Inspired by Dennis and Eckhardt: Turtle Breakout
NO EDGETrend following is teachable: buy 20/55-day channel breakouts with volatility-sized positions and hard exit rules.
How this run differs from the source: Long-only US stocks, not futures: a 55-day breakout in the last 20 sessions, weekly; no N sizing, adds, 2N stop or 20-day low exit.
| THE STRATEGY | $SPXTR BUY & HOLD | |
|---|---|---|
| CAGR | 2.8% | 9.2% |
| Sharpe ratio | 0.24 | 0.59 |
| Max drawdown | -78.2% | -54.7% |
// GROWTH OF $1, LOG SCALE
Out-of-sample (from the split): CAGR 4.8% against 13.3% for the benchmark; Sharpe 0.18 in-sample, 0.33 out-of-sample.
After 25 bps of trading costs: -7.5% a year. BELOW RANDOM
// DECADE BY DECADE
| ERA | STRATEGY | BENCHMARK |
|---|---|---|
| 1990s | 42.7% | 23.0% |
| 2000s | -7.7% | -0.5% |
| 2010s | 3.6% | 13.2% |
| 2020s | 8.1% | 14.4% |
// THE IDEA, AS PUBLISHED
Richard Dennis & William Eckhardt's Turtle program (1983); Curtis Faith, 'Way of the Turtle' (2007) · 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
A real computation on the QuantGPT warehouse, walk-forward. A study across the whole market includes only part of the companies that later delisted from 1998 (survivors only before); a study on your own list of tickers is not affected. Gross returns, no costs except where stated. Past performance is not a promise. Findings, not advice. COMPUTED 2026-11-07 08:42 ON THE QUANTGPT WAREHOUSE. COMPANIES THAT LATER DELISTED ARE ONLY PARTLY IN THIS UNIVERSE (A FIX IS IN PROGRESS), SO THE RESULT LEANS TOWARD SURVIVORS. FUNDAMENTALS BY FILING DATE. NOT INVESTMENT ADVICE. PRIVACY