Donchian breakout, backtested
The Donchian channel is just the highest high and lowest low of the last N days, and the breakout system built on it is the one the Turtle Traders were taught in 1983: buy a new 20-day high, exit on a new 10-day low. It is the plainest trend-following rule that exists, which is exactly why it is worth testing — if a strategy needs more machinery than this to work, that is worth knowing before you build the machinery.
The rules, exactly
This is what the run above loads. Every number in it stays editable — change the ticker, widen the stop, and run it again.
- Buy at the close when the price makes a new 20-day high.
- Exit on a new 10-day low — the original system's trailing exit.
- A 2 ATR stop caps the loss on a breakout that fails immediately, and a 2R target takes profit before the trailing exit gets there.
- 0.1% commission and 0.05% slippage per side.
Screens for: $2B+ · 1M+ shares a day · 10%+ revenue growth. That filter does nothing on the single-stock run above — it is the pool this strategy is really meant to trade, and it comes into play when step 1 is switched from one ticker to the whole US stock market. The momentum screener is a free way to see a ranked pool like it today.
What to watch for
Breakout systems lose small and often and make their money in a few large trends, so the middle of the result table is not where the answer is — look at the largest winning trade against the average loss. They also suffer in range-bound markets, where every new high is the top of the range: expect long stretches of small losses between the trades that pay. The Turtles ran this across dozens of futures markets at once for that reason, not on one ticker.
Before you trust any backtest
A backtest is a measurement of the past under assumptions you chose, and the assumptions are where results go wrong. Three that matter here: the run covers five years of daily closes, so it has seen one bull market and one bad year rather than a full cycle; fees and slippage are included but your broker’s may differ; and a strategy that fired only a handful of times has told you almost nothing, however good the numbers look. The tool reports the trade count for that reason — read it first.
Want to change the rules rather than the numbers? The full backtester builds a setup out of plain-English conditions, and this template arrives in it already loaded and editable.
The other prebuilt strategies
- Golden Cross — Hold while the 50-day average is above the 200-day; step aside when it crosses back under.
- RSI-2 reversion — Buy an uptrending market when the 2-day RSI washes out below 10; sell the bounce above 70.
- Trend pullback — In a long uptrend, buy the dip that reclaims the 50-day average — a bounce off the trend.
- Impulse pullback — A fresh 6/18 EMA cross marks a brand-new trend; buy its first small dip as it resumes.
- Bollinger reversion — Buy a close under the lower 20-day band; sell the snap back to the middle band.