Home / Ideas / Donchian Breakout Managed-Futures Replication
Donchian Breakout Managed-Futures Replication
go long only on fresh N-day highs, cut on N-day lows
Classic Donchian channel breakout is the core of managed-futures crisis alpha; the 2026 CTA commentary stresses trend is regime-contingent (flat in grinding bull markets, strong in sustained divergence) and shows huge manager dispersion — a transparent rules-based breakout captures the diversifying return without discretion. A breakout/channel mechanic is materially different from the sign-of-return cross-asset TSMOM already logged.
Universe
diversified ETF basket (SPY, QQQ, EFA, EEM, TLT, IEF, GLD, SLV, DBC, USO, VNQ, UUP).
How it works
go long an ETF when close exceeds its trailing 100-day high, exit when close breaks the 50-day low, size inverse-volatility across the active longs, daily signal check.
Expected performance
Research-derived Sharpe estimate: 0.3–0.7.
Backtest this idea with SignalChain
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/signalchain Donchian breakout trend on diversified ETF basket: long on 100-day high, exit on 50-day low, volatility-weighted
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Research & sources
- returnstacked.com — returnstacked.com
- tunheang.medium.com — tunheang.medium.com
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Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.