§ 2022-01-03 → 2025-12-31 EQUITIES
Bracket Breakout · SPY
Donchian breakout (20d) with OCO stop-loss (1.5 ATR) / take-profit (3.0 ATR) brackets — the canonical engine-divergence test.
Overall grade
B B
- CAGR
- +6.25%
- Sharpe
- 1.21
- Max DD
- -12.3%
- Trades
- 22
- Benchmark · Engine divergence
- SPY B&H +10.84% Notable
Intentionally divergent: the bar engine cannot model OCO intrabar fills. Event-driven match grade C confirms execution sensitivity.
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