Qc Dynamic Breakout Ii

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Gate 3

Cost-aware net

RF +0.73

positive, not certified

Failedfailed refutation

Worst 12-month leg (RF)-1.00

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Did not clear our screen — no tradeable net edge survived modelled costs.

Dynamic Breakout II is Tushar Chande's adaptive channel-breakout rule: the breakout band widens or narrows with recent volatility, and positions are taken when price breaks the adaptive band. This test applies it to ES (S&P 500 futures).

What we found

On ES, the rule does not clear our cost-aware screen gate: net and RF do not survive once realistic trading costs are modelled (RF 0.73, below the passing bar). Its worst calendar year has a negative RF (-1.0), meaning a full losing year. There is no persistent edge here beyond an adaptive technical rule that happens to fit the recent tape; it is not tradeable as tested.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

Tested on the futures contract (e.g. ES), with realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random).

Source: Chande "Dynamic Breakout II" (QuantConnect)
Find the source (Google Scholar) ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.