// STUDY RESULT · 1990-01 TO 2026-07

Turtle / Donchian Channel Breakout

NO EDGE

Trend following is teachable: buy 20/55-day channel breakouts with volatility-sized positions and hard exit rules.

	THE STRATEGY	$SPX BUY & HOLD
Growth a year (CAGR)	2.3%	9.0%
Return per unit of risk (Sharpe)	0.26	0.66
Worst fall (max drawdown)	-39.5%	-52.6%

// GROWTH OF $1, LOG SCALE

AMBER: THE STRATEGY · GREY: $SPX BUY & HOLD

Tested on years it never saw (from the split): 8.7% a year against 12.4% for the benchmark; Sharpe -0.01 in the training years, 0.66 after.

After 25 bps of trading costs: -1.1% a year. EDGE OVER RANDOM

// DECADE BY DECADE

ERA	STRATEGY	BENCHMARK
1990s	0.0%	15.5%
2000s	-4.1%	-2.6%
2010s	3.9%	11.6%
2020s	14.0%	14.1%

// THE IDEA, AS PUBLISHED

Richard Dennis & William Eckhardt's Turtle program (1983); Curtis Faith, 'Way of the Turtle' · 1983

Futures, long and short: enter on a 20-day (S1) or 55-day (S2) breakout; S1 skips a signal after a winning one
Unit size so 1N (20-day ATR) = 1% of equity; add every 1/2 N, max 4 units per market
Stop 2N from entry; exit on a 10-day (S1) or 20-day (S2) opposite breakout

RUN IT YOURSELF ▸ IN THE LIBRARY

A real computation on the QuantGPT warehouse, survivorship-free, walk-forward. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-09-24 20:48 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE NOT IN THIS UNIVERSE YET (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE.