Does donchian breakout work on NQ? Eighteen years, tested

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THINRIDGE ENGINE REPORT  -  SCORED UNDER PROTOCOL v1.1
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SCOPE: Scored under Protocol v1.1 on FirstRate 1-min unadjusted via Thinridge engine. Intake testimony: NOT received (rule tested as locked). Contamination map sworn: no (seen era as declared or by archive date). Human review of reconciliation residue: NO.

1. THE RULE AS LOCKED
   family      : L - Donchian breakout
   as you locked it:
     Donchian breakout, at the settings the door shows before anyone touches them (SHELF-01 v1.1): length 60; hold 60; window 0930-1500; mode follow; sides Both
     seen era from 2023, the split the six teardowns were scored on
   as the engine read it:
   exit model  : time only
   filter      : none
   lineage     : #1
   bars        : one-minute (every signal, fill and exit is on the one-minute series)
   entries     : one trade a day, the first qualifying signal in the window
   history     : 18.6 years, seen era = 2023 onward (declared by submitter, not sworn)
               : trades dated 2023 or later are the seen era; trades before 2023 are the unseen era, and the unseen era decides the verdict

2. VERDICT
   SCORE   : 50 / 100
   VERDICT : MARGINAL
   CRATERS : pillar(s) below 50%: II, V
   Pillars : I=5  II=0  III=14  IV=8  V=8  VI=15

3. RESULT
   Trades 4800   Net $53,825.00   Per trade $11.21
   Seen era (2023+): 933 trades, $38,126.40
   Unseen era    : 3867 trades, $15,698.60
   Win rate 50.2%  (2411 of 4800 trades closed above zero after costs)
   Exits by type: time 4800

4. THE NULL (random-side twins, 5000 seeds)
   Full window  p = 0.0698  (349 / 5000)
   Unseen era   p = 0.0744  (372 / 5000)   <- governs
   Lineage-adjusted p (variant #1) = 0.0744

5. ERA CONSISTENCY (unseen calendar years as windows)
   Years 15   profitable 9   WF efficiency (PF unseen/seen) 0.97
   Largest year 2022 = 280.3% of unseen-era net
   By year (unseen): 2008 $182.20  2009 $26.40  2010 -$5,178.60  2011 -$868.60  2012 $394.00  2013 -$98.60  2014 $4,881.40  2015 -$9,168.60  2016 $6,666.40  2017 -$1,659.40  2018 $135.60  2019 $11,671.40  2020 -$51,522.80  2021 $16,241.40  2022 $43,996.40

6. COST STRESS (re-simulated)
   1 tick $53,825.00   2 ticks $5,825.00   3 ticks -$42,175.00
   Net/gross at 1 tick 44.1%   PF at 2x friction 0.99   Breakeven 2.1 ticks/side

7. FRAGILITY (bootstrap x5000)
   Full   CI -$109,180.00 .. $214,875.00   P(net>0) 0.7314
   Unseen CI -$77,791.40 .. $111,798.60   P(net>0) 0.6334
   DD95/actual 1.68x   Top trade 19.2%   Top-5 81.6%

8. SENSITIVITY (+-10% on primary trigger)
   Plateau retention 129%   Sign flip no   Parameters 4

9. LIVABILITY (no points; could a person have held this?)
   Longest stretch without a new equity high: 118 months (ending 2018-07)
   Rolling 12-month windows negative: 44% of 213   Worst 12 months: -$59,164.40 (ending 2021-02)
   Max drawdown $67,880.60   Median year $182.20   Years of median to recoup the drawdown: 372.6
   Share of all profit from the best two years: 129%

10. CODE OFFER
   [ ] validated
   [ ] unseen_p_adj_le_0.05
   [ ] unseen_ci_excludes_zero
   [ ] breakeven_ge_4_ticks
   [x] top_trade_le_25pct
   => not offered at this result.

11. SCORING LINES
   II: Sharpe retention 0.27 (per-trade) -> 0; absolute OOS -> 0
   III: windows profitable 0.6 -> 6; efficiency 0.97 -> 8; window concentration -> 0
   IV: null p 0.0744 (5000 seeds) -> 5; DD95/BT 1.68 -> 2; top trade 0.192 -> 1
   V: retention@1x 0.441 -> 8; PF@2x 0.99 -> 0
   VI: plateau 1.29 -> 8; parsimony 4 -> 4; sign flip False -> 3

12. THE AUTOPSY (where the money came from and went; the rule as it ran, no new try)
   Exits: time 4800, $53,825.00
   On the books, unseen era (net $15,698.60): 10:00 -$38,883.80  11:00 $17,474.80  12:00 $16,092.00  13:00 $15,752.00  14:00 $15,757.80  15:00 $15,762.80
   By 12:00 the books held $16,092.00 against $15,698.60 at the close; the afternoon gave back $393.40
   Eras: unseen $15,698.60, seen $38,126.40 (71% of the net); largest unseen year 2022 = 280% of the unseen net
   Plateau: 129% retained on a 10% nudge; sign flip no
   Drought: 118 months without a new high (ending 2018-07); median year $182.20; years of median to recoup 372.6

   The money was on the books by noon: $16,092.00 at 12:00 against $15,698.60 at the close; the afternoon gave back $393.40. One year is most of it: 2022 is 280% of the unseen-era net. Longest wait for a new equity high: 118 months, median year $182.20.
   The one next run, if you want it: the clock exit at 12:00, as lineage #2. Prediction on file: within 20% of the unseen net with the afternoon's give-back removed; more than the whole unseen net was on the books by then. Three such runs at most, then the verdict stands.

13. IF YOU TRADE THIS BY EYE
   This rule's money was on the books by noon and the afternoon gave some of it back; taken by hand, the morning was the trade.
   That is what the record says about the rule as written. It is not what next year says.

WHAT THIS CANNOT TELL YOU: the score assumes this rule walked in
once (see lineage) and that your development did not touch the
unseen era. Neither was sworn. A Thinridge audit exists to take
that testimony. Not investment advice. No guarantee of future
results. Statistical analysis of a mechanical rule as submitted.
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