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 1543.3% against 275.8% for buying once on the first day and never touching it — 1267.5% better. All 4 parameter settings tested beat the benchmark; the median returned 443.7%.
It spent 1550 days below its previous high at the longest stretch — 94% of the whole period under water.
61 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 |
|---|---|---|---|---|---|---|---|
| -47.5% | -36.9% | -16.5% | 11.0% | 57.2% | 395.0% | 877.0% | 39% |
The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 443.7%, best 1543.3%, worst 419.4%. 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 | |
|---|---|---|---|---|
| 444% | 1543% | 545% | 419% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|---|---|---|
| Return | -30% | 12% | 299% | 104% | -50% | -2% | 19% | 8% | 35% |
| Max DD | 60% | 36% | 38% | 42% | 62% | 39% | 46% | 43% | 16% |
| Trades | 3 | 4 | 2 | 3 | 4 | 3 | 4 | 3 | 1 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-05-17 | -9278.55 | 61 bars |
| 2026-01-21 | -16126.48 | 42 bars |
| 2025-11-04 | -41985.59 | 28 bars |
| 2025-09-23 | +61046.12 | 75 bars |
| 2025-06-22 | +4242.54 | 44 bars |
| 2024-12-20 | +26808.89 | 89 bars |
| 2024-06-12 | -4423.23 | 22 bars |
| 2024-04-14 | -21513.41 | 5 bars |
| 2024-03-20 | +50134.73 | 148 bars |
| 2023-10-13 | -8284.46 | 11 bars |
| 2023-08-18 | -14137.54 | 35 bars |
| 2023-06-11 | +2318.33 | 88 bars |
| 2023-02-11 | +10467.67 | 59 bars |
| 2022-11-10 | -24121.56 | 15 bars |
| 2022-09-19 | -32582.21 | 8 bars |
| 2022-08-27 | +12810.15 | 41 bars |
| 2022-05-01 | -16953.27 | 37 bars |
| 2021-11-19 | +6549.07 | 35 bars |
| 2021-09-21 | +21829.33 | 52 bars |
| 2021-05-20 | +89210.63 | 219 bars |
| 2020-09-06 | +8212.95 | 152 bars |
| 2020-03-09 | +2378.58 | 62 bars |
| 2019-10-24 | -1369.66 | 37 bars |
| 2019-07-12 | -752.37 | 20 bars |
| 2019-06-10 | +1461.83 | 29 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 | d6d2f6106bb42c20 |