Turtle trading

Checked October 2026

Turtle trading buys a new 20-day high and sells a new 20-day low, then rides the trend until it breaks the other way. Backtoast ran System 1, the 20-day version, on 11 futures. It lost 15.6% a year over 271 trades and failed.

Backtoast

You pay $99 for two full tests of your own strategy, and a pass is an offer of 30% of the profit Backtoast makes trading it with its own money.

Turtle trading

It loses small and often on breakouts that fail, and the money is in the few trends that run for months. System 1 enters one tick past the 20-day high or low and exits on a 10-day break the other way, with a stop two N from the entry, where N is the average daily range over 20 days. Each unit is sized so a move of one N costs 1% of the account. System 2 is the slower version, a 55-day entry and a 20-day exit.

The full rules add a unit every half N, up to four, and skip a 20-day breakout when the last one would have won. The run couldn't do either, so it held one unit per market and took every 20-day breakout.

Donchian 4 week rule is the older, always-in version of the same breakout, and Turtle Soup trades against it, buying the 20-day breakdowns that fail.

Where it comes from

The rules are the ones taught to Richard Dennis's class and written up by Curtis Faith in The Original Turtle Trading Rules. Faith later wrote that the class made over 80% a year across about four and a half years of live trading in the 1980s, and no backtest came with it. The run used 11 of the original markets, bonds, notes, the S&P 500, gold, silver, copper, crude oil and four currencies, with the euro in place of the Deutschmark, from late 2021 to October 2026.

The run is Backtoast's, from 29 October 2026, after costs. System 1 on currencies is forex turtle trading.