spb/sp-wallet

1# donchian_breakout / 123**Hypothesis.** A close above the highest high of the last 20 days marks the start of a volatility expansion in4the direction of the break, and such moves tend to run (the classic channel breakout of trend followers).56**Rule.** Upper channel = highest high of the previous 480 bars, lower channel = lowest low of the previous 2407bars (both exclude the current bar). A symbol is held (`1/N`) if, inside the lookback window, its most recent8channel event is a close above the upper channel rather than a close below the lower one; otherwise USDC.9The position state is rebuilt from the window at every call (the function keeps no memory), so the lookback10(2 200 bars) must be several times the channel length; with no event in the window the symbol is not held.1112**What would refute it.** False breakouts: the price closes above the channel and falls back, and the exit only13comes at the 10-day low, far below the entry. Few trades, so the estimate of any edge is noisy.14