Do 20-day breakouts beat buy-and-hold on US large caps?
Across 197 of 220 tickers between 2015-01-01 and 2024-12-31, average return was 12.90%, average max drawdown -15.43%.
A clear edge: +12.90% mean return across 197 tickers, with -15.43% average drawdown — meaningful return for the risk taken.
What we tested
We want to ride momentum by buying breakouts above the prior twenty day high, the same idea behind the original Turtle traders. Enter long the next open after a daily close that is strictly above the highest close of the previous twenty trading days. On entry, place a protective stop 1.2 ATR below the entry price using the 14 period ATR. Size the position so a stop-out loses exactly 1 percent of account equity. Round down to a whole number of shares. Exit at the next open after the first daily close at or below the lowest close of the previous ten trading days. If the position has been held for 60 trading days without resolving, exit at the next open as well. Long only. One open position per ticker at a time. No leverage and no pyramiding.
- Window
- 2015-01-01 → 2024-12-31
- Universe
- 220 tickers
- Ranking metric
- return_pct
Overall results
Aggregated across 197 runsEqual-weighted mean of total return across symbols that completed. · 1 codegen refinement on pilot
Unweighted mean across successful runs.
197 completed · 23 failed
Mean of worst peak-to-trough per symbol.
Aggregate gross profit ÷ gross loss.
Summed over successful symbols.
Return distribution
How the 197 tickers split up across return_pct buckets. Reads left to right from worst to best.
- ≤ -10%28 (14.2%)
- -10% to -5%18 (9.1%)
- -5% to -1%13 (6.6%)
- −1% to +1%10 (5.1%)
- +1% to +5%12 (6.1%)
- +5% to +10%17 (8.6%)
- > +10%99 (50.3%)
By sector
Top and flop names per GICS sector, ranked by return_pct.
Communication Services
16 / 20 completed- NFLX42.88%
- TTWO25.51%
- CHTR20.73%
- LYV17.88%
- META13.29%
- OMC-34.35%
- EA-8.20%
- VZ-6.81%
- WBD-3.33%
- PINS-2.02%
Consumer Discretionary
18 / 20 completed- TSLA103.49%
- AMZN50.42%
- MAR45.45%
- HD44.97%
- LOW39.64%
- ULTA-5.16%
- TJX-5.07%
- BKNG-5.01%
- SBUX-2.90%
- NKE7.66%
Consumer Staples
17 / 20 completed- COST59.52%
- WMT38.10%
- PM26.39%
- HSY22.40%
- MDLZ14.50%
- GIS-20.33%
- KHC-19.98%
- ADM-12.36%
- KO-9.64%
- KR-7.83%
Energy
17 / 20 completed- VLO40.57%
- PSX32.06%
- MPC32.00%
- WMB27.02%
- OKE22.03%
- FANG-18.45%
- EOG-13.68%
- CVX-11.93%
- APA-9.59%
- OXY-6.17%
Financials
18 / 20 completed- SPGI62.81%
- BLK52.11%
- SCHW51.29%
- AON46.20%
- JPM43.93%
- TFC-17.75%
- USB-13.66%
- COF-13.53%
- AXP-1.20%
- C2.41%
Health Care
17 / 20 completed- LLY62.37%
- ABBV52.19%
- JNJ17.29%
- BSX16.74%
- AMGN15.27%
- UNH-27.40%
- VRTX-26.74%
- CVS-24.62%
- GILD-18.09%
- MRK-17.23%
Industrials
18 / 20 completed- CAT50.72%
- BA43.50%
- DE39.57%
- NSC37.61%
- ETN33.96%
- GD-13.78%
- UNP-4.00%
- HON-0.55%
- UPS0.54%
- ROK7.04%
Information Technology
18 / 20 completed- NVDA186.52%
- AAPL96.19%
- AMD69.02%
- AVGO61.29%
- CRM40.33%
- TXN-6.21%
- CSCO-0.86%
- IBM11.02%
- ORCL11.19%
- MU11.54%
Materials
18 / 20 completed- SHW51.71%
- MLM44.95%
- STLD28.57%
- APD22.15%
- FCX18.32%
- PPG-22.06%
- LYB-21.92%
- LIN-20.42%
- MOS-19.39%
- EMN-14.82%
Real Estate
20 / 20 completed- AMT35.33%
- EXR32.45%
- PSA27.44%
- CBRE24.41%
- MAA14.68%
- INVH-16.42%
- EQR-12.56%
- UDR-10.97%
- ARE-8.56%
- VTR-5.37%
Utilities
20 / 20 completed- CMS29.90%
- AEP27.38%
- XEL26.74%
- SO14.75%
- NEE13.15%
- ATO-8.42%
- D-6.75%
- CNP-6.51%
- SRE-2.48%
- DTE-2.46%
Disclaimer
Past performance does not predict future results. This is a backtest over a fixed historical window and it does not model execution costs, borrowing, taxes, or survivorship of the universe. Nothing here is investment advice.
Generated Apr 23, 2026 · slug donchian-20-breakout