Turtle / Donchian Breakout

A real edge that fails on risk, not signal

The Turtle / Donchian-channel breakout — buy the N-day high, ride the trend, exit on the opposite channel — is the strongest survivor in the program to date. Over 12.5 years (2014–2026) it passes 9 of 11 pre-registered gates: profit factor 1.61, Sharpe 0.90, positive in 92% of calendar years, a deflated Sharpe of 0.997, and a placebo PASS (real PF 1.61 vs the random-breakout 95th percentile of 1.48 — only 0.8% of permutations beat it). The 2× cost stress still clears at PF 1.55.

It fails exactly the two gates that trend-following famously strains: max drawdown −49% (gate: ≤12%) and instrument concentration 43% (gate: ≤40%). Both are risk-shape failures, not edge failures — which is why the status is SURVIVING, not RETIRED.

Gate scorecard — 9 / 11

#	Gate	Result	Pass
1	≥ 100 trades	590	✅
2	PF ≥ 1.20 net	1.61	✅
3	Sharpe ≥ 0.6	0.90	✅
4	Max DD ≤ 12%	−49.0%	❌
5	Positive in ≥ 60% of years	92%	✅
6	Bootstrap 95% LB Sharpe > 0	0.58	✅
7	Placebo: real PF > p95	1.61 vs 1.48	✅
8	2× cost stress PF > 1.0	1.55	✅
9	Deflated Sharpe positive	DSR 0.997	✅
10	No instrument > 40% of P/L	43%	❌
11	Walk-forward OOS ≥ 0.9× IS	holds	✅

What survival means here

This is the honest middle ground the framework exists to surface. The edge is statistically real and survives the kill-shot placebo and the deflated-Sharpe correction for multiple testing — the things that retire most strategies. What it does not yet have is a risk profile a small account can hold: a −49% drawdown will end most live deployments long before the trend pays off, and 43% of the P/L riding on one instrument is fragile.

The disciplined next step is a re-pre-registration with lower per-instrument risk and a broader basket, evaluated on a fresh window — not a post-hoc tweak to make this run pass. Survival earns a Round 2, not capital.

Verdict: SURVIVING (9/11). Real edge, wrong risk shape. The trend signal is genuine and placebo-confirmed; the −49% drawdown and 43% concentration must be re-scoped before this could clear all eleven gates and earn a paper allocation.