Market Regime
Breakout Donchian on TGT is rendered against the current asset snapshot: 1 month return 6.09% and 90 day volatility 29.88%.
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
Historical analysis of breakout strategies often evaluates behavior across specific market transitions, such as moving from a low-volatility state to a high-volatility environment. In these historical simulations, metrics like the mean counterfactual distance quantify the average magnitude of parameter change that was associated with a different outcome in the historical data. A rescue share of 1.0 indicates that in the observed historical scenarios, a parameter adjustment existed that could have hypothetically altered the outcome. It is important to note that these analyses are based entirely on historical data and do not predict future market behavior or strategy performance. Past performance patterns are not indicative of future results.
Workflow Pointer
Use this surface to understand the strategy's sensitivity to shifts in market volatility. To explore other failure modes or market conditions, you can adjust the surface parameters and generate a new analysis.