Trend following · Intermediate · Daily monitoring for breakout entries
Turtle Trading System
How it works, and when it doesn't.
The original Turtle traders proved that systematic rules beat gut instinct. The 20-day breakout is a self-fulfilling signal — everyone watching the same level.
Price 759.8 inside channel [732.7, 775.6]. No breakout. GBM=35%.
Why it works
Turtle Trading uses Donchian channel breakouts to enter trends early and pyramids into winning positions. The system was designed to be mechanical — removing all discretion so trends are captured fully.
The signal logic
- Enter Long on 20-day high breakout (System 1) or 55-day high (System 2)
- Position size by 2× ATR — equal volatility across assets
- Stop loss at 2× ATR below entry
When it fails
Markets without sustained 6–12 month trends. False breakouts in tight ranges generate strings of small losses.
- Best market
- Commodity futures, FX trends, post-crisis recoveries
- Worst market
- Choppy equity markets, range-bound years like 2011, 2015
Backtest
| Sharpe ratio | 0.78 |
| Annual return | 12.2% |
| Worst drawdown | -22.1% |
| Trades in the backtest | 1 |
Backtest on daily bars, positions taken the bar after the signal (no look-ahead). Few trades: treat the ratios as anecdotal.
Turtle Trading System, live.
Re-scored after every close.
The platform runs this and 32 other strategies against the live tape each day — with the evidence behind every number.