Turtle Breakout (Donchian 20/10) — Disproof verdict

The famous trend-following system taught to the original Turtle traders — buy a 20-day high, exit on a 10-day low. Sold as the proof that a mechanical system can be taught to anyone.

Verdict: dead — grade D, 0 of 2 markets survived, tested on BTCUSDT from 2023-05-16 to 2026-08-30.

At zero cost: +120.5%
With real costs (15bps + 2bps slippage): +110.1%
Out-of-sample: +1.1%
Buy and hold over the same window: +190.9% (the strategy is 80.8 points behind buy and hold)

Rules tested

strategy "Turtle Breakout (Donchian 20/10)"  (long)
indicators:
  dh = donchian_high(20)
  dl = donchian_low(10)

entry: when close > dh
exit:  when close < dl
# fills next open · fees+slippage on · 70/30 OOS · deflated-Sharpe gate

How this was reconstructed

The entry/exit channel rules only. The original system also carried unit pyramiding, N-based position sizing and a portfolio of markets — none of which are modelled here, so this tests the signal, not the full Turtle risk program.