagnostics rather than a graded portfolio backtest, so some metrics are not published for them.
Honest verdict
Held up
This one held up in its published backtest: a positive return with a comparatively solid risk-adjusted result for this set. That is a statement about one historical test, not a promise about the future.
Worst drawdown in the published test: -16.7% — at its lowest point, a follower of this test would have been down that much from the peak before any recovery.
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Attribution: strategy and published backtest results from the QuantJourney open-source library (Apache-2.0), via quants.md — published backtest results by QuantJourney, reproduced with attribution. Results are hypothetical backtest results based on historical data; they are not live trading results and do not guarantee future performance. Educational content only — not financial advice, and not a recommendation to buy, sell, or hold any security.