Strategy library · Trend and breakouts
Donchian 20 breakout backtest on NQ and ES futures
Donchian 20 breakout (Turtle system 1)
Also called: Turtle system 1, 20 bar breakout strategy, Donchian channel breakout, buy when price breaks above the prior 20-bar high, short when price breaks below the prior 20-bar low
What happens if you buy NQ every time price breaks above the prior 20-bar high?
What it is
The Donchian channel marks the highest high and lowest low of the last N bars, and the Turtle system 1 uses N = 20. This strategy goes long on a break above the prior 20-bar high and short on a break below the 20-bar low, and exits on a break of the 10-bar low (long) or 10-bar high (short).
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the Donchian 20 breakout strategy took 627 trades on the 15-minute chart, won 49.8% of them and finished 1,479.00 points ($29,580 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 340 long trades on the 15-minute chart won 52.9% and made 1,887.50 points ($37,750 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the Donchian 20 breakout strategy took 649 trades on the 15-minute chart, won 46.2% of them and finished -483.75 points (-$24,187 on one ES contract), before commission and slippage. The 5-minute, 1-hour and daily results for both markets are in the table on this page.
How it was tested
CE Market Solutions tested the Donchian 20 breakout strategy on NQ (2024-10-08 to 2026-10-07) and ES (2024-08-28 to 2026-08-27) futures, 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; the NQ trades are listed on this page and the ES trades under the ES tab.
See it tested with one change · $19
Tested by CE Market Solutions on 2026-10-26. The trades are listed below, one market at a time. Gross, no commission or slippage. Last 2 years.
Results
Rule as tested: Long on a break above the prior 20-bar high; short on a break below the 20-bar low. Exit: Break of the 10-bar low (long) / 10-bar high (short).
| Timeframe | NQ · 2024-10-08 to 2026-10-07 | ES · 2024-08-28 to 2026-08-27 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 NQ) | Max DD pts | Trades | Win % | Avg pts | Profit factor | Net pts | Net $ (1 ES) | Max DD pts | |
| 5 minute | 1339 | 42.3% | 3.03 | 1.075 | 4,056.50 | $81,130 | 3,605.50 | 1311 | 41.2% | 0.62 | 1.078 | 808.50 | $40,425 | 495.25 |
| 5 minute · longs only | 691 | 44.1% | — | — | 3,559.25 | $71,185 | 2,335.75 | 674 | 44.1% | — | — | 995.25 | $49,763 | 222.50 |
| 5 minute · shorts only | 648 | 40.3% | — | — | 497.25 | $9,945 | 2,053.50 | 637 | 38.2% | — | — | −186.75 | −$9,337 | 576.25 |
| 15 minute | 627 | 49.8% | 2.36 | 1.039 | 1,479.00 | $29,580 | 3,605.50 | 649 | 46.2% | −0.75 | 0.942 | −483.75 | −$24,187 | 1,055.00 |
| 15 minute · longs only | 340 | 52.9% | — | — | 1,887.50 | $37,750 | 2,795.00 | 343 | 49.3% | — | — | −66.25 | −$3,312 | 465.50 |
| 15 minute · shorts only | 287 | 46.0% | — | — | −408.50 | −$8,170 | 3,357.50 | 306 | 42.8% | — | — | −417.50 | −$20,875 | 894.00 |
| 1 hour | 343 | 51.0% | 2.95 | 1.054 | 1,012.75 | $20,255 | 3,641.00 | 379 | 49.9% | 0.16 | 1.013 | 59.25 | $2,963 | 497.00 |
| 1 hour · longs only | 204 | 53.9% | — | — | −824.50 | −$16,490 | 2,642.50 | 224 | 50.5% | — | — | −394.75 | −$19,737 | 506.50 |
| 1 hour · shorts only | 139 | 46.8% | — | — | 1,837.25 | $36,745 | 1,785.50 | 155 | 49.0% | — | — | 454.00 | $22,700 | 431.75 |
| Daily | 18 | 38.9% | −202.92 | 0.664 | −3,652.50 | −$73,050 | 6,349.00 | 17 | 35.3% | −42.31 | 0.587 | −719.25 | −$35,962 | 846.50 |
| Daily · longs only | 11 | 54.6% | — | — | 1,376.75 | $27,535 | 2,867.75 | 10 | 40.0% | — | — | 167.25 | $8,363 | 373.50 |
| Daily · shorts only | 7 | 14.3% | — | — | −5,029.25 | −$100,585 | 5,375.25 | 7 | 28.6% | — | — | −886.50 | −$44,325 | 886.50 |
NQ Daily: small sample (18 trades). ES Daily: small sample (17 trades).
Free to use with credit to CE Market Solutions (CC BY 4.0).
NQ 5 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 691 | 3,559.25 |
| Short | 648 | 497.25 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-10 | 41 | 417.00 |
| 2024-11 | 50 | 440.75 |
| 2024-12 | 57 | 781.75 |
| 2025-01 | 59 | −962.25 |
| 2025-02 | 62 | 509.00 |
| 2025-03 | 56 | 244.50 |
| 2025-04 | 55 | 1,900.00 |
| 2025-05 | 64 | −294.00 |
| 2025-06 | 53 | −523.50 |
| 2025-07 | 56 | −259.50 |
| 2025-08 | 54 | 188.75 |
| 2025-09 | 54 | −284.75 |
| 2025-10 | 54 | 932.25 |
| 2025-11 | 51 | 1,587.25 |
| 2025-12 | 52 | −544.50 |
| 2026-01 | 52 | 1,185.75 |
| 2026-02 | 52 | 548.00 |
| 2026-03 | 63 | −628.75 |
| 2026-04 | 57 | −264.75 |
| 2026-05 | 50 | 138.25 |
| 2026-06 | 61 | −1,193.50 |
| 2026-07 | 59 | 697.50 |
| 2026-08 | 63 | −1,173.75 |
| 2026-09 | 51 | 730.25 |
| 2026-10 | 13 | −115.25 |
Every trade, NQ 5 minute1339 trades
Pick any of the 1339 charted trades with Previous, Next or a date, or click a row in the trades table below, to see it drawn on the real 1-minute bars. Drag the chart sideways to move through the sessions around it.
Chart unavailable. The trades are in the table below.
All trades (1339), newest first
Times are New York time; points are gross. Click a row to draw that trade in the chart above.
| Session date | Side | Entry (ET) | Entry price | Exit (ET) | Exit price | Exit reason | Points |
|---|---|---|---|---|---|---|---|
| 2025-05-28 | long | 15:10 | 21504.50 | 15:59 | 21372.50 | end of day 15:59 | −132.00 |
| 2025-05-28 | short | 14:55 | 21434.00 | 15:10 | 21504.50 | exit and reverse | −70.50 |
| 2025-05-28 | long | 14:15 | 21495.75 | 14:55 | 21434.00 | exit and reverse | −61.75 |
| 2025-05-28 | short | 09:50 | 21483.25 | 14:15 | 21495.75 | exit and reverse | −12.50 |
| 2025-05-28 | long | 09:40 | 21556.25 | 09:50 | 21483.25 | exit and reverse | −73.00 |
| 2025-05-27 | short | 15:00 | 21442.50 | 15:59 | 21466.50 | end of day 15:59 | −24.00 |
| 2025-05-27 | long | 10:05 | 21333.00 | 14:45 | 21449.75 | broke 10 bar low | 116.75 |
| 2025-05-27 | short | 09:35 | 21234.75 | 10:05 | 21333.00 | exit and reverse | −98.25 |
| 2025-05-26 | long | 12:15 | 21282.75 | 12:59 | 21283.50 | early close | 0.75 |
| 2025-05-26 | short | 10:35 | 21247.50 | 11:30 | 21253.25 | broke 10 bar high | −5.75 |
| 2025-05-26 | long | 09:35 | 21299.75 | 10:35 | 21247.50 | exit and reverse | −52.25 |
| 2025-05-23 | long | 13:10 | 21024.75 | 15:59 | 20978.50 | end of day 15:59 | −46.25 |
| 2025-05-23 | long | 09:35 | 20908.00 | 11:00 | 20911.25 | broke 10 bar low | 3.25 |
| 2025-05-22 | short | 15:45 | 21260.25 | 15:59 | 21183.50 | end of day 15:59 | 76.75 |
| 2025-05-22 | long | 15:05 | 21321.00 | 15:45 | 21260.25 | exit and reverse | −60.75 |
| 2025-05-22 | long | 12:15 | 21300.75 | 12:50 | 21229.50 | broke 10 bar low | −71.25 |
| 2025-05-22 | long | 09:55 | 21236.75 | 10:55 | 21198.00 | broke 10 bar low | −38.75 |
| 2025-05-21 | short | 13:10 | 21471.50 | 15:59 | 21149.00 | end of day 15:59 | 322.50 |
| 2025-05-21 | long | 09:45 | 21364.25 | 13:05 | 21504.00 | broke 10 bar low | 139.75 |
| 2025-05-20 | short | 14:25 | 21388.75 | 15:35 | 21403.75 | broke 10 bar high | −15.00 |
| 2025-05-20 | long | 12:40 | 21458.25 | 13:35 | 21427.75 | broke 10 bar low | −30.50 |
| 2025-05-20 | short | 09:50 | 21375.25 | 10:40 | 21439.25 | broke 10 bar high | −64.00 |
| 2025-05-19 | long | 09:35 | 21247.75 | 14:15 | 21478.50 | broke 10 bar low | 230.75 |
| 2025-05-16 | long | 13:20 | 21460.75 | 15:40 | 21470.50 | broke 10 bar low | 9.75 |
| 2025-05-16 | short | 10:40 | 21376.00 | 11:35 | 21421.50 | broke 10 bar high | −45.50 |
| 2025-05-15 | short | 14:15 | 21420.75 | 15:59 | 21419.50 | end of day 15:59 | 1.25 |
| 2025-05-15 | long | 11:05 | 21361.75 | 14:00 | 21474.75 | broke 10 bar low | 113.00 |
| 2025-05-15 | long | 09:35 | 21333.00 | 09:50 | 21267.75 | broke 10 bar low | −65.25 |
| 2025-05-14 | long | 14:35 | 21391.00 | 15:59 | 21397.00 | end of day 15:59 | 6.00 |
| 2025-05-14 | short | 13:20 | 21333.50 | 14:35 | 21391.00 | exit and reverse | −57.50 |
| 2025-05-14 | long | 11:30 | 21373.75 | 13:05 | 21354.50 | broke 10 bar low | −19.25 |
| 2025-05-14 | short | 09:50 | 21309.50 | 11:30 | 21373.75 | exit and reverse | −64.25 |
| 2025-05-14 | long | 09:35 | 21395.50 | 09:50 | 21309.50 | exit and reverse | −86.00 |
| 2025-05-13 | long | 09:55 | 21109.75 | 14:00 | 21296.50 | broke 10 bar low | 186.75 |
| 2025-05-12 | long | 12:20 | 20817.00 | 15:59 | 20949.75 | end of day 15:59 | 132.75 |
| 2025-05-12 | short | 09:35 | 20805.75 | 12:15 | 20809.75 | broke 10 bar high | −4.00 |
| 2025-05-09 | long | 13:50 | 20147.75 | 15:59 | 20136.25 | end of day 15:59 | −11.50 |
| 2025-05-09 | short | 10:25 | 20179.25 | 13:45 | 20137.25 | broke 10 bar high | 42.00 |
| 2025-05-09 | long | 09:35 | 20261.00 | 10:25 | 20179.25 | exit and reverse | −81.75 |
| 2025-05-08 | short | 14:00 | 20250.00 | 14:35 | 20304.00 | broke 10 bar high | −54.00 |
| 2025-05-08 | long | 11:25 | 20150.50 | 13:35 | 20277.25 | broke 10 bar low | 126.75 |
| 2025-05-08 | short | 09:35 | 20113.00 | 11:25 | 20150.50 | exit and reverse | −37.50 |
| 2025-05-07 | long | 15:45 | 19984.25 | 15:59 | 19949.25 | end of day 15:59 | −35.00 |
| 2025-05-07 | short | 14:10 | 19703.75 | 15:00 | 19886.50 | broke 10 bar high | −182.75 |
| 2025-05-07 | long | 12:45 | 19869.25 | 13:55 | 19827.75 | broke 10 bar low | −41.50 |
| 2025-05-07 | short | 10:55 | 19847.50 | 12:45 | 19869.25 | exit and reverse | −21.75 |
| 2025-05-07 | long | 10:25 | 19963.25 | 10:55 | 19847.50 | exit and reverse | −115.75 |
| 2025-05-06 | long | 14:30 | 19929.50 | 15:59 | 19875.75 | end of day 15:59 | −53.75 |
| 2025-05-06 | short | 13:00 | 19864.75 | 14:25 | 19918.00 | broke 10 bar high | −53.25 |
| 2025-05-06 | long | 10:20 | 19867.75 | 13:00 | 19864.75 | exit and reverse | −3.00 |
Questions and answers
What happens if you buy NQ every time price breaks above the prior 20-bar high?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the Donchian 20 breakout strategy took 340 long trades, won 52.9% of them and made 1,887.50 points ($37,750 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 3,559.25 points on 691 trades on the 5-minute chart, -824.50 points on 204 trades on the 1-hour chart and 1,376.75 points on 11 trades on the daily chart, before commission and slippage.
What happens if you short ES every time price breaks below the prior 20-bar low?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the Donchian 20 breakout strategy took 306 short trades, won 42.8% of them and made -417.50 points (-$20,875 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made -186.75 points on 637 trades on the 5-minute chart, 454.00 points on 155 trades on the 1-hour chart and -886.50 points on 7 trades on the daily chart, before commission and slippage.
Does the Donchian 20 breakout strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the Donchian 20 breakout strategy on the 15-minute chart took 627 trades, won 49.8% of them and finished 1,479.00 points ($29,580 on one NQ contract), before commission and slippage.
What is the win rate of Donchian 20 breakout (Turtle system 1) on ES futures?
The Donchian 20 breakout strategy won 46.2% of its 649 trades on the ES 15-minute chart from 2024-08-28 to 2026-08-27, before commission and slippage. On ES from 2024-08-28 to 2026-08-27 it also won 41.2% of 1,311 trades on the 5-minute chart, 49.9% of 379 trades on the 1-hour chart and 35.3% of 17 trades on the daily chart, before commission and slippage.
Is the Donchian 20 breakout strategy better on the 5-minute, 15-minute, 1-hour or daily chart for NQ?
On NQ from 2024-10-08 to 2026-10-07, the Donchian 20 breakout strategy made 4,056.50 points on 1,339 trades on the 5-minute chart, 1,479.00 points on 627 trades on the 15-minute chart, 1,012.75 points on 343 trades on the 1-hour chart and -3,652.50 points on 18 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell Donchian 20 breakout signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 1,887.50 points on 340 trades (52.9% won) and the short trades made -408.50 points on 287 trades (46.0% won), before commission and slippage.
How many trades does the Donchian 20 breakout strategy take on NQ in two years?
The Donchian 20 breakout strategy took 627 trades on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 it also took 1,339 on the 5-minute chart, 343 on the 1-hour chart and 18 on the daily chart, before commission and slippage.
What is the max drawdown of the Donchian 20 breakout strategy on NQ?
The Donchian 20 breakout strategy had a max drawdown of 3,605.50 points ($72,110 on one NQ contract) on the NQ 15-minute chart from 2024-10-08 to 2026-10-07, before commission and slippage. On NQ from 2024-10-08 to 2026-10-07 its max drawdown was also 3,605.50 points on the 5-minute chart, 3,641.00 points on the 1-hour chart and 6,349.00 points on the daily chart, before commission and slippage.
How does the Donchian 20 breakout strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the Donchian 20 breakout strategy 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 NQ 15-minute chart from 2024-10-08 to 2026-10-07, the Donchian 20 breakout strategy took 627 trades, won 49.8% of them and made 1,479.00 points ($29,580 on one NQ contract), before commission and slippage.
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.