u/Useful-Thought2378 ·
Reddit — r/algotrading
· March 30, 2026 at 02:45
· ⬆ 16 pts
· 💬 33 comments
| View on Reddit ↗
AI Summary
Summary
Author describes a quantitative trading strategy using a Donchian channel with SMA and ADX filters on 15-minute candles.
Author's thesis is that their strategy, which was optimized and validated through rigorous in-sample/out-of-sample testing and a permutation test, is now ready for paper trading and potentially live deployment.
Quality assessment: Well-researched quantitative process for personal algo development, but not a traditional investment due diligence (DD) on a specific asset. It is a process update with no market view.
Score16
Comments33
Upvote %90%
▶ Full Post Text
the strategy is this:
donchian channel with sma and adx filter.
my testing process:
optimized my parameters for profit factor across 5 in sample splits of 6 months each on 15m candles. found good in sample performance. passed a permutation test on 10,000 permutations. tested on 5 more out of sample walk forwarded splits and it held up.
next steps: paper trading.
notes: fees were accounted for, actually overestimated them even.
looking forward to letting it run and see what kind of results we get in live testing! wiling to answer any questions and also take feedback!