Strategy library · Comparison
Donchian 20 vs Donchian 55 on NQ and ES futures: 2-year backtest side by side
Donchian 20 vs Donchian 55 on NQ and ES futures, side by side. The table below holds Donchian 20 breakout (Turtle system 1) and Donchian 55 breakout (Turtle system 2) at the timeframes they have in common, one row per strategy, ordered by market and then timeframe. No row is ordered by a result, and nothing on this page names one strategy over another: the figures are the figures.
Tested by CE Market Solutions on 2026-10-26. Gross, no commission or slippage. Last 2 years.
Donchian 20 and Donchian 55 breakouts
Donchian 20 and Donchian 55 breakouts, NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27, one contract, before commission and slippage.
| Market | Timeframe | Strategy | Trades | Win % | Net pts | Net $ (1 contract) | Max DD pts | Long trades | Long net pts | Short trades | Short net pts |
|---|---|---|---|---|---|---|---|---|---|---|---|
| NQ | 5 minute | Donchian 20 breakout (Turtle system 1) | 1,339 | 42.3% | 4,056.50 | $81,130 | 3,605.50 | 691 | 3,559.25 | 648 | 497.25 |
| NQ | 5 minute | Donchian 55 breakout (Turtle system 2) | 760 | 45.4% | 4,709.00 | $94,180 | 2,235.00 | 408 | 2,365.75 | 352 | 2,343.25 |
| NQ | 15 minute | Donchian 20 breakout (Turtle system 1) | 627 | 49.8% | 1,479.00 | $29,580 | 3,605.50 | 340 | 1,887.50 | 287 | −408.50 |
| NQ | 15 minute | Donchian 55 breakout (Turtle system 2) | 493 | 50.9% | 1,630.00 | $32,600 | 3,260.00 | 269 | 1,303.00 | 224 | 327.00 |
| NQ | 1 hour | Donchian 20 breakout (Turtle system 1) | 343 | 51.0% | 1,012.75 | $20,255 | 3,641.00 | 204 | −824.50 | 139 | 1,837.25 |
| NQ | 1 hour | Donchian 55 breakout (Turtle system 2) | 203 | 50.7% | −782.25 | −$15,645 | 2,771.00 | 127 | −681.25 | 76 | −101.00 |
| NQ | Daily | Donchian 20 breakout (Turtle system 1) | 18 | 38.9% | −3,652.50 | −$73,050 | 6,349.00 | 11 | 1,376.75 | 7 | −5,029.25 |
| NQ | Daily | Donchian 55 breakout (Turtle system 2) | 9 | 44.4% | −1,572.00 | −$31,440 | 4,829.50 | 6 | 1,253.25 | 3 | −2,825.25 |
| ES | 5 minute | Donchian 20 breakout (Turtle system 1) | 1,311 | 41.2% | 808.50 | $40,425 | 495.25 | 674 | 995.25 | 637 | −186.75 |
| ES | 5 minute | Donchian 55 breakout (Turtle system 2) | 780 | 42.4% | 412.25 | $20,613 | 494.50 | 415 | 511.75 | 365 | −99.50 |
| ES | 15 minute | Donchian 20 breakout (Turtle system 1) | 649 | 46.2% | −483.75 | −$24,187 | 1,055.00 | 343 | −66.25 | 306 | −417.50 |
| ES | 15 minute | Donchian 55 breakout (Turtle system 2) | 522 | 48.9% | 290.00 | $14,500 | 512.75 | 280 | 78.25 | 242 | 211.75 |
| ES | 1 hour | Donchian 20 breakout (Turtle system 1) | 379 | 49.9% | 59.25 | $2,963 | 497.00 | 224 | −394.75 | 155 | 454.00 |
| ES | 1 hour | Donchian 55 breakout (Turtle system 2) | 217 | 48.9% | −64.25 | −$3,212 | 563.25 | 133 | −364.25 | 84 | 300.00 |
| ES | Daily | Donchian 20 breakout (Turtle system 1) | 17 | 35.3% | −719.25 | −$35,962 | 846.50 | 10 | 167.25 | 7 | −886.50 |
| ES | Daily | Donchian 55 breakout (Turtle system 2) | 7 | 42.9% | −15.50 | −$775 | 665.50 | 5 | 431.50 | 2 | −447.00 |
The figures in words
Donchian 20 breakout (Turtle system 1): buys when price breaks above the prior 20-bar high, sells short when price breaks below the prior 20-bar low. Exit: Break of the 10-bar low (long) / 10-bar high (short).
Donchian 55 breakout (Turtle system 2): buys when price breaks above the prior 55-bar high, sells short when price breaks below the prior 55-bar low. Exit: Break of the 20-bar low / high.
On the NQ 5-minute chart from 2024-10-08 to 2026-10-07, Donchian 20 breakout (Turtle system 1) took 1,339 trades, won 42.3% of them and made 4,056.50 points ($81,130 on one NQ contract), before commission and slippage. On the NQ 5-minute chart from 2024-10-08 to 2026-10-07, Donchian 55 breakout (Turtle system 2) took 760 trades, won 45.4% of them and made 4,709.00 points ($94,180 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Donchian 20 breakout (Turtle system 1) took 627 trades, won 49.8% of them and made 1,479.00 points ($29,580 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Donchian 55 breakout (Turtle system 2) took 493 trades, won 50.9% of them and made 1,630.00 points ($32,600 on one NQ contract), before commission and slippage. On the NQ 1-hour chart from 2024-10-08 to 2026-10-07, Donchian 20 breakout (Turtle system 1) took 343 trades, won 51.0% of them and made 1,012.75 points ($20,255 on one NQ contract), before commission and slippage. On the NQ 1-hour chart from 2024-10-08 to 2026-10-07, Donchian 55 breakout (Turtle system 2) took 203 trades, won 50.7% of them and made -782.25 points (-$15,645 on one NQ contract), before commission and slippage. On the NQ daily chart from 2024-10-08 to 2026-10-07, Donchian 20 breakout (Turtle system 1) took 18 trades, won 38.9% of them and made -3,652.50 points (-$73,050 on one NQ contract), before commission and slippage. On the NQ daily chart from 2024-10-08 to 2026-10-07, Donchian 55 breakout (Turtle system 2) took 9 trades, won 44.4% of them and made -1,572.00 points (-$31,440 on one NQ contract), before commission and slippage.
On the ES 5-minute chart from 2024-08-28 to 2026-08-27, Donchian 20 breakout (Turtle system 1) took 1,311 trades, won 41.2% of them and made 808.50 points ($40,425 on one ES contract), before commission and slippage. On the ES 5-minute chart from 2024-08-28 to 2026-08-27, Donchian 55 breakout (Turtle system 2) took 780 trades, won 42.4% of them and made 412.25 points ($20,613 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Donchian 20 breakout (Turtle system 1) took 649 trades, won 46.2% of them and made -483.75 points (-$24,187 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Donchian 55 breakout (Turtle system 2) took 522 trades, won 48.9% of them and made 290.00 points ($14,500 on one ES contract), before commission and slippage. On the ES 1-hour chart from 2024-08-28 to 2026-08-27, Donchian 20 breakout (Turtle system 1) took 379 trades, won 49.9% of them and made 59.25 points ($2,963 on one ES contract), before commission and slippage. On the ES 1-hour chart from 2024-08-28 to 2026-08-27, Donchian 55 breakout (Turtle system 2) took 217 trades, won 48.9% of them and made -64.25 points (-$3,212 on one ES contract), before commission and slippage. On the ES daily chart from 2024-08-28 to 2026-08-27, Donchian 20 breakout (Turtle system 1) took 17 trades, won 35.3% of them and made -719.25 points (-$35,962 on one ES contract), before commission and slippage. On the ES daily chart from 2024-08-28 to 2026-08-27, Donchian 55 breakout (Turtle system 2) took 7 trades, won 42.9% of them and made -15.50 points (-$775 on one ES contract), before commission and slippage.
How to read the columns: Trades is the number of closed trades; Win % is the share of them that finished above zero points; Net pts is the sum of every trade's points; Net $ is net points times the contract's dollars per point, on one contract; Max DD pts is the largest fall of the running total of points from a peak. The longs-only and shorts-only columns are sums over that side's own trades, and the two sides add up to the strategy's combined result.
CE Market Solutions tested every strategy on the last 2 years of NQ and ES futures (NQ 2024-10-08 to 2026-10-07 and ES 2024-08-28 to 2026-08-27), before commission and slippage, with each signal filled at the next bar's open, intraday positions flat at 15:59 ET and textbook default indicator settings. Nothing is tuned.
Questions and answers
How do Donchian 20 breakout (Turtle system 1) and Donchian 55 breakout (Turtle system 2) compare on Nasdaq-100 futures (NQ)?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Donchian 20 breakout (Turtle system 1) took 627 trades, won 49.8% of them and made 1,479.00 points ($29,580 on one NQ contract), before commission and slippage. On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, Donchian 55 breakout (Turtle system 2) took 493 trades, won 50.9% of them and made 1,630.00 points ($32,600 on one NQ contract), before commission and slippage. The other timeframes they share on NQ are in the table above.
How do Donchian 20 breakout (Turtle system 1) and Donchian 55 breakout (Turtle system 2) compare on S&P 500 futures (ES)?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Donchian 20 breakout (Turtle system 1) took 649 trades, won 46.2% of them and made -483.75 points (-$24,187 on one ES contract), before commission and slippage. On the ES 15-minute chart from 2024-08-28 to 2026-08-27, Donchian 55 breakout (Turtle system 2) took 522 trades, won 48.9% of them and made 290.00 points ($14,500 on one ES contract), before commission and slippage. The other timeframes they share on ES are in the table above.
How these were run
- Gross: no commission and no slippage.
- The last 2 years of each market, from the first to the last session of its window.
- A signal on a closed bar fills at the next bar’s open.
- A stop and a target touched in the same minute count as the stop.
- Intraday positions are flat at 15:59 ET.
- Textbook TradingView default settings for every indicator; nothing is tuned.
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