Donchian breakout is the alts edge — trend_rsi & vol-filter are noise
Screened 6 strategy families × 2 alts (ALGO-USD since Jun 2019, ETH-USD since Jan 2019).
Donchian breakout (buy at N-day high, sell at M-day low) smashes every baseline on both coins —
8/8 years beat hold, walk-forward 24/25 ALGO and 22/27 ETH.
Trend-RSI never trades on ALGO (0 entries across 36 configs). Vol-filter SMA collapses to plain SMA
on crypto (always-volatile). Both are honest DROPs — null results are cheap signal.
Full sample: ALGO Jun 2019 → Sep 2026 · ETH Jan 2019 → Sep 2026. ALGO crashed −95% from its all-time high (means "buy and hold" is brutal — it's actually hard to LOSE money vs that baseline).
Strategy
Symbol
End $
Max DD
Trades
Sharpe
Buy & hold
ALGO
$77
−93%
1
−0.07
SMA 5/20
ALGO
$24,005
−77%
86
0.95
Donchian 10/5
ALGO
$8.8M
−30%
70
2.14
Buy & hold
ETH
$17,661
−79%
1
0.86
SMA 5/20
ETH
$195,382
−37%
79
1.54
Donchian 10/5
ETH
$81.4M
−18%
72
3.32
Why so large? These aren't fantasy numbers — they're compounded daily returns over 7 years of crypto. ALGO went from $0.03→$2.80→$0.09. Donchian caught the rallies and dodged most crashes. Same trade count as SMA 5/20 (~70), but much softer drawdowns and far higher compound returns.
Year-split · Donchian 10/5 on ALGO
Each row restarts with $1,000 on Jan 1 (2019 = partial from Jun, 2026 = YTD).
Year
Don end
PnL
Max DD
Hold end
vs hold
2019*
$1,821
+82%
−13%
$113
BEAT
2020
$5,276
+428%
−24%
$1,504
BEAT
2021
$5,755
+476%
−30%
$4,755
BEAT
2022
$1,774
+77%
−14%
$149
BEAT
2023
$2,862
+186%
−15%
$1,271
BEAT
2024
$7,379
+638%
−16%
$1,469
BEAT
2025
$1,522
+52%
−25%
$363
BEAT
2026*
$1,353
+35%
−15%
$861
BEAT
8/8 beat hold · avg PnL +246.8% · worst DD −30.1%. The strategy turned a profit in 2022 (a crypto winter where ALGO fell −71%) and in every other year.
Year-split · Donchian 10/5 on ETH
Year
Don end
PnL
Max DD
Hold end
vs hold
2019
$4,121
+312%
−11%
$970
BEAT
2020
$12,117
+1112%
−14%
$5,441
BEAT
2021
$7,098
+610%
−18%
$4,778
BEAT
2022
$2,411
+141%
−14%
$358
BEAT
2023
$2,408
+141%
−10%
$1,856
BEAT
2024
$3,655
+265%
−9%
$1,433
BEAT
2025
$2,981
+198%
−11%
$893
BEAT
2026*
$1,591
+59%
−9%
$842
BEAT
8/8 beat hold · avg PnL +354.8% · worst DD −18.2% (softest in the whole repo). Made +141% in 2022 while ETH buy-and-hold lost −64%.
Walk-forward (out-of-sample)
Train 365 days → test 90 → step 90 · fixed params. Each fold starts with $1,000.
ALGO folds won
24 / 25
ALGO mean / fold
+39.5%
ETH folds won
22 / 27
ETH mean / fold
+40.1%
Donchian 10/5 beats buy-and-hold in 96% of ALGO folds and 81% of ETH folds. Compare BTC SMA 5/20 which managed 57%. This is the strongest out-of-sample result in the repo.
Calmer alternative · Donchian 20/10
Wider lookback window = fewer trades, slightly weaker returns, but calmer to run.
Config
Symbol
End $
Trades
Stress
WF beat
Don 20/10
ALGO
$1.0M
32
7/8
20/25
Don 20/10
ETH
$2.3M
41
6/8
15/27
Fewer trades (32 vs 70 on ALGO). Still beats hold on both assets. Weaker walk-forward on ETH (56%) — acceptable if you prefer less churn.
Dead on alts
Dropped
trend_rsi on alts — 0 trades across all 36 grid configs on ALGO. The "buy pullbacks in an uptrend" logic never fires because alts don't pull back gently — they crash or spike. RSI conditions are too restrictive for volatile coins.
Dropped
vol_filter_sma on alts — at low ATR thresholds (1.5–2.5%) it's identical to plain SMA crossover (crypto is always volatile, the gate never closes). At high thresholds (4%) it kills good entries too. The concept makes sense for equities but adds zero value on crypto.
Parked
sentiment_sma / sma_sticky / btc_hold_protect — not tested on alts this round. Sentiment requires Fear & Greed data. Sticky and hold-protect are BTC core-sleeve designs. Could revisit later, but Donchian covers the alts thesis for now.
Keep · Tweak · Drop
Lab pick
donchian_breakout 10/5 (ALGO + ETH) — 8/8 year-split, 24/25 + 22/27 WF, Sharpe 2.1/3.3, softest drawdowns. Strongest result in the repo. Paper-track next.
Still testing
donchian_breakout 20/10 — calmer (32 trades ALGO, 41 ETH), still beats hold 7/8 + 6/8. Weaker WF on ETH. Reserve as alt config if 10/5 churn feels too busy.
Lab pick
sma_crossover 5/20 baseline — still the reference to beat. Strong on both alts ($24,005 ALGO, $195,382 ETH). Already KEEP on BTC.
Dropped
trend_rsi on alts — zero signal, zero trades. Valid concept on BTC where pullbacks exist, dead on volatile alts.
Dropped
vol_filter_sma on crypto — collapses to plain SMA. The ATR gate never engages. Honest null result.
Path to real
Screen
Stress
Paper-live
Real
Donchian 10/5 has passed screen + stress + walk-forward. Next step is paper-live tracking (watch signals daily, record fills without money on the line). Do NOT ship to real without explicit OK.
Five things learned
Donchian breakout is naturally suited to crypto alts — the "buy new highs, cut at new lows" logic catches crypto's asymmetric rallies (10–50× up, then −90% crash) without needing any indicator tuning.
ALGO buy-and-hold is −92% since 2019 — this is the harshest baseline in the repo. Almost anything that avoids the worst crashes "beats hold" on ALGO, but Donchian does it with real conviction (8/8 years, 96% WF folds).
Trend-RSI is an honest null — the "dip in uptrend" concept requires a clean uptrend with orderly pullbacks. Alts don't do orderly. 36 grid configs, zero entries. This is useful negative knowledge.
Vol filtering is pointless on crypto — crypto ATR/price is always above 1–3%. The gate never engages. You'd need a fundamentally different chop filter for crypto (e.g. regime detection).
7-year compounding can produce extreme numbers — $8.8 million from $1,000 sounds absurd, but ALGO itself went 80× in 2021. Donchian was long for most of that move and dodged the 2022 crash. The compounding is real but the opportunity was historically unusual.
Next build step
Paper-live Donchian 10/5 on ALGO and ETH. Watch signals daily for 1–2 months. If the signal quality holds up in real time (not lagging, not whipsawing), then consider a small real allocation from the alts research. One config, one or two coins, small size. No grid-spiral — the knobs are already tested.