The Turtle rule: buy the N-day high, exit the N-day low. Pure trend following.
Over 2020-09-01 → 2026-09-23 it returned 64.7% while buying once on the first day and never touching it returned 118.6% — 53.9% worse. Not one of the 4 parameter settings tested beat the benchmark. The median setting returned 47.4%.
It spent 1415 days below its previous high at the longest stretch — 94% of the whole period under water.
45 fills. Signals are taken on the close and filled at the next open.
A single return is one chosen start date. These are 62 runs of the same rules with the start shifted forward 30 days at a time.
| Worst | p10 | p25 | Median | p75 | p90 | Best | Losing starts |
|---|---|---|---|---|---|---|---|
| -18.4% | -7.9% | -3.9% | 7.8% | 23.6% | 36.5% | 45.6% | 34% |
The numbers above are one market on one timeframe. A rule that only works there did not work — the market did.
Same rules, same parameters, different candle size on Gold (PAXG).
| Timeframe | Trades | Return | Buy & hold | vs B&H | Beat it | Trades |
|---|---|---|---|---|---|---|
| 4H | 13281 | 2% | 119% | -116% | no | 128 |
| 1D ← | 2214 | 65% | 119% | -54% | no | 22 |
| 1W | 316 | 103% | 123% | -20% | no | 2 |
Same rules, same parameters, different asset — daily candles.
| Market | Return | Buy & hold | vs B&H | Beat it |
|---|---|---|---|---|
| BTC/USDT | 1266% | 530% | +736% | yes |
| ETH/USDT | 1543% | 276% | +1268% | yes |
| Gold (PAXG) ← | 65% | 119% | -54% | no |
The headline above uses one parameter setting. Here is every setting tested: 4 combinations, median 47.4%, best 115.6%, worst 46.3%. 0 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 | |
|---|---|---|---|---|
| 46% | 65% | 116% | 47% |
Hover a cell for trade count and drawdown. “·” = invalid combination (fast ≥ slow).
| Year | 2021 | 2022 | 2023 | 2024 | 2025 | 2026 |
|---|---|---|---|---|---|---|
| Return | -9% | -2% | 1% | 23% | 38% | 1% |
| Max DD | 14% | 18% | 9% | 7% | 14% | 15% |
| Trades | 4 | 4 | 4 | 2 | 3 | 1 |
| Closed | P&L (USDT) | Held |
|---|---|---|
| 2026-03-16 | +5115.34 | 199 bars |
| 2025-07-31 | -362.17 | 9 bars |
| 2025-06-28 | -389.65 | 25 bars |
| 2025-05-15 | +1874.09 | 124 bars |
| 2024-11-07 | +971.87 | 118 bars |
| 2024-06-08 | +945.79 | 95 bars |
| 2024-01-11 | -241.78 | 14 bars |
| 2023-12-13 | -167.02 | 15 bars |
| 2023-11-09 | -74.81 | 21 bars |
| 2023-08-10 | -139.00 | 28 bars |
| 2023-05-19 | +544.22 | 75 bars |
| 2023-02-04 | +839.22 | 91 bars |
| 2022-10-20 | -480.65 | 15 bars |
| 2022-08-20 | -137.45 | 21 bars |
| 2022-06-15 | -312.27 | 3 bars |
| 2022-04-26 | +294.94 | 115 bars |
| 2021-12-01 | -115.02 | 48 bars |
| 2021-09-17 | -293.58 | 20 bars |
| 2021-08-07 | -316.92 | 23 bars |
| 2021-06-17 | -82.03 | 41 bars |
| 2021-02-05 | -490.80 | 49 bars |
| 2020-11-25 | -657.96 | 19 bars |
Listed as convention, not as established fact.
| Period | 2020-09-01 → 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 × 62 start dates |
| Input hash | d17883c6123cafb6 |