The Turtle rule: buy the N-day high, exit the N-day low. Pure trend following.
Over 2018-01-01 → 2026-09-23 it returned 1266.3% against 529.9% for buying once on the first day and never touching it — 736.4% better. All 4 parameter settings tested beat the benchmark; the median returned 694.8%.
It spent 756 days below its previous high at the longest stretch — 94% of the whole period under water.
65 fills. Signals are taken on the close and filled at the next open.
A single return is one chosen start date. These are 95 runs of the same rules with the start shifted forward 30 days at a time.
| Worst | p10 | p25 | Median | p75 | p90 | Best | Losing starts |
|---|---|---|---|---|---|---|---|
| -43.0% | -29.8% | -14.1% | 21.7% | 87.6% | 188.2% | 593.8% | 35% |
The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 694.8%, best 1266.3%, worst 635.1%. 4 of them beat buy & hold.
Donchian Breakout run across its own parameter range over the full period. The same rules flip from profit to loss depending only on the numbers you picked — which is why a single headline return is meaningless on its own.
| length 10 | length 20 | length 55 | length 100 | |
|---|---|---|---|---|
| 635% | 1266% | 1238% | 695% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|
| Return | -24% | 75% | 230% | 40% | -39% | 36% | 49% | -22% | 20% |
| Max DD | 32% | 48% | 24% | 32% | 44% | 20% | 42% | 35% | 12% |
| Trades | 3 | 3 | 2 | 3 | 3 | 4 | 4 | 5 | 2 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-09-16 | +18842.75 | 63 bars |
| 2026-05-23 | +4151.47 | 79 bars |
| 2026-01-26 | -6752.92 | 21 bars |
| 2025-11-05 | -20764.02 | 34 bars |
| 2025-09-26 | -10575.23 | 9 bars |
| 2025-08-26 | -18735.58 | 12 bars |
| 2025-08-02 | +2607.90 | 23 bars |
| 2025-06-06 | +12900.58 | 44 bars |
| 2025-02-25 | +50226.19 | 159 bars |
| 2024-09-07 | -19992.85 | 14 bars |
| 2024-08-05 | -14532.36 | 20 bars |
| 2024-06-15 | -764.04 | 30 bars |
| 2024-05-02 | +33388.06 | 84 bars |
| 2024-01-23 | +31070.92 | 113 bars |
| 2023-07-25 | +2038.48 | 34 bars |
| 2023-06-06 | +2824.54 | 83 bars |
| 2023-03-09 | -8811.26 | 21 bars |
| 2023-02-11 | +14018.79 | 59 bars |
| 2022-11-09 | -13908.41 | 57 bars |
| 2022-08-20 | -10084.34 | 31 bars |
| 2022-04-12 | -10093.27 | 63 bars |
| 2021-11-19 | +9248.00 | 44 bars |
| 2021-09-22 | +11680.42 | 58 bars |
| 2021-05-18 | +58448.56 | 219 bars |
| 2020-09-04 | +5648.92 | 150 bars |
Listed as convention, not as established fact.
| Period | 2018-01-01 → 2026-09-23 |
| Parameters | {"length":20} |
| Fees | 0.10% taker + 0.05% slippage, both legs |
| Starting capital | 10,000 USDT · long-only spot, no leverage |
| Rolling test | 365 bars × 95 start dates |
| Input hash | 8b67842ea7715cdd |