Does Turtle trading still work? Both systems backtested on stocks
The Turtle traders of the 1980s bought breakouts to new 20 day or 55 day highs and sold when price fell to a shorter low. We tested both systems on liquid US stocks from mid 2018 to May 2025, with the exits the Turtles used.
No edgeBoth systems lost a little against the average stock. About 4 in 10 trades made money, and random stocks with the same exit rule did as well.
Signals42,047
Vs the average stock, per trade−0.26%
Trades that made money39.6%
Median trade−2.1%
Trend following is meant to lose often and win big, and it did lose often: the median trade was −2.1%. But the big winners were not big enough. Random stocks bought on the same days with the same exit rule did about as well.
The rules we tested
System 1: buy when the close is above the highest high of the previous 20 sessions. Sell at the first close below the lowest low of the previous 10 sessions.
System 2: the same with a 55 session breakout and a 20 session low for the exit.
Every trade is closed after 60 trading days at the latest.
Stocks: US stocks above $10 trading at least $20 million a day on average, including companies that later stopped trading.
Judged against: the average eligible stock over the same days, and random stocks bought the same day with the same exit rule, after a 0.1% round trip cost.
System 1 (20 day breakout) result by year, against the average stock
*2025 runs to May.
System 2: 55 day breakouts
Slower breakouts did no better. Across 23,259 trades, the 55 day system averaged 0.46% behind the average stock per trade, with 40% winners and a median trade of −2.8%. Trades lasted about 37 trading days.
Why it worked for the Turtles
The original rules were built for futures markets such as currencies, bonds and commodities in the 1970s and 1980s, where long trends were common and few people traded breakouts. Single stocks since 2018 behave differently, and breakouts are now among the most screened for setups there are.
The most recent 18 months
In the most recent 18 months, which we held back and checked separately, the same rules gave 11,717 trades and −0.72% against the average stock, with 38.2% of trades making money. That is not enough to tell apart from luck.
What it means for your trading
A breakout to a new high is not an edge on its own in stocks.
A trailing exit like the 10 day low makes any entry look like trend following. Compare with random entries before trusting a breakout system.
The 12 month strength of a stock mattered more in our tests than the breakout itself.
Limits: daily closes from mid 2018, which includes one bear market (2022). Results are averages over thousands of trades; any single trade can do far better or worse.
On liquid US stocks from 2018 to May 2025, neither system beat the average stock. System 1 averaged 0.26% behind per trade and System 2 0.46% behind.
What is the Turtle trading win rate?
About 40% of trades made money in both systems. The median trade lost 2% to 3%, as you would expect from a trend following system.
Did you test futures?
No. This test covers US stocks only, without the Turtles’ position sizing or adding to winners. The Turtles originally traded futures, where results may differ.
Backtest results are hypothetical. They are based on historical prices, include a simple trading cost and leave out taxes and other costs of real trading. Past results do not guarantee future returns. For informational and educational purposes only. Not investment advice, and not a recommendation to buy or sell any security.