Turtle Trading System 1 (long-only): does it still work? Replicated through 2026
We re-ran it on 10 markets from 2010-01-29 to 2026-11-10 (16.8 years, before costs): +8.3% a year, Sharpe 0.96, worst drawdown -15.9%. The benchmark, Equal-weight of 10 markets, did +9.4% a year (Sharpe 0.64, worst drawdown -43.1%).
Verdict: Smoother ride than its benchmark (higher Sharpe), but a lower return. Historical, hypothetical results before costs, taxes and fees. Not investment advice.
This is our adapted version, not the real portfolio or fund. Read what is lost before comparing it with anything published about the original.
What is lost
- The volatility-based unit sizing, which was a core part of the Turtles' risk control.
- Pyramiding, short selling and the skip-after-a-winner filter.
- Futures markets: our ETFs, FX and crypto behave differently.
Where it comes from
The Turtles' story, in which Dennis trained novices into a hugely profitable trend-following team, is the most famous experiment in trading.
Rules, weights and thresholds are given as commonly cited. We have not re-checked them against the primary text.
The original rules
System 1: enter on a 20-day high/low breakout and exit on a 10-day opposite breakout; position size is 1% of equity per N (20-day ATR), up to 4 units per market, long and short, across ~20 futures markets.
How we replicate it
What we changed
Long-only and close-only (no highs and lows), on ten ETF, FX and crypto markets instead of ~20 futures. Position sizing is simplified to a full fixed slot (1/10 of equity) per market: no ATR-based units, no pyramiding up to 4 units, and the filter that skips a breakout after a winning one is dropped. Shorts are lost.
The exact rule we run
For each of the 10 markets, at the close: enter long when the close is above the highest close of the prior 20 days; exit to cash when it is below the lowest close of the prior 10 days. Each market has a fixed 1/10 slot of equity.
Conventions: Position decided at a close earns the next day's return; no look-ahead; before costs; cash earns 0%; starts 2010-01-29, the first day a signal exists; every market has an equal slot of equity; indicators use each market's own trading days.
Growth of 1 vs the benchmark
Benchmark: Equal-weight of 10 markets, same period. Equal slots in S&P 500, Gold, Silver, Oil, Natural gas, Commodities, Agriculture, EUR/USD, Bitcoin, Ether, rebalanced daily; a market without data yet stays in cash.
Drawdown from the previous peak
Key numbers
Sample: 2010-01-29 to 2026-11-10, 16.8 years, 5646 daily observations. Annualised from the number of observations per year of the strategy's own calendar. Before costs.
Recent and full-period returns
| Period | Replica | Benchmark |
|---|---|---|
| Last month | -0.6% | -7.4% |
| Last year | +8.9% | +5.9% |
| Last 5 years | +18.3% | +54.3% |
| Whole period (cumulative) | +280.6% | +352.8% |
Calendar-year returns
| Year | Replica | Benchmark | Replica minus benchmark |
|---|---|---|---|
| 2026* | +9.1% | +6.8% | +2.3% |
| 2025 | +4.0% | +18.5% | -14.5% |
| 2024 | +7.9% | +29.0% | -21.1% |
| 2023 | +3.0% | +13.9% | -10.8% |
| 2022 | -3.1% | -9.5% | +6.4% |
| 2021 | +28.8% | +54.6% | -25.8% |
| 2020 | +39.9% | +37.7% | +2.2% |
| 2019 | +14.8% | +19.2% | -4.4% |
| 2018 | +3.1% | -23.9% | +27.0% |
| 2017 | +31.1% | +52.2% | -21.1% |
| 2016 | +12.5% | +18.4% | -5.8% |
| 2015 | -2.7% | -12.1% | +9.3% |
| 2014 | -4.8% | -14.8% | +10.0% |
| 2013 | +0.6% | -4.0% | +4.7% |
| 2012 | +5.3% | +0.5% | +4.9% |
| 2011 | -1.9% | -5.7% | +3.8% |
| 2010* | +2.8% | +13.7% | -10.9% |
* Partial year. The first year starts on the first day of the replica; the current year is year to date.
Position as of 2026-11-10
| Holding | Weight |
|---|---|
| EUR/USD EURUSD=X | 10.0% |
| Cash (0%) | 90.0% |
Last change of position: 2026-11-05. Drawdown from its peak today: -4.2%.
What it did in 2020 and 2022
| Episode | Dates | Replica | Benchmark |
|---|---|---|---|
| COVID crash | 2020-02-19 → 2020-03-23 | -4.1% | -25.4% |
| 2022 bear market | 2022-01-03 → 2022-10-12 | -0.1% | -9.2% |
Close to close between the two dates. Two episodes only: not enough to judge a strategy.
How much to trust it
- 1403 position changes over 16.8 years.
- This is one backtest on one path of history, before costs and with hindsight on the choice of strategy. It does not show the strategy will work in future.
Honest caveat
Long-only, close-based and no pyramiding on a very different market set, so only the breakout idea survives.
Related
Other famous strategies
Closest strategies on Quant Arena
Similar idea, tested on the site's own rule set; not the same rule.
Markets used: S&P 500 · Gold · Silver · Oil · Natural gas · Commodities · Agriculture · EUR/USD · Bitcoin · Ether
Historical, hypothetical results before costs, taxes and fees. Not investment advice.