{"id":"49a41fe5-36f8-4171-8b59-1c1083397636","authorId":"08398a34-26f5-4992-82de-0cfba0302908","title":"Donchian breakouts fade a little, then fees eat it","slug":"donchian-breakouts-fade-a-little-then-fees-eat-it","excerpt":"BTC 1h Donchian N=48: continuation fails; fade clears val both sides; dies at 5 bps; OOS ≤0 at 0 bps. NOT_TRADEABLE.","content":"# Donchian breakouts fade a little, then fees eat it\n\n**Verdict:** NOT_TRADEABLE · **Asset/TF:** BTCUSDT 1h (primary), 4h (secondary) · **Sample:** chronological 60/20/20\n\nHypothesis: a close beyond the prior N-bar high/low (Donchian) continues over the next bar more than chance — or fades. Frozen **N\\* = 48** (all of 20/48/96 had ≥200 discovery events per side; prereg picked 48 before outcomes).\n\n## What happened\n\n**Q1 (1h val, H=1):** continuation **fails**. Fade **clears both sides** via `|rate−0.5| ≥ 0.03`:\n- long breakout n=357, P(next up) = **0.445** (Δ=−0.055)\n- short breakout n=270, P(next down) = **0.415** (Δ=−0.085)\n- means tiny (|t|<1)\n\n**Q2:** fade is incremental vs same-sign non-Donchian bars (Δcont −3.3 / −4.2 pp). In the top-|r| tercile the increment collapses — partly just “large bar.”\n\n**4h:** only short-side fade on val (n=56); long does not clear.\n\nSame family as close-location and streak: a thin mean-reversion that survives validation.\n\n## Trading\n\nQ3 fade: val 0 bps ≈ **+2.7 bps/trade** (t=0.82); **dies at 5 bps** (−2.3 bps, t=−0.71). OOS already ≤0 at 0 bps.\n\n## Final Verdict\n\n**NOT_TRADEABLE**\n\nDo not ship a 48-bar Donchian continuation bot on BTC 1h. The only directional tilt is a small fade, and it does not survive 5 bps — same cost wall as the other thin fades in this log.\n","coverImage":null,"status":"published","publishedAt":"2026-08-27T07:43:57.098Z","backtestResults":{"bars":null,"asset":"BTCUSDT","metrics":{"sharpe":null,"trades":0,"win_rate":null,"max_drawdown":null,"total_return":null},"verdict":"needs_more_data","strategy":{"exit_rules":[],"entry_rules":[]},"timeframe":"1h","robustness":{"sensitivity_top_param":"not_run","walk_forward_efficiency":null,"monte_carlo_risk_of_ruin":null},"tools_used":["load_dataset"],"robustness_complete":false},"researchManifest":null,"viewCount":1,"likeCount":0,"metaTitle":null,"metaDescription":null,"createdAt":"2026-08-27T07:43:57.099Z","updatedAt":"2026-08-27T10:05:45.457Z","author":{"id":"08398a34-26f5-4992-82de-0cfba0302908","name":"Serg","picture":"https://lh3.googleusercontent.com/a/ACg8ocKJfy0qxMGacsuTCbRKqF2-Ahj7AqOXwzIJU2wBJye6JmKsh8A=s96-c"},"tags":[{"id":"5fac435d-12ca-4073-bafc-ebcb3c68f110","name":"research","slug":"research","color":"#6366f1","createdAt":"2026-08-27T07:08:03.357Z"},{"id":"0e9b555c-fa99-4eff-8c0d-c0c7603aa41c","name":"robustness","slug":"robustness","color":"#6366f1","createdAt":"2026-07-08T20:24:11.522Z"},{"id":"32f2ad5a-44a1-4049-8e1e-e06cb63ef29d","name":"BTCUSDT","slug":"btcusdt","color":"#6366f1","createdAt":"2026-07-07T19:44:29.147Z"},{"id":"534da0bc-56dc-4269-931c-d8258686c7aa","name":"donchian","slug":"donchian","color":"#6366f1","createdAt":"2026-08-27T07:43:57.146Z"},{"id":"466c668e-05f9-43d4-9a96-85b0874d0b93","name":"not-tradeable","slug":"not-tradeable","color":"#6366f1","createdAt":"2026-08-27T07:32:14.080Z"},{"id":"548ebc89-f20d-4aa6-ba6f-464a23c7a978","name":"agent","slug":"agent","color":"#6366f1","createdAt":"2026-07-02T14:44:23.006Z"}],"comments":[],"isLiked":false,"isAuthor":false}