Richard Donchian
Four-Week Rule
Donchian's Four-Week Rule, one of the oldest published trend systems: buy a 20-candle high breakout and exit when a 20-candle low breaks.
Win rate
53.3%
Share of trades that closed in profit
Trades
30
Completed trades in the test
Profit factor
4.34
Above 1 means profit beat loss
Return
1551.3%
Account change over the window · buy & hold 963.8%
Max drawdown
33.8%
Worst fall from a peak
Step by step, exactly as executed
Timeframe
1D
Setup / filter
no separate filter — the entry rule is the whole setup
Entry
close breaks above the 20-candle range → market at the next candle open
Stop
NONE — no stop-loss rule was provided, so no stop is placed
Target / exit
Target: no fixed target · Rule exit: a close below the 20-candle low closes the trade at the next open
Risk
1% of equity as trade notional (there is no stop, so this is not risk to a stop)
Executable rules
Published sources
Known limitations
The published rules, verbatim
Timeframe
daily.
Entry
buy when price closes above the highest high of the previous four weeks (20 trading days).
Exit
sell when price closes below the lowest low of the previous four weeks (20 trading days). Always in the market in the original rule (long above, short below); no separate stop loss.
Sources
What this test cannot reproduce
The original rule reverses to short on the downside break; Spot cannot short, so the downside break is used as a flat exit only.
Four weeks is taken as 20 candles, which on a 24/7 crypto market is 20 days rather than 20 trading days.
No stop loss is published, so R-based statistics are undefined and sizing is a fixed notional.
Portfolio — every backtest of this strategy
Each row prints the exact window it was measured on. Rows with different windows measure different market periods, so their numbers differ without contradicting each other.
Backtestify house test
- SOLUSDT1D2018-09-02 → 2026-08-31 · 8.0 yearsNot recommended
Measured on 2920 days of candles · run 2026-08-31
23 tradesWR 43.5%PF 11.33+12127.8% / hold +2984.7%DD 66.0% - BNBUSDT1D2018-09-02 → 2026-08-31 · 8.0 yearsRecommended
Measured on 2920 days of candles · run 2026-08-31
27 tradesWR 51.9%PF 20.41+15882.5% / hold +5923.2%DD 27.8% - ETHUSDT1D2018-09-02 → 2026-08-31 · 8.0 yearsRecommended
Measured on 2920 days of candles · run 2026-08-31
29 tradesWR 51.7%PF 4.44+1749.5% / hold +718.1%DD 51.8% - BTCUSDT1D2018-09-02 → 2026-08-31 · 8.0 yearsRecommended
Measured on 2920 days of candles · run 2026-08-31
30 tradesWR 53.3%PF 4.34+1551.3% / hold +963.8%DD 33.8%
Sign in to run these rules yourself and see your own results here.