RIP Backtest protocol v1.0 - Donchian Channel breakout (20 entry / 10 exit) on ES 60-min. Run 2026-10-07T16:51:01.749Z 2378027 1-min bars 2020-01-01 18:01 .. 2026-09-25 16:59; 39787 hourly bars; 500 random runs per variant === DC-LS-S: long + short, simple: exit at the opposite 10-bar channel, no stop === DEV n= 743 net -21,855 $ (gross 1,000) PF 0.96 t -0.38 win 41% avg -29 $ maxDD -51,948 $ VAL n= 242 net -14,031 $ (gross -6,587) PF 0.92 t -0.46 win 41% avg -58 $ maxDD -50,426 $ HOLDOUT n= 284 net -87,298 $ (gross -78,562) PF 0.73 t -1.75 win 37% avg -307 $ maxDD -115,289 $ ALL n=1269 net -123,184 $ (gross -84,150) PF 0.88 t -1.50 win 40% avg -97 $ maxDD -157,403 $ longs n= 684 net 47,060 $ (gross 68,100) PF 1.10 t 0.84 win 44% avg 69 $ maxDD -52,650 $ shorts n= 585 net -170,245 $ (gross -152,250) PF 0.71 t -2.87 win 34% avg -291 $ maxDD -198,031 $ by year: 2020 n179 PF 0.80 -30,869 | 2021 n178 PF 1.19 18,237 | 2022 n191 PF 1.06 12,062 | 2023 n195 PF 0.83 -21,286 | 2024 n192 PF 0.99 -1,043 | 2025 n197 PF 0.63 -83,947 | 2026 n137 PF 0.88 -16,339 drawdown on closed trades -157,403 $; approx. drawdown INCLUDING open losses -160,053 $; worst single open loss -17,662 $ exits: {"weekend":257,"signal":1012}; avg bars held 20.3; costs/trade ~ 30.8 $; longest time under water 2401 days Random control: p=0.06754; 500 runs; trade count mean 1284 (real 1269); avg net $/trade random median -44.8, 5th -118.3, 95th 33.6; real -97.1 -> percentile 13.2 Bootstrap 95% CI mean $/trade: [-228.8, 36.2], P(mean<=0) = 93.1%; net without 10 best trades -232,289 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.92 [PASS] 2 >= 50 trades in each period: 743 / 242 / 284 [FAIL] 3 t >= 2.0 on development: DEV t -0.38 [FAIL] 4 above 95th pct of random runs: percentile 13.2 [FAIL] 5 positive without top-10 trades: -232,289 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -87,298 $ PF 0.73 -> DC-LS-S: 5 gate(s) failed === DC-L-S: long only, simple: exit at the opposite 10-bar channel, no stop === DEV n= 413 net 42,609 $ (gross 55,313) PF 1.15 t 0.97 win 45% avg 103 $ maxDD -24,813 $ VAL n= 140 net 5,544 $ (gross 9,850) PF 1.06 t 0.24 win 43% avg 40 $ maxDD -25,535 $ HOLDOUT n= 164 net -7,595 $ (gross -2,550) PF 0.95 t -0.25 win 41% avg -46 $ maxDD -24,933 $ ALL n= 717 net 40,558 $ (gross 62,613) PF 1.08 t 0.70 win 44% avg 57 $ maxDD -47,278 $ longs n= 717 net 40,558 $ (gross 62,613) PF 1.08 t 0.70 win 44% avg 57 $ maxDD -47,278 $ by year: 2020 n98 PF 0.98 -1,214 | 2021 n108 PF 1.61 32,528 | 2022 n98 PF 1.02 2,173 | 2023 n109 PF 1.14 9,122 | 2024 n111 PF 1.33 20,998 | 2025 n119 PF 0.71 -31,735 | 2026 n74 PF 1.13 8,686 drawdown on closed trades -47,278 $; approx. drawdown INCLUDING open losses -49,666 $; worst single open loss -7,950 $ exits: {"weekend":144,"signal":573}; avg bars held 21.8; costs/trade ~ 30.8 $; longest time under water 686 days Random control: p=0.02682; 500 runs; trade count mean 717 (real 717); avg net $/trade random median 49.6, 5th -40.7, 95th 149.8; real 56.6 -> percentile 55.2 Bootstrap 95% CI mean $/trade: [-98.3, 215.2], P(mean<=0) = 24.4%; net without 10 best trades -50,685 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.06 [PASS] 2 >= 50 trades in each period: 413 / 140 / 164 [FAIL] 3 t >= 2.0 on development: DEV t 0.97 [FAIL] 4 above 95th pct of random runs: percentile 55.2 [FAIL] 5 positive without top-10 trades: -50,685 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -7,595 $ PF 0.95 -> DC-L-S: 5 gate(s) failed === DC-LS-F: long + short, full: stop 2 ATR, target 4 ATR, 48-bar limit === DEV n= 997 net -77,956 $ (gross -47,288) PF 0.90 t -1.33 win 36% avg -78 $ maxDD -114,588 $ VAL n= 326 net -10,483 $ (gross -455) PF 0.96 t -0.33 win 37% avg -32 $ maxDD -46,465 $ HOLDOUT n= 368 net -70,012 $ (gross -58,692) PF 0.83 t -1.54 win 35% avg -190 $ maxDD -92,318 $ ALL n=1691 net -158,450 $ (gross -106,435) PF 0.89 t -1.97 win 36% avg -94 $ maxDD -188,607 $ longs n= 894 net -10,708 $ (gross 16,792) PF 0.98 t -0.19 win 38% avg -12 $ maxDD -34,803 $ shorts n= 797 net -147,743 $ (gross -123,227) PF 0.81 t -2.56 win 34% avg -185 $ maxDD -181,481 $ by year: 2020 n248 PF 0.85 -34,248 | 2021 n246 PF 1.03 3,940 | 2022 n246 PF 0.93 -19,697 | 2023 n257 PF 0.83 -27,951 | 2024 n259 PF 1.00 -202 | 2025 n251 PF 0.92 -20,406 | 2026 n184 PF 0.72 -59,887 drawdown on closed trades -188,607 $; approx. drawdown INCLUDING open losses -188,720 $; worst single open loss -9,787 $ exits: {"stop":1014,"target":417,"weekend":198,"time":62}; avg bars held 14.8; costs/trade ~ 30.8 $; longest time under water 2388 days Random control: p=0.13287; 500 runs; trade count mean 1689 (real 1691); avg net $/trade random median -40.0, 5th -118.3, 95th 34.4; real -93.7 -> percentile 14.4 Bootstrap 95% CI mean $/trade: [-189.3, -2.9], P(mean<=0) = 97.9%; net without 10 best trades -227,270 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 0.96 [PASS] 2 >= 50 trades in each period: 997 / 326 / 368 [FAIL] 3 t >= 2.0 on development: DEV t -1.33 [FAIL] 4 above 95th pct of random runs: percentile 14.4 [FAIL] 5 positive without top-10 trades: -227,270 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -70,012 $ PF 0.83 -> DC-LS-F: 5 gate(s) failed === DC-L-F: long only, full: stop 2 ATR, target 4 ATR, 48-bar limit === DEV n= 544 net -13,222 $ (gross 3,511) PF 0.97 t -0.32 win 38% avg -24 $ maxDD -28,996 $ VAL n= 179 net 3,910 $ (gross 9,416) PF 1.03 t 0.18 win 37% avg 22 $ maxDD -23,177 $ HOLDOUT n= 200 net -9,302 $ (gross -3,150) PF 0.95 t -0.29 win 37% avg -47 $ maxDD -19,301 $ ALL n= 923 net -18,614 $ (gross 9,777) PF 0.97 t -0.32 win 38% avg -20 $ maxDD -30,501 $ longs n= 923 net -18,614 $ (gross 9,777) PF 0.97 t -0.32 win 38% avg -20 $ maxDD -30,501 $ by year: 2020 n138 PF 0.82 -21,812 | 2021 n142 PF 1.26 19,364 | 2022 n119 PF 0.88 -16,421 | 2023 n145 PF 1.07 5,647 | 2024 n149 PF 1.06 5,584 | 2025 n133 PF 1.00 -619 | 2026 n97 PF 0.90 -10,357 drawdown on closed trades -30,501 $; approx. drawdown INCLUDING open losses -31,583 $; worst single open loss -9,787 $ exits: {"stop":538,"target":222,"time":48,"weekend":115}; avg bars held 16.6; costs/trade ~ 30.8 $; longest time under water 1524 days Random control: p=0.03707; 500 runs; trade count mean 922 (real 923); avg net $/trade random median 12.3, 5th -67.8, 95th 98.6; real -20.2 -> percentile 27.0 Bootstrap 95% CI mean $/trade: [-135.4, 101.3], P(mean<=0) = 61.0%; net without 10 best trades -77,468 $ [FAIL] 1 PF >= 1.2 in validation: VAL PF 1.03 [PASS] 2 >= 50 trades in each period: 544 / 179 / 200 [FAIL] 3 t >= 2.0 on development: DEV t -0.32 [FAIL] 4 above 95th pct of random runs: percentile 27.0 [FAIL] 5 positive without top-10 trades: -77,468 $ [FAIL] 6 holdout net positive (flagged used): HOLDOUT net -9,302 $ PF 0.95 -> DC-L-F: 5 gate(s) failed