Strategy library · Trend and breakouts
Donchian 55 breakout backtest on NQ and ES futures
Donchian 55 breakout (Turtle system 2)
Also called: Turtle system 2, 55 bar breakout strategy, buy when price breaks above the prior 55-bar high, short when price breaks below the prior 55-bar low
What happens if you buy NQ every time price breaks above the prior 55-bar high?
What it is
The Donchian channel marks the highest high and lowest low of the last N bars, and the Turtle system 2 uses N = 55. This strategy goes long on a break above the 55-bar high and short below the 55-bar low, and exits on a break of the 20-bar low (long) or 20-bar high (short).
What it did
On NQ futures from 2024-10-08 to 2026-10-07, the Donchian 55 breakout strategy took 493 trades on the 15-minute chart, won 50.9% of them and finished 1,630.00 points ($32,600 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, the 269 long trades on the 15-minute chart won 52.4% and made 1,303.00 points ($26,060 on one NQ contract), before commission and slippage. On ES futures from 2024-08-28 to 2026-08-27, the Donchian 55 breakout strategy took 522 trades on the 15-minute chart, won 48.9% of them and finished 290.00 points ($14,500 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 55 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 55-bar high; short below the 55-bar low. Exit: Break of the 20-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 | 760 | 45.4% | 6.20 | 1.119 | 4,709.00 | $94,180 | 2,235.00 | 780 | 42.4% | 0.53 | 1.050 | 412.25 | $20,613 | 494.50 |
| 5 minute · longs only | 408 | 48.3% | — | — | 2,365.75 | $47,315 | 2,100.75 | 415 | 45.1% | — | — | 511.75 | $25,588 | 319.75 |
| 5 minute · shorts only | 352 | 42.1% | — | — | 2,343.25 | $46,865 | 1,942.00 | 365 | 39.5% | — | — | −99.50 | −$4,975 | 492.00 |
| 15 minute | 493 | 50.9% | 3.31 | 1.052 | 1,630.00 | $32,600 | 3,260.00 | 522 | 48.9% | 0.56 | 1.044 | 290.00 | $14,500 | 512.75 |
| 15 minute · longs only | 269 | 52.4% | — | — | 1,303.00 | $26,060 | 2,381.50 | 280 | 51.1% | — | — | 78.25 | $3,913 | 354.25 |
| 15 minute · shorts only | 224 | 49.1% | — | — | 327.00 | $6,540 | 2,222.25 | 242 | 46.3% | — | — | 211.75 | $10,588 | 374.00 |
| 1 hour | 203 | 50.7% | −3.85 | 0.935 | −782.25 | −$15,645 | 2,771.00 | 217 | 48.9% | −0.30 | 0.977 | −64.25 | −$3,212 | 563.25 |
| 1 hour · longs only | 127 | 53.5% | — | — | −681.25 | −$13,625 | 1,863.50 | 133 | 50.4% | — | — | −364.25 | −$18,212 | 541.50 |
| 1 hour · shorts only | 76 | 46.1% | — | — | −101.00 | −$2,020 | 2,142.25 | 84 | 46.4% | — | — | 300.00 | $15,000 | 302.25 |
| Daily | 9 | 44.4% | −174.67 | 0.770 | −1,572.00 | −$31,440 | 4,829.50 | 7 | 42.9% | −2.21 | 0.979 | −15.50 | −$775 | 665.50 |
| Daily · longs only | 6 | 50.0% | — | — | 1,253.25 | $25,065 | 3,039.00 | 5 | 60.0% | — | — | 431.50 | $21,575 | 250.25 |
| Daily · shorts only | 3 | 33.3% | — | — | −2,825.25 | −$56,505 | 3,501.25 | 2 | 0.0% | — | — | −447.00 | −$22,350 | 447.00 |
NQ Daily: small sample (9 trades). ES Daily: small sample (7 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 | 415 | 511.75 |
| Short | 365 | −99.50 |
By month
| Month | Trades | Net pts |
|---|---|---|
| 2024-08 | 5 | 4.75 |
| 2024-09 | 41 | −205.00 |
| 2024-10 | 33 | −19.25 |
| 2024-11 | 29 | 44.25 |
| 2024-12 | 34 | 133.75 |
| 2025-01 | 30 | 18.50 |
| 2025-02 | 33 | −52.00 |
| 2025-03 | 32 | 89.50 |
| 2025-04 | 29 | 478.25 |
| 2025-05 | 35 | −301.25 |
| 2025-06 | 35 | −127.75 |
| 2025-07 | 33 | 51.00 |
| 2025-08 | 32 | 49.00 |
| 2025-09 | 32 | −86.75 |
| 2025-10 | 31 | 307.00 |
| 2025-11 | 30 | 170.50 |
| 2025-12 | 34 | −2.00 |
| 2026-01 | 36 | −28.50 |
| 2026-02 | 28 | 9.50 |
| 2026-03 | 32 | 48.50 |
| 2026-04 | 25 | 189.75 |
| 2026-05 | 35 | −268.00 |
| 2026-06 | 33 | 111.75 |
| 2026-07 | 40 | −238.50 |
| 2026-08 | 23 | 35.25 |
Every trade, ES 5 minute780 trades
Pick any of the 780 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 (780), 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 |
|---|---|---|---|---|---|---|---|
| 2025-08-12 | long | 11:10 | 6445.00 | 15:59 | 6467.50 | end of day 15:59 | 22.50 |
| 2025-08-11 | short | 14:45 | 6397.75 | 15:59 | 6400.00 | end of day 15:59 | −2.25 |
| 2025-08-11 | long | 12:10 | 6429.25 | 13:40 | 6409.25 | broke 20 bar low | −20.00 |
| 2025-08-11 | short | 09:35 | 6412.00 | 12:10 | 6429.25 | exit and reverse | −17.25 |
| 2025-08-08 | long | 12:20 | 6414.75 | 15:40 | 6410.50 | broke 20 bar low | −4.25 |
| 2025-08-08 | long | 09:50 | 6395.25 | 11:40 | 6393.75 | broke 20 bar low | −1.50 |
| 2025-08-07 | short | 09:50 | 6401.50 | 15:45 | 6356.50 | broke 20 bar high | 45.00 |
| 2025-08-06 | long | 10:05 | 6347.75 | 15:59 | 6371.75 | end of day 15:59 | 24.00 |
| 2025-08-05 | short | 09:35 | 6358.50 | 12:35 | 6338.75 | broke 20 bar high | 19.75 |
| 2025-08-04 | long | 09:35 | 6315.50 | 15:59 | 6357.00 | end of day 15:59 | 41.50 |
| 2025-08-01 | short | 09:35 | 6290.75 | 12:05 | 6294.00 | broke 20 bar high | −3.25 |
| 2025-07-31 | short | 09:35 | 6443.25 | 15:59 | 6371.00 | end of day 15:59 | 72.25 |
| 2025-07-30 | short | 14:55 | 6398.00 | 15:59 | 6397.50 | end of day 15:59 | 0.50 |
| 2025-07-30 | long | 13:45 | 6421.50 | 14:50 | 6407.25 | broke 20 bar low | −14.25 |
| 2025-07-30 | short | 11:15 | 6404.00 | 13:45 | 6421.50 | exit and reverse | −17.50 |
| 2025-07-30 | long | 10:25 | 6418.25 | 11:15 | 6404.00 | exit and reverse | −14.25 |
| 2025-07-29 | short | 15:40 | 6396.50 | 15:59 | 6406.00 | end of day 15:59 | −9.50 |
| 2025-07-29 | short | 09:50 | 6430.25 | 13:05 | 6417.75 | broke 20 bar high | 12.50 |
| 2025-07-28 | short | 11:20 | 6420.50 | 15:59 | 6423.00 | end of day 15:59 | −2.50 |
| 2025-07-25 | long | 10:45 | 6414.00 | 15:59 | 6425.75 | end of day 15:59 | 11.75 |
| 2025-07-24 | long | 09:50 | 6408.50 | 12:30 | 6402.00 | broke 20 bar low | −6.50 |
| 2025-07-23 | long | 14:10 | 6386.25 | 15:59 | 6399.00 | end of day 15:59 | 12.75 |
| 2025-07-23 | short | 09:50 | 6359.75 | 11:55 | 6374.75 | broke 20 bar high | −15.00 |
| 2025-07-22 | long | 14:55 | 6352.25 | 15:59 | 6345.50 | end of day 15:59 | −6.75 |
| 2025-07-22 | short | 09:55 | 6322.25 | 13:20 | 6341.50 | broke 20 bar high | −19.25 |
| 2025-07-21 | short | 15:05 | 6359.00 | 15:59 | 6345.25 | end of day 15:59 | 13.75 |
| 2025-07-21 | long | 09:50 | 6359.50 | 12:25 | 6364.50 | broke 20 bar low | 5.00 |
| 2025-07-18 | short | 10:15 | 6339.25 | 15:59 | 6334.75 | end of day 15:59 | 4.50 |
| 2025-07-17 | long | 09:50 | 6320.25 | 15:59 | 6342.25 | end of day 15:59 | 22.00 |
| 2025-07-16 | long | 15:00 | 6305.00 | 15:59 | 6302.75 | end of day 15:59 | −2.25 |
| 2025-07-16 | short | 11:20 | 6263.75 | 13:05 | 6293.50 | broke 20 bar high | −29.75 |
| 2025-07-15 | short | 10:00 | 6319.00 | 15:59 | 6282.25 | end of day 15:59 | 36.75 |
| 2025-07-14 | long | 10:25 | 6298.00 | 15:59 | 6310.75 | end of day 15:59 | 12.75 |
| 2025-07-11 | long | 10:15 | 6299.25 | 15:59 | 6299.00 | end of day 15:59 | −0.25 |
| 2025-07-10 | long | 10:45 | 6314.50 | 15:59 | 6324.50 | end of day 15:59 | 10.00 |
| 2025-07-09 | long | 09:35 | 6303.25 | 10:55 | 6282.50 | broke 20 bar low | −20.75 |
| 2025-07-08 | long | 12:30 | 6286.50 | 15:59 | 6270.50 | end of day 15:59 | −16.00 |
| 2025-07-08 | short | 09:35 | 6273.25 | 12:25 | 6283.75 | broke 20 bar high | −10.50 |
| 2025-07-07 | short | 10:55 | 6291.00 | 15:59 | 6275.50 | end of day 15:59 | 15.50 |
| 2025-07-04 | long | 10:35 | 6292.00 | 12:45 | 6284.00 | broke 20 bar low | −8.00 |
| 2025-07-03 | long | 09:35 | 6302.00 | 13:14 | 6323.50 | early close | 21.50 |
| 2025-07-02 | long | 10:35 | 6260.25 | 15:59 | 6275.25 | end of day 15:59 | 15.00 |
| 2025-07-01 | long | 13:45 | 6255.75 | 15:05 | 6248.50 | broke 20 bar low | −7.25 |
| 2025-07-01 | long | 09:50 | 6244.75 | 11:15 | 6229.50 | broke 20 bar low | −15.25 |
| 2025-06-30 | long | 15:05 | 6246.25 | 15:59 | 6251.50 | end of day 15:59 | 5.25 |
| 2025-06-30 | short | 09:35 | 6240.50 | 15:00 | 6243.50 | broke 20 bar high | −3.00 |
| 2025-06-27 | short | 14:20 | 6205.75 | 15:59 | 6223.25 | end of day 15:59 | −17.50 |
| 2025-06-27 | long | 10:05 | 6226.25 | 13:25 | 6229.50 | broke 20 bar low | 3.25 |
| 2025-06-26 | long | 10:25 | 6173.25 | 15:59 | 6196.25 | end of day 15:59 | 23.00 |
| 2025-06-25 | short | 11:35 | 6142.50 | 15:15 | 6148.00 | broke 20 bar high | −5.50 |
Questions and answers
What happens if you buy NQ every time price breaks above the prior 55-bar high?
From 2024-10-08 to 2026-10-07 on the NQ 15-minute chart, the Donchian 55 breakout strategy took 269 long trades, won 52.4% of them and made 1,303.00 points ($26,060 on one NQ contract), before commission and slippage. From 2024-10-08 to 2026-10-07 on NQ, its long trades also made 2,365.75 points on 408 trades on the 5-minute chart, -681.25 points on 127 trades on the 1-hour chart and 1,253.25 points on 6 trades on the daily chart, before commission and slippage.
What happens if you short ES every time price breaks below the prior 55-bar low?
From 2024-08-28 to 2026-08-27 on the ES 15-minute chart, the Donchian 55 breakout strategy took 242 short trades, won 46.3% of them and made 211.75 points ($10,588 on one ES contract), before commission and slippage. From 2024-08-28 to 2026-08-27 on ES, its short trades also made -99.50 points on 365 trades on the 5-minute chart, 300.00 points on 84 trades on the 1-hour chart and -447.00 points on 2 trades on the daily chart, before commission and slippage.
Does the Donchian 55 breakout strategy work on Nasdaq futures?
On NQ futures from 2024-10-08 to 2026-10-07, the Donchian 55 breakout strategy on the 15-minute chart took 493 trades, won 50.9% of them and finished 1,630.00 points ($32,600 on one NQ contract), before commission and slippage.
What is the win rate of Donchian 55 breakout (Turtle system 2) on ES futures?
The Donchian 55 breakout strategy won 48.9% of its 522 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 42.4% of 780 trades on the 5-minute chart, 48.9% of 217 trades on the 1-hour chart and 42.9% of 7 trades on the daily chart, before commission and slippage.
Is the Donchian 55 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 55 breakout strategy made 4,709.00 points on 760 trades on the 5-minute chart, 1,630.00 points on 493 trades on the 15-minute chart, -782.25 points on 203 trades on the 1-hour chart and -1,572.00 points on 9 trades on the daily chart, before commission and slippage.
Is it better to only buy or only sell Donchian 55 breakout signals on NQ?
On the NQ 15-minute chart from 2024-10-08 to 2026-10-07, the long trades made 1,303.00 points on 269 trades (52.4% won) and the short trades made 327.00 points on 224 trades (49.1% won), before commission and slippage.
How many trades does the Donchian 55 breakout strategy take on NQ in two years?
The Donchian 55 breakout strategy took 493 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 760 on the 5-minute chart, 203 on the 1-hour chart and 9 on the daily chart, before commission and slippage.
What is the max drawdown of the Donchian 55 breakout strategy on NQ?
The Donchian 55 breakout strategy had a max drawdown of 3,260.00 points ($65,200 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 2,235.00 points on the 5-minute chart, 2,771.00 points on the 1-hour chart and 4,829.50 points on the daily chart, before commission and slippage.
How does the Donchian 55 breakout strategy do on ES compared with NQ?
On the ES 15-minute chart from 2024-08-28 to 2026-08-27, the Donchian 55 breakout strategy 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 NQ 15-minute chart from 2024-10-08 to 2026-10-07, the Donchian 55 breakout strategy took 493 trades, won 50.9% of them and made 1,630.00 points ($32,600 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.
Want your own rules tested the same way?