Market Regime
Breakout Donchian on GOOG is rendered against the current asset snapshot: 1 month return 26.94% and 90 day volatility 25.51%.
The strategy context is a positive one-month return regime with a moderate volatility regime, aligned to the same fact-card values shown above.
Historical Pattern
When evaluating breakout strategies within persistent high-volatility environments, historical data reveals specific behavioral tendencies. In a population of 4706 historical scenarios for equities in a high-volatility regime, the dominant failure mode observed was a low count of executed signals. The analysis shows a rescue share of 1.0, indicating that in all of these historical cases, a parameter adjustment could have potentially altered the outcome. The mean counterfactual distance of 2.5495 quantifies the average size of the adjustment that would have been required.
Workflow Pointer
Use this information to understand the Breakout Donchian strategy's sensitivity to its parameters when market volatility remains high. This surface highlights how close the strategy is to a different behavior, even without a full regime shift. Reviewing these historical sensitivities helps contextualize how the strategy logic responds to prolonged periods of elevated volatility.