Breakdown Runner · Keltner · BTC (4h)
Published July 19, 2026
Breakdown Runner — A Keltner-channel breakdown system · Short on BTC (4h). +24.53% return over the test period with 41.20% win rate and 1.39 profit factor. Sharpe ratio: 0.90. Max drawdown: 14.90%. Best performance in accumulate+distribute regime.
Performance Metrics
Out-of-Sample Validation
Tested on unseen data to verify the strategy is not curve-fitted.
Statistical Confidence
How likely the edge is real — out-of-sample statistical confidence, consistency across time, and a comparison to simply holding the asset.
Return range (90% confidence): -22.2% ··· 22.91% ··· 94.19%
Backtest includes trading fees and slippage, assumes full-capital sequential compounding, and does not model futures funding costs on shorts.
With Leverage (Futures) — Projection
This is a short strategy — it trades on futures only, so there is no spot version of these trades. The projection applies leverage to the simulated short PnL; funding costs are not modeled. Losses are amplified exactly as much as gains — compare the drawdown, not just the return.
2× leverage
Projection from spot trades — excludes funding fees and assumes the stop-loss fills at its level. The stop sits well inside the liquidation distance at these levels, but leveraged futures can lose your full margin. Not financial advice.
Equity Curve
Strategy Rules
CFO Regime Breakdown
Anny's CFO Line divides market conditions into three regimes. Accumulate means the trend is bullish — ideal for long entries. Distribute means bearish — better to avoid or short. Wait means the trend is unclear. This breakdown shows how the strategy performed in each regime, helping you understand when it works best.
This strategy performs best during accumulate+distribute — consider using the regime filter to only enter trades when the CFO Line signals accumulate+distribute.
| Regime | Return | Trades | Win Rate |
|---|---|---|---|
| Wait | -0.35% | 21 | 33.3% |
| Accumulate | 6.17% | 1 | 100% |
| Distribute | 18.36% | 12 | 50% |
| _best_combo | 24.53% | 13 | 53.8% |
Trade History (34 trades)
| Entry | Exit | Return | Regime |
|---|---|---|---|
| 7/25/2025 | 7/27/2025 | -3.11% | Wait |
| 7/31/2025 | 8/10/2025 | -3.11% | Wait |
| 8/14/2025 | 8/24/2025 | +6.17% | Wait |
| 8/24/2025 | 9/12/2025 | -3.11% | Wait |
| 9/22/2025 | 10/1/2025 | -3.11% | Wait |
| 10/10/2025 | 10/10/2025 | +6.17% | Wait |
| 10/14/2025 | 10/17/2025 | +6.17% | Distribute |
| 10/29/2025 | 11/4/2025 | +6.17% | Wait |
| 11/6/2025 | 11/9/2025 | -3.11% | Distribute |
| 11/12/2025 | 11/14/2025 | +6.17% | Wait |
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Past performance does not guarantee future results. All strategies involve risk of loss.
