Richard Dennis / Original Turtles (Free Rules Project)

Turtle Trading — System 1 (long side)

Verified1DNot recommended

The classic Turtle breakout system: buy a 20-day high, size and protect the trade with a 2N (ATR) volatility stop, and exit when price breaks the 10-day low.

Win rate

38.6%

Share of trades that closed in profit

Trades

Completed trades in the test

Profit factor

5.24

Above 1 means profit beat loss

Return

114.4%

Account change over the window · buy & hold 5923.2%

Max drawdown

4.3%

Worst fall from a peak

Most-tested backtest · BNBUSDT 1D2018-09-02 → 2026-08-31 · 8.0 years

Step by step, exactly as executed

Timeframe

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

2 × ATR(20) from entry

Target / exit

Target: no fixed target · Rule exit: a close below the 10-candle low closes the trade at the next open

Risk

1% of equity risked to the stop

Executable rules

Published sources

Known limitations

The published rules, verbatim

Timeframe

daily.

Entry (System 1)

buy a breakout of the highest high of the previous 20 days.

Stop loss

2N below the entry, where N is the 20-day ATR (the Turtles' volatility unit).

Exit

a close below the lowest low of the previous 10 days.

No profit target

the 10-day channel exit is the only exit besides the stop. One unit per market (no pyramiding in this test).

Sources

tradingblox.com newtraderu.com

What this test cannot reproduce

The Turtles traded futures both ways; a short breakout cannot be executed on Spot, so only the long side is tested.

The published system adds up to 4 units at 1/2 N intervals and reduces size in correlated markets; this test trades a single unit, so returns are smaller and smoother than the original.

Turtles risked 1% of equity per N of volatility; this test uses the app's fixed 1% risk-per-trade sizing, which is the same idea expressed through the stop distance.

The original System 1 skips a breakout when the previous breakout would have been a winner; that filter needs trade history at signal time and is NOT applied.

They traded liquid futures (bonds, metals, currencies); this test runs on the crypto pair you named.

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