Market Regime
Breakout Donchian on ISRG is rendered against the current asset snapshot: 1 month return 3.09% and 90 day volatility 27.23%.
The strategy context is a mixed one-month return regime with a moderate volatility regime, aligned to the same fact-card values shown above.
Historical Pattern
When examining breakout strategies within specific equity market conditions, historical simulations provide insight into parameter sensitivity. For example, in a modeled transition from a sideways trend to a bear market, a population of 3,950 historical scenarios was analyzed. In this context, the mean counterfactual distance was observed at 0.7666, which indicates the average proximity of failing scenarios to passing ones within the dataset. The analysis also identified a rescue share of 1.0, meaning that for every failing scenario observed, a corresponding successful counterfactual was found within the historical data.
Workflow Pointer
Use this information to understand the Breakout Donchian strategy's historical robustness and sensitivity to specific market transitions, such as a shift into a bear regime. This view highlights how strategy parameters have historically responded to changing volatility and trend conditions, providing context for evaluating system behavior during periods of excessive drawdown risk. Past performance patterns in specific regimes do not predict future outcomes.