Ruthless Test of Turtle Trading Donchian Channel Breakouts
No better than luck
Small profit, too noisy to call an edge
- trades tested
- 1,044
- per trade after costs
- +0.89bp
- winners
- 44%
- years of data
- 14.7
Trade 20-bar Donchian channel breakouts only in the direction of the 200 EMA, taking only the first break in that direction that follows one or more breaks of the opposite channel line. Enter with a stop order just beyond the signal bar, stop loss at the opposite 20-period Donchian line, breakeven at 1:1, take profit at 1:2, close after 40 bars.
The exact rules we tested
- 01Instrument: WTI | Signal timeframe: 1h | Direction: both
- 02LONG sequence: 1. [low < ll20prev] just became true this bar THEN 2. (high > hh20prev) AND (close > ema200) (no time limit)
- 03SHORT sequence: 1. [high > hh20prev] just became true this bar THEN 2. (low < ll20prev) AND (close < ema200) (no time limit)
- 04Entry: stop order at the break of the signal bar signal_high (expires after 4 bars)
- 05Stop: at the dc20.lower (longs) / dc20.upper (shorts) level
- 06Target: 2.0R (risk-multiple of stop)
- 07Move stop to breakeven at +1.0R
- 08Time exit after 40 bars