cyb50-quant/backtrader-lab/donchian_nearby_batch_20260413-162623.md

Donchian Nearby Batch

Baselines

• DonchianRegime 55/30/150: annual 11.98%, Sharpe 0.440, max DD 40.47%
• DonchianAtrTrail 55/30 atr=4.0: annual 10.75%, Sharpe 0.327, max DD 27.09%
• DonchianHybrid 55/30 tv=0.30 atr=4.0: annual 9.68%, Sharpe 0.328, max DD 31.30%

Nearby Results

Variant	Annual Return	Sharpe	Max DD	Closed Trades	Win Rate	Config
DonchianRegime_b50_e25_r150	11.06%	0.408	40.47%	22	40.91%	breakout=50, exit_period=25, regime=150
DonchianRegime_b60_e30_r150	9.84%	0.368	41.21%	20	40.00%	breakout=60, exit_period=30, regime=150
DonchianAtrTrail_b55_e30_atr3	7.49%	0.288	35.90%	38	50.00%	breakout=55, exit_period=30, atr_period=20, atr_mult=3.0
DonchianHybrid_b55_e30_tv025_atr4	10.11%	0.38	26.43%	33	54.55%	breakout=55, exit_period=30, vol_period=30, target_vol=0.25, max_weight=1.0, rebalance_band=0.15, atr_period=20, atr_mult=4.0

Quick Take

• Best annual return in this batch: DonchianRegime_b50_e25_r150 -> 11.06%
• Best Sharpe in this batch: DonchianRegime_b50_e25_r150 -> 0.408