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mdjubayalkhan16
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Turtle trading breakout backtest: which lookback pays, tested on 24 futures markets from 2012 to 2025 Jerry Parker, one of the original Turtles, said on Top Traders Unplugged that short-term trend following does not work and that there is a sweet spot. So I ran the Turtles' breakout at ten lengths from 5 to 250 days on 24 CME futures markets, daily bars, long and short, stop 2 ATR away, exit at half the entry length, 1% of a fixed $1M risked per trade. Net of costs: 5 days -$2.81M. 10 days -$472,411. 20 days, the Turtles' System 1, -$475,466 (+$1.04M before costs). 55 days +$1.59M. 80 to 150 days under $400K each. 200 days +$3.38M. 250 days +$3.68M, winning 17.7% of 526 trades with an 80-day average hold. It is not a smooth sweet spot. The baseline: holding all 24 markets, re-sized daily to the same risk, made $1.18M over 2012-2025, so 250 days beat it. Walked forward (expanding by year from 2015, length picked on past years only, 250 days chosen in 10 of 11 years), it made $1.48M against $2.78M for holding. We reran that walk-forward once after finding a flaw in the first version, so treat it as a second look. Also run: at double costs 250 days still made $3.25M and 20 days lost $1.99M. Nearly all of the 250-day profit came from longs (+$3.56M vs +$120K short). One gold trade made $791,541 of it. 2012-2018 +$1.32M, 2019-2025 +$2.39M. A coin flip for direction on the same trades beat it 3% of the time. Not modelled: whole-contract sizing, compounding, non-CME markets, anything before 2012. Takeaway: drop the 20-day breakout. Go closer to a year, and expect to lose eight trades in ten. I built this in QuantPad. It has every trade on the CME since 2010. Link in bio. #QuantPad #backtesting #trendfollowing #futurestrading #algotrading
Turtle trading breakout backtest: which lookback pays, tested on 24 futures markets from 2012 to 2025 Jerry Parker, one of the original Turtles, said on Top Traders Unplugged that short-term trend following does not work and that there is a sweet spot. So I ran the Turtles' breakout at ten lengths from 5 to 250 days on 24 CME futures markets, daily bars, long and short, stop 2 ATR away, exit at half the entry length, 1% of a fixed $1M risked per trade. Net of costs: 5 days -$2.81M. 10 days -$472,411. 20 days, the Turtles' System 1, -$475,466 (+$1.04M before costs). 55 days +$1.59M. 80 to 150 days under $400K each. 200 days +$3.38M. 250 days +$3.68M, winning 17.7% of 526 trades with an 80-day average hold. It is not a smooth sweet spot. The baseline: holding all 24 markets, re-sized daily to the same risk, made $1.18M over 2012-2025, so 250 days beat it. Walked forward (expanding by year from 2015, length picked on past years only, 250 days chosen in 10 of 11 years), it made $1.48M against $2.78M for holding. We reran that walk-forward once after finding a flaw in the first version, so treat it as a second look. Also run: at double costs 250 days still made $3.25M and 20 days lost $1.99M. Nearly all of the 250-day profit came from longs (+$3.56M vs +$120K short). One gold trade made $791,541 of it. 2012-2018 +$1.32M, 2019-2025 +$2.39M. A coin flip for direction on the same trades beat it 3% of the time. Not modelled: whole-contract sizing, compounding, non-CME markets, anything before 2012. Takeaway: drop the 20-day breakout. Go closer to a year, and expect to lose eight trades in ten. I built this in QuantPad. It has every trade on the CME since 2010. Link in bio. #QuantPad #backtesting #trendfollowing #futurestrading #algotrading

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