Since 2022 Sort Finance

Turtle Breakout

How this strategy trades, what it scored, and the measurements the score was read from — every symbol and timeframe, on real and resampled history.

  1. Track the previous 20-bar high, the previous 10-bar low, and the 20-bar average range.
  2. Buy when the close breaks above the 20-bar high — the classic Turtle trend entry.
  3. Exit on whichever comes first: the close falling below the 10-bar low (the trend has rolled over), or a safety stop 2 average ranges below the entry price (the trade went wrong quickly).
Score
Total Score Mean Of Real And Resampled 45 / 100
Real Data 45 / 100
Resampled Data 45 / 100
Overall Rank Top 49% 25 of 52
Rank In Breakout Top 80% 4 of 5
Score By Metric
Beats Hold Real 34 · Resampled 47 40 / 100
Risk Adjusted Real 46 · Resampled 41 43 / 100
Profitability Real 52 · Resampled 50 51 / 100
Win Rate Real 43 · Resampled 39 41 / 100
Fee Efficiency Real 53 · Resampled 53 53 / 100

Scores

The six scores the total is made of, one dataset at a time: how each stood as the run went on, and where each of them ended.

Source Metrics

The numbers those scores are read from, one dataset at a time: every trade as it happened, and where the run ended.