Published 2026-09-09 13:54:16 CEST
This brief supersedes earlier Donchian and SMA paper dollars (BTC transfer, alts screen, Donchian-hold hybrid). Those numbers were produced by an engine that traded on the same bar it decided — peeking at the close, then filling as if you already knew it. After PR #16, a close[t] signal fills at open[t+1], and year-split / walk-forward keep strategy state across the boundary. Same $1,000 start, same 15 bps round-trip, same 95% size. The story changes completely.
Honest next-open fills. “Units” = how many coins your ending cash pile could buy at the last close.
| Strategy | End $ | Max DD | In mkt | Units | Trades |
|---|---|---|---|---|---|
| Buy & hold | $19,879 | −76% | 100% | 0.25 | 1 |
| Donchian 20/10 | $17,595 | −47% | 47% | 0.22 | 41 |
| SMA 5/20 | $12,163 | −61% | 54% | 0.16 | 80 |
| Donchian 10/5 | $2,598 | −70% | 43% | 0.03 | 88 |
On BTC, hold wins. Donchian 10/5 — the old paper KEEP — now finishes with about one-eighth of buy&hold and far fewer coin-units. SMA 5/20 also loses to hold on dollars and units. Donchian 20/10 is the least-bad active rule: slightly under hold on $, softer crash (−47% vs −76%).
| Strategy | End $ | Max DD | In mkt | Trades |
|---|---|---|---|---|
| Buy & hold | $79 | −93% | 100% | 1 |
| Donchian 10/5 | $886 | −82% | 33% | 70 |
| SMA 5/20 | $1,177 | −89% | 44% | 86 |
| Donchian 20/10 | $10,663 | −58% | 29% | 32 |
ALGO buy&hold is a wreck ($79 from $1,000). Old KEEP Donchian 10/5 still “beats hold” at $886 — but that is a loss vs start, not a growth strategy. The calmer 20/10 is the one that actually grows the paper $1,000.
| Strategy | End $ | Max DD | In mkt | Trades |
|---|---|---|---|---|
| Buy & hold | $17,691 | −79% | 100% | 1 |
| SMA 5/20 | $13,054 | −61% | 51% | 79 |
| Donchian 20/10 | $11,566 | −60% | 40% | 41 |
| Donchian 10/5 | $31,808 | −50% | 44% | 72 |
ETH Donchian 10/5 still beats hold on the full sample ($31.8k vs $17.7k, milder dip). That is the only old KEEP that still looks good on dollars. Walk-forward, below, does not confirm it.
Same ideas, same fees, same 95% size. Only the fill timing changed.
| Claim (old brief) | Old $ | Honest $ | Now |
|---|---|---|---|
| BTC Don 10/5 KEEP | $3.41M | $2,598 | DROP |
| ALGO Don 10/5 KEEP | $8.8M | $886 | DROP |
| ETH Don 10/5 KEEP | $81.4M | $31,808 | TWEAK |
| BTC SMA 5/20 baseline | $124k | $12,163 | DROP vs hold |
| ALGO Don 20/10 TWEAK | $1.0M | $10,663 | KEEP |
| BTC Don hold 10/10 TWEAK | $1.82M | $10,389 | DROP vs hold |
Signals keep pre-January history (PR #16). 2026 is year-to-date through Sep 8. Beat = higher return than that year’s buy&hold.
BTC Donchian 10/5 only beats hold in 2022 (lost less in the crash) and 2026 YTD. It loses every bull year. Old brief said 8/8 — that was the look-ahead.
ALGO 20/10 is the clean alts stress: 6/8 years, avg +59%, worst dip −50% vs hold’s −93%. Lost only 2020 and 2021 (hold’s monster bounce years).
ETH 10/5 5/8 — still mixed. Beats in 2019, 2022, 2024–26 YTD; loses the 2020–21 and 2023 bulls.
Train 365 days → test 90 → step 90 · fixed params · fresh $1,000 each fold. Same boundary-state rule as year-split.
| Contender | Folds beat hold | Mean / fold | Worst DD |
|---|---|---|---|
| BTC SMA 5/20 | 9 / 27 (33%) | +11% | −29% |
| BTC Don 10/5 | 8 / 27 (30%) | +4% | −39% |
| BTC Don 20/10 | 13 / 27 (48%) | +13% | −25% |
| ALGO SMA 5/20 | 14 / 25 (56%) | +9% | −50% |
| ALGO Don 10/5 | 15 / 25 (60%) | +8% | −46% |
| ALGO Don 20/10 | 17 / 25 (68%) | +14% | −37% |
| ETH SMA 5/20 | 9 / 27 (33%) | +13% | −48% |
| ETH Don 10/5 | 11 / 27 (41%) | +15% | −28% |
| ETH Don 20/10 | 9 / 27 (33%) | +14% | −35% |
Same 12-cell exit-stickiness grid as the Sep 9 hybrid brief, re-run on the fixed engine. The old “winner” (10/10, confirm=1, gap=0) now loses to hold ($10.4k vs $19.9k; 2/8 years; WF 11/27).
Honest-engine $ / Sharpe winner is entry=10, exit=15, confirm=2, gap=0: $26,148, units 0.33 vs hold 0.25, dip −46% vs −76%, 26 trades. Year-split 4/8. Walk-forward still only 11/27 (41%).
TWEAK, not KEEP. Full sample can beat hold with slower exits + a 2-bar confirm. Out-of-sample does not. Also: confirm_bars=2 is no longer the “trap” the old engine claimed — that was look-ahead talking. Do not promote a 12-cell winner that fails walk-forward.
The Donchian 10/5 paper-live ledgers (ALGO / ETH / BTC) were started from the old KEEP. They are path-step logs, not proof, and they do not inherit a KEEP after this revalidation. Do not read a few days of marks as confirmation.
BTC core is back at Screen/Stress: hold is the bar. ALGO 20/10 is the only rule that finished Stress. No live orders without an explicit per-trade OK.
On BTC, treat buy&hold as the number to beat and either (a) stop trading overlays until a rule beats it on walk-forward, or (b) re-grid Donchian-hold / sticky SMA on this engine with a tiny knob set — then stress the winner. On alts, start (or restart) paper-live for Donchian 20/10 on ALGO, not 10/5. Leave ETH 10/5 as a TWEAK until OOS is honest.