Strategy library · Popular combos
Donchian 20 breakout with an ADX filter backtest on NQ and ES futures
Donchian 20 breakout with ADX above 25
Also called: Donchian ADX strategy, Turtle breakout with ADX, 20 bar breakout and ADX, buy when price breaks above the prior 20-bar high while ADX 14 is above 25, short when price breaks below the prior 20-bar low while ADX 14 is above 25
What happens if you buy NQ every time price breaks above the prior 20-bar high while ADX 14 is above 25?
What it is
This is the Donchian 20 breakout taken only while the ADX(14) is above 25. It 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 with an ADX filter strategy took 409 trades on the 15-minute chart, won 45.7% of them and finished 728.25 points ($14,565 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 212 long trades on the 15-minute chart won 49.1% and made 482.25 points ($9,645 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the Donchian 20 breakout with an ADX filter strategy took 405 trades on the 15-minute chart, won 41.2% of them and finished -157.75 points (-$7,887 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 with an ADX filter 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: TR01 entries taken only while ADX(14) is above 25. Exit: Break of the 10-bar low / high.
| 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 | 777 | 39.8% | 2.14 | 1.060 | 1,662.00 | $33,240 | 2,043.75 | 808 | 37.5% | 0.12 | 1.017 | 94.50 | $4,725 | 435.25 |
| 5 minute · longs only | 380 | 41.3% | — | — | 950.25 | $19,005 | 1,526.00 | 380 | 41.1% | — | — | 409.25 | $20,463 | 202.25 |
| 5 minute · shorts only | 397 | 38.3% | — | — | 711.75 | $14,235 | 1,502.25 | 428 | 34.4% | — | — | −314.75 | −$15,737 | 593.50 |
| 15 minute | 409 | 45.7% | 1.78 | 1.031 | 728.25 | $14,565 | 2,526.50 | 405 | 41.2% | −0.39 | 0.966 | −157.75 | −$7,887 | 497.75 |
| 15 minute · longs only | 212 | 49.1% | — | — | 482.25 | $9,645 | 2,061.00 | 201 | 43.8% | — | — | −137.25 | −$6,862 | 329.00 |
| 15 minute · shorts only | 197 | 42.1% | — | — | 246.00 | $4,920 | 2,102.00 | 204 | 38.7% | — | — | −20.50 | −$1,025 | 427.75 |
| 1 hour | 188 | 45.2% | −11.42 | 0.825 | −2,147.50 | −$42,950 | 4,914.75 | 194 | 47.9% | −0.95 | 0.920 | −184.25 | −$9,212 | 583.75 |
| 1 hour · longs only | 103 | 40.8% | — | — | −3,000.50 | −$60,010 | 4,257.00 | 108 | 47.2% | — | — | −364.00 | −$18,200 | 439.00 |
| 1 hour · shorts only | 85 | 50.6% | — | — | 853.00 | $17,060 | 1,700.75 | 86 | 48.8% | — | — | 179.75 | $8,988 | 410.50 |
| Daily | 8 | 25.0% | −201.88 | 0.754 | −1,615.00 | −$32,300 | 3,950.25 | 9 | 33.3% | −0.44 | 0.996 | −4.00 | −$200 | 545.50 |
| Daily · longs only | 3 | 33.3% | — | — | 3,408.00 | $68,160 | 1,048.00 | 5 | 40.0% | — | — | 359.25 | $17,963 | 232.75 |
| Daily · shorts only | 5 | 20.0% | — | — | −5,023.00 | −$100,460 | 5,516.00 | 4 | 25.0% | — | — | −363.25 | −$18,162 | 363.25 |
NQ Daily: small sample (8 trades). ES Daily: small sample (9 trades).
Free to use with credit to CE Market Solutions (CC BY 4.0).
ES 5 minute: the equity line
Long and short
| Side | Trades | Net pts |
|---|---|---|
| Long | 380 | 409.25 |
| Short | 428 | −314.75 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 7 | 13.25 |
| 2024-09 | 36 | −8.00 |
| 2024-10 | 34 | 32.75 |
| 2024-11 | 35 | −32.50 |
| 2024-12 | 35 | 175.25 |
| 2025-01 | 34 | −227.25 |
| 2025-02 | 36 | −13.75 |
| 2025-03 | 36 | −141.00 |
| 2025-04 | 30 | 512.75 |
| 2025-05 | 33 | −62.25 |
| 2025-06 | 38 | −127.75 |
| 2025-07 | 28 | −12.50 |
| 2025-08 | 32 | −23.25 |
| 2025-09 | 40 | −127.25 |
| 2025-10 | 34 | 121.00 |
| 2025-11 | 34 | 77.00 |
| 2025-12 | 30 | 53.75 |
| 2026-01 | 26 | 12.25 |
| 2026-02 | 35 | −28.75 |
| 2026-03 | 35 | −125.00 |
| 2026-04 | 37 | −28.75 |
| 2026-05 | 26 | −92.25 |
| 2026-06 | 32 | 86.50 |
| 2026-07 | 41 | −32.75 |
| 2026-08 | 24 | 93.00 |
Every trade, ES 5 minute808 trades
Pick any of the 808 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 (808), 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 |
|---|---|---|---|---|---|---|---|
| 2025-02-24 | short | 09:50 | 6035.75 | 11:20 | 6019.25 | break 10bar high | 16.50 |
| 2025-02-21 | short | 12:40 | 6077.50 | 15:28 | 6036.50 | break 10bar high | 41.00 |
| 2025-02-21 | short | 09:50 | 6118.00 | 11:20 | 6104.00 | break 10bar high | 14.00 |
| 2025-02-20 | short | 09:55 | 6127.25 | 12:07 | 6117.00 | break 10bar high | 10.25 |
| 2025-02-19 | long | 14:55 | 6165.75 | 15:09 | 6159.50 | break 10bar low | −6.25 |
| 2025-02-19 | long | 11:15 | 6146.25 | 12:26 | 6144.50 | break 10bar low | −1.75 |
| 2025-02-18 | short | 09:45 | 6136.50 | 10:52 | 6137.50 | break 10bar high | −1.00 |
| 2025-02-17 | long | 11:20 | 6145.25 | 12:06 | 6143.75 | break 10bar low | −1.50 |
| 2025-02-17 | short | 09:35 | 6140.00 | 10:29 | 6140.50 | break 10bar high | −0.50 |
| 2025-02-14 | long | 10:10 | 6144.50 | 10:38 | 6135.50 | break 10bar low | −9.00 |
| 2025-02-13 | long | 15:20 | 6135.00 | 15:59 | 6135.25 | end of day 15:59 | 0.25 |
| 2025-02-13 | long | 10:40 | 6107.75 | 11:30 | 6104.50 | break 10bar low | −3.25 |
| 2025-02-12 | long | 12:55 | 6081.50 | 13:43 | 6070.25 | break 10bar low | −11.25 |
| 2025-02-12 | long | 10:25 | 6058.00 | 11:12 | 6049.25 | break 10bar low | −8.75 |
| 2025-02-11 | short | 12:10 | 6073.75 | 13:30 | 6081.50 | break 10bar high | −7.75 |
| 2025-02-11 | long | 10:30 | 6081.25 | 11:37 | 6084.00 | break 10bar low | 2.75 |
| 2025-02-10 | short | 12:15 | 6075.25 | 12:54 | 6085.50 | break 10bar high | −10.25 |
| 2025-02-10 | long | 10:50 | 6093.25 | 11:15 | 6084.75 | break 10bar low | −8.50 |
| 2025-02-10 | short | 09:40 | 6072.00 | 10:05 | 6083.50 | break 10bar high | −11.50 |
| 2025-02-07 | short | 14:15 | 6050.00 | 14:51 | 6056.75 | break 10bar high | −6.75 |
| 2025-02-07 | short | 10:15 | 6084.25 | 12:48 | 6067.75 | break 10bar high | 16.50 |
| 2025-02-07 | long | 09:45 | 6117.25 | 10:00 | 6106.75 | break 10bar low | −10.50 |
| 2025-02-05 | short | 10:05 | 6031.50 | 11:08 | 6054.25 | break 10bar high | −22.75 |
| 2025-02-05 | long | 09:40 | 6054.25 | 09:57 | 6043.25 | break 10bar low | −11.00 |
| 2025-02-04 | short | 12:30 | 6043.25 | 13:23 | 6056.00 | break 10bar high | −12.75 |
| 2025-02-04 | long | 10:05 | 6043.25 | 12:16 | 6053.50 | break 10bar low | 10.25 |
| 2025-02-03 | long | 10:45 | 6027.00 | 12:01 | 6014.75 | break 10bar low | −12.25 |
| 2025-01-31 | short | 13:35 | 6099.50 | 15:59 | 6064.75 | end of day 15:59 | 34.75 |
| 2025-01-30 | short | 15:40 | 6086.25 | 15:59 | 6099.25 | end of day 15:59 | −13.00 |
| 2025-01-30 | long | 14:15 | 6101.25 | 15:37 | 6098.00 | break 10bar low | −3.25 |
| 2025-01-29 | long | 15:30 | 6084.25 | 15:59 | 6068.25 | end of day 15:59 | −16.00 |
| 2025-01-29 | short | 13:05 | 6050.50 | 14:40 | 6072.00 | break 10bar high | −21.50 |
| 2025-01-29 | short | 11:40 | 6071.00 | 12:03 | 6079.75 | break 10bar high | −8.75 |
| 2025-01-29 | short | 09:45 | 6077.00 | 10:07 | 6090.50 | break 10bar high | −13.50 |
| 2025-01-28 | short | 09:50 | 6029.00 | 10:13 | 6059.50 | break 10bar high | −30.50 |
| 2025-01-27 | long | 10:30 | 6041.00 | 11:23 | 6021.00 | break 10bar low | −20.00 |
| 2025-01-24 | short | 14:00 | 6128.25 | 14:52 | 6132.50 | break 10bar high | −4.25 |
| 2025-01-24 | long | 09:40 | 6156.00 | 10:20 | 6147.75 | break 10bar low | −8.25 |
| 2025-01-23 | long | 09:45 | 6117.75 | 12:32 | 6125.00 | break 10bar low | 7.25 |
| 2025-01-22 | long | 09:55 | 6120.25 | 11:00 | 6121.75 | break 10bar low | 1.50 |
| 2025-01-20 | short | 10:45 | 6048.00 | 11:24 | 6061.50 | break 10bar high | −13.50 |
| 2025-01-20 | long | 09:35 | 6066.00 | 10:16 | 6061.00 | break 10bar low | −5.00 |
| 2025-01-17 | short | 15:05 | 6035.00 | 15:54 | 6043.50 | break 10bar high | −8.50 |
| 2025-01-17 | long | 10:55 | 6036.75 | 12:00 | 6037.25 | break 10bar low | 0.50 |
| 2025-01-16 | short | 10:05 | 5979.50 | 10:58 | 5992.25 | break 10bar high | −12.75 |
| 2025-01-15 | long | 14:35 | 5993.75 | 15:42 | 5992.00 | break 10bar low | −1.75 |
| 2025-01-15 | long | 09:50 | 5982.75 | 10:50 | 5973.50 | break 10bar low | −9.25 |
| 2025-01-14 | short | 15:05 | 5852.25 | 15:50 | 5870.25 | break 10bar high | −18.00 |
| 2025-01-14 | long | 13:50 | 5893.50 | 14:49 | 5889.00 | break 10bar low | −4.50 |
| 2025-01-14 | short | 11:45 | 5854.25 | 12:43 | 5860.25 | break 10bar high | −6.00 |
Questions and answers
What happens if you buy NQ every time price breaks above the prior 20-bar high while ADX 14 is above 25?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the Donchian 20 breakout with an ADX filter strategy took 212 long trades, won 49.1% of them and made 482.25 points ($9,645 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 950.25 points on 380 trades on the 5-minute chart, -3,000.50 points on 103 trades on the 1-hour chart and 3,408.00 points on 3 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 while ADX 14 is above 25?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the Donchian 20 breakout with an ADX filter strategy took 204 short trades, won 38.7% of them and made -20.50 points (-$1,025 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made -314.75 points on 428 trades on the 5-minute chart, 179.75 points on 86 trades on the 1-hour chart and -363.25 points on 4 trades on the daily chart, before commission and slippage.
Does the Donchian 20 breakout with an ADX filter strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the Donchian 20 breakout with an ADX filter strategy on the 15-minute chart took 409 trades, won 45.7% of them and finished 728.25 points ($14,565 on one NQ contract), before commission and slippage.
What is the win rate of Donchian 20 breakout with ADX above 25 on ES futures?
The Donchian 20 breakout with an ADX filter strategy won 41.2% of its 405 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 37.5% of 808 trades on the 5-minute chart, 47.9% of 194 trades on the 1-hour chart and 33.3% of 9 trades on the daily chart, before commission and slippage.
Is the Donchian 20 breakout with an ADX filter 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 with an ADX filter strategy made 1,662.00 points on 777 trades on the 5-minute chart, 728.25 points on 409 trades on the 15-minute chart, -2,147.50 points on 188 trades on the 1-hour chart and -1,615.00 points on 8 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell Donchian 20 breakout with an ADX filter signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 482.25 points on 212 trades (49.1% won) and the short trades made 246.00 points on 197 trades (42.1% won), before commission and slippage.
How many trades does the Donchian 20 breakout with an ADX filter strategy take on NQ in two years?
The Donchian 20 breakout with an ADX filter strategy took 409 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 777 on the 5-minute chart, 188 on the 1-hour chart and 8 on the daily chart, before commission and slippage.
What is the max drawdown of the Donchian 20 breakout with an ADX filter strategy on NQ?
The Donchian 20 breakout with an ADX filter strategy had a max drawdown of 2,526.50 points ($50,530 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 2,043.75 points on the 5-minute chart, 4,914.75 points on the 1-hour chart and 3,950.25 points on the daily chart, before commission and slippage.
How does the Donchian 20 breakout with an ADX filter 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 with an ADX filter strategy took 405 trades, won 41.2% of them and made -157.75 points (-$7,887 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 with an ADX filter strategy took 409 trades, won 45.7% of them and made 728.25 points ($14,565 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.
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