Does the classic Turtle 55-day breakout system still work?
Across 214 of 220 tickers between 2015-01-01 and 2024-12-31, average return was 5.35%, average max drawdown -9.85%.
A clear edge: +5.35% mean return across 214 tickers, with -9.85% average drawdown — strong on average, but the drawdown deserves a second look.
What we tested
We want to catch new long-term uptrends the way the original Turtle traders did, using a long-horizon breakout. Enter long when today's close makes a new 55 day high (the highest close of the last 55 trading days, comparing against prior bars, not including today). On the entry bar, measure the 14 period ATR and place a protective stop 2 ATR below the entry price. Size the position so that hitting that stop loses exactly 1 percent of account equity. Round down to a whole number of shares. Exit the position when the close makes a new 20 day low (the lowest close of the prior 20 trading days). Also exit if the initial 2 ATR stop is hit first. 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 214 runsEqual-weighted mean of total return across symbols that completed. · 1 codegen refinement on pilot
Unweighted mean across successful runs.
214 completed · 6 failed
Mean of worst peak-to-trough per symbol.
Aggregate gross profit ÷ gross loss.
Summed over successful symbols.
Return distribution
How the 214 tickers split up across return_pct buckets. Reads left to right from worst to best.
- ≤ -10%10 (4.7%)
- -10% to -5%30 (14.0%)
- -5% to -1%31 (14.5%)
- −1% to +1%17 (7.9%)
- +1% to +5%39 (18.2%)
- +5% to +10%26 (12.1%)
- > +10%61 (28.5%)
By sector
Top and flop names per GICS sector, ranked by return_pct.
Communication Services
18 / 20 completed- NFLX26.41%
- META24.88%
- TTWO18.33%
- DIS16.33%
- MTCH16.32%
- OMC-14.61%
- CMCSA-7.89%
- WBD-7.45%
- VZ-5.03%
- EA-2.05%
Consumer Discretionary
20 / 20 completed- TSLA52.33%
- CMG27.49%
- AMZN24.27%
- MCD19.07%
- MAR15.02%
- ULTA-10.00%
- BKNG-8.16%
- GM-5.78%
- NKE-5.47%
- TJX-2.29%
Consumer Staples
20 / 20 completed- COST22.19%
- EL11.40%
- WMT9.63%
- TGT7.14%
- ADM5.46%
- GIS-10.99%
- KMB-8.33%
- STZ-5.66%
- MDLZ-3.27%
- KHC-3.23%
Energy
17 / 20 completed- VLO15.23%
- WMB13.49%
- MPC12.94%
- OXY8.93%
- PSX8.89%
- APA-10.81%
- SLB-5.78%
- EOG-3.91%
- FANG-1.33%
- XOM1.70%
Financials
19 / 20 completed- SPGI27.24%
- PNC19.48%
- BLK18.35%
- GS17.46%
- BAC16.27%
- TFC-5.81%
- ICE-4.31%
- C-1.10%
- USB1.73%
- WFC3.75%
Health Care
20 / 20 completed- ABBV40.64%
- LLY31.55%
- ISRG28.73%
- DHR24.55%
- REGN15.67%
- GILD-12.20%
- ABT-9.53%
- CVS-9.15%
- MRK-9.06%
- UNH-7.15%
Industrials
20 / 20 completed- BA35.42%
- CAT23.99%
- LMT21.17%
- GE18.72%
- DE15.46%
- CMI-8.56%
- HON-6.77%
- UNP-5.91%
- UPS-4.98%
- ITW-4.57%
Information Technology
20 / 20 completed- NVDA75.51%
- AMD39.91%
- AAPL34.26%
- LRCX29.91%
- CRM24.58%
- INTC-13.25%
- PANW-3.77%
- ORCL-1.53%
- TXN-1.05%
- IBM4.04%
Materials
20 / 20 completed- SHW22.49%
- FCX20.64%
- APD8.07%
- STLD6.86%
- MLM4.73%
- DD-10.61%
- FMC-8.13%
- PPG-7.88%
- ALB-7.57%
- VMC-7.26%
Real Estate
20 / 20 completed- PSA12.33%
- AMT10.90%
- CCI4.74%
- PLD4.69%
- EXR4.60%
- AVB-10.13%
- UDR-9.82%
- INVH-9.34%
- EQR-8.74%
- ARE-6.67%
Utilities
20 / 20 completed- NEE15.21%
- SO11.45%
- AEP10.50%
- CMS10.46%
- ATO9.32%
- D-16.33%
- ES-11.41%
- PPL-10.60%
- AEE-6.90%
- DTE-5.99%
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 Jul 29, 2026 · slug turtle-55-breakout