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WINNING

Volatility Breakout

Donchian breakout with ATR position sizing (Turtle Trading)

3Y

Total Return

+35.0%

3Y

Sharpe Ratio

0.37

3Y

Max Drawdown

-4.2%

3Y

Win Rate

20.0%

3Y

Alpha

-54.9%

3Y

Comp. Score *

0.10

Risk Parameters

Max Allocation11.7%

Stop Loss5.0%

Take Profit5.3%

Max DD Tolerance4.2%

Rebalancedaily

Execution Guidance

Order TypeMarket

Entry RuleUse market orders for volatile names.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
CASH	HOLD	0%	N/A	N/A	100% cash