A sample report
A real backtest, not a mock-up: Carson’s own research into a rule set published in 1983, not a customer’s strategy. It is a sample and it is one run - it does not settle anything about the rules it tests, and nothing on this page says whether they are worth trading.
The run
A $100,000 account following the 1983 Turtle rules on MNQ over 13.6 years ended at $53,642. Its deepest fall from a previous high was −81.59%, and at its most exposed it had 73.4% of the account riding on positions that were still open.
Terminal equity
$53,642
on $100,000, −4.47%/yr
Max drawdown
−81.59%
−$99,319 from peak equity
Trades
202
132 on the 20-day breakout, 70 on the 55-day breakout
Peak open risk
73.4%
both entry rules combined
The account’s highest point on this path was $121,730 and its lowest was $22,410; every point between those two is below the first of them, which is what the drawdown chart on Charts draws.
All four figures above are properties of a path that happened, so none of them carries an interval — see “What this run cannot tell you” below for what that means and why.
Two figures a report of this kind usually carries are absent rather than zero: profit factor and Sharpe were not computed by this run. The columns for them are empty, not filled with a number nobody calculated.
Why this is on the micro contract
Each unit — one position-sized block of contracts, added to as a trade moves in its favour, up to four per market — is sized by a formula: Unit = 0.01 × E / (N × $/point), where E is the account’s current equity and N is Wilder’s 20-day average true range, the system’s own measure of how much the market typically moves in a day. The formula has a floor built into it: a position cannot be smaller than one contract. Below the capital it needs, the floor overrides the formula and position size becomes whatever one contract happens to be.
On the full-size NQ contract that floor is above $100,000 in 12 of the 14 years in this window — $134,569 in 2016, $1,053,177 by 2026 — so a $100,000 account clears it in 2 years and in none after 2014. On MNQ the same account clears it in 13 of 14, and the rule sizes as written.
The same 202 trades, sized on each contract
| Contract | $ / point | Years account is above the floor | Fills the floor bound | Terminal equity | Max drawdown |
|---|---|---|---|---|---|
| MNQ | $2 | 13 of 14 | 22.5% | $53,642 | −81.59% |
| NQ | $20 | 2 of 14 | 87.2% | −$88,345 | −323.06% |
On NQ at this account size the one-contract floor binds on 87.2% of fills and the sizing formula never executes, which is why the same trade list produces two such different columns. What that run measures is the behaviour of the floor. What the MNQ run measures is the behaviour of the rules.
Peak open risk on NQ reads 16,494.9% of equity. A near-zero-equity reading, not a leverage reading. On 2023-11-20 the combined account had fallen to $365, and the two open positions — three one-contract units each, every one of them forced by the min-one-contract floor — carried about $60,206 of 2N risk between them. The percentage is the denominator, not the exposure. The comparable reading is 73.4% on MNQ, whose account never approaches zero on this window.
Section 1
Figures
The combined account, each entry rule on its own, and what the pyramid actually filled.
The two entry rules on one account, each also funded with $100,000 of its own
| Account | Trades | Terminal equity | Max drawdown |
|---|---|---|---|
| Both entry rules, one account | 202 | $53,642 | −81.59% |
| The 20-day breakout, alone | 132 | $60,735 | −65.54% |
| The 55-day breakout, alone | 70 | $109,115 | −41.20% |
The three rows are not addable and the first is not the sum of the other two. Under this sizing every fill is sized off the equity standing at that moment, so the two entry rules sharing one account change each other’s position sizes, and their drawdowns overlap: both held a position at the same time for 37.6% of the whole window and for 60.8% of the time either of them was in the market. Running them together is how the rules were traded, and it is what the first row measures. The two standalone rows come from the same engine over the same entries and are reported so the difference is visible rather than asserted.
What the pyramid filled
Fills
631
across 202 trades
Mean units
3.12
of 4; 114 trades reached all four
Mean contracts
11.5
per trade, summed over its units
Fills the floor bound
22.5%
sized at one contract because the formula asked for less
Win rate
27.2%
a trade whose dollar result is above zero
Mean result
−$229
per trade; −$46,358 over all 202
The headline figures on this page are the rule sized off current equity, without a cut after a loss. This run also measured what applying that cut would have changed.
How sizing off a loss-adjusted basis compares
Sizing every fill off current equity, against sizing it off a basis the rules cut back after a loss
| Contract | Account | Current equity | Banded basis | Max drawdown, each |
|---|---|---|---|---|
| MNQ | $100,000 | $53,642 | $62,478 | −81.59% / −74.03% |
| MNQ | $1,000,000 | $461,772 | $544,680 | −70.01% / −61.33% |
| NQ | $100,000 | −$88,345 | −$88,345 † identical to the cell beside it | −323.06% / −323.06% |
| NQ | $1,000,000 | $536,420 | $624,780 | −81.59% / −74.03% |
The 1983 rules cut unit size after a loss. The second column applies that cut to the basis every fill is sized from; the first does not. A dagger marks the one cell where the two produce the same terminal equity to the cent, and the reason is arithmetic rather than coincidence: on NQ at $100,000 the one-contract floor was already binding on 87.2% of fills, and a haircut applied to a basis that already rounds down to one contract cannot produce a smaller position. There is no floor below the floor.
Section 2
Trades
All 202, in the order the shared account closed them, which is the order their profit and loss landed on the one equity curve.
| # | Entry rule | Side | Entry | Exit | Units | Qty | Reason | Result, $ |
|---|---|---|---|---|---|---|---|---|
| 1 | 20-day breakout | Long | 2013-02-20 18:59 | 2013-02-21 09:50 | 1 | 15 | stop | −$1,890 |
| 2 | 20-day breakout | Long | 2013-03-10 18:00 | 2013-04-05 08:30 | 3 | 40 | stop | −$3,957 |
| 3 | 20-day breakout | Short | 2013-04-18 14:09 | 2013-04-23 08:27 | 1 | 11 | stop | −$1,760 |
| 4 | 20-day breakout | Long | 2013-04-29 10:20 | 2013-06-03 11:13 | 4 | 44 | trail | $6,331 |
| 5 | 55-day breakout | Long | 2013-04-29 10:20 | 2013-06-05 12:48 | 4 | 44 | trail | $4,219 |
| 6 | 20-day breakout | Short | 2013-06-05 12:48 | 2013-06-10 04:07 | 2 | 26 | stop | −$3,471 |
| 7 | 20-day breakout | Long | 2013-07-11 14:20 | 2013-08-15 09:30 | 4 | 48 | trail | $742 |
| 8 | 55-day breakout | Long | 2013-07-11 14:20 | 2013-08-27 15:33 | 4 | 48 | trail | −$2,450 |
| 9 | 20-day breakout | Long | 2013-09-06 13:51 | 2013-10-08 10:50 | 4 | 53 | trail | $859 |
| 10 | 55-day breakout | Long | 2013-09-06 13:50 | 2013-10-08 19:59 | 4 | 53 | trail | −$2,745 |
| 11 | 20-day breakout | Short | 2013-10-09 09:40 | 2013-10-10 15:03 | 2 | 24 | stop | −$3,144 |
| 12 | 20-day breakout | Long | 2013-10-14 18:00 | 2013-11-07 18:00 | 4 | 44 | trail | $3,339 |
| 13 | 20-day breakout | Long | 2013-11-14 02:47 | 2014-01-27 12:05 | 4 | 47 | trail | $6,178 |
| 14 | 55-day breakout | Long | 2013-10-14 16:00 | 2014-02-03 13:46 | 4 | 44 | trail | $13,343 |
| 15 | 20-day breakout | Short | 2014-02-03 13:46 | 2014-02-07 17:34 | 1 | 11 | stop | −$2,150 |
| 16 | 20-day breakout | Long | 2014-02-11 18:18 | 2014-03-13 15:19 | 4 | 41 | trail | −$1,409 |
| 17 | 55-day breakout | Long | 2014-02-11 18:00 | 2014-03-24 10:50 | 4 | 41 | trail | −$4,710 |
| 18 | 20-day breakout | Short | 2014-03-24 10:50 | 2014-04-23 19:59 | 4 | 37 | trail | −$3,679 |
| 19 | 20-day breakout | Long | 2014-05-29 15:00 | 2014-08-01 06:22 | 4 | 43 | trail | $8,149 |
| 20 | 55-day breakout | Long | 2014-05-29 15:00 | 2014-08-07 21:39 | 4 | 43 | trail | $7,010 |
| 21 | 20-day breakout | Long | 2014-08-15 10:06 | 2014-09-14 18:00 | 4 | 54 | trail | $2,930 |
| 22 | 20-day breakout | Long | 2014-09-18 21:12 | 2014-09-26 07:22 | 1 | 16 | stop | −$2,432 |
| 23 | 55-day breakout | Long | 2014-08-15 09:54 | 2014-09-29 08:57 | 4 | 54 | trail | −$1,471 |
| 24 | 20-day breakout | Short | 2014-09-29 08:57 | 2014-10-03 10:09 | 4 | 57 | stop | −$5,981 |
| 25 | 55-day breakout | Short | 2014-10-13 10:34 | 2014-10-20 14:06 | 4 | 37 | stop | −$5,106 |
| 26 | 20-day breakout | Long | 2014-10-28 15:31 | 2014-12-12 04:13 | 4 | 25 | trail | $3,695 |
| 27 | 55-day breakout | Long | 2014-10-31 01:01 | 2014-12-16 18:59 | 3 | 17 | trail | −$1,619 |
| 28 | 20-day breakout | Short | 2015-01-15 15:56 | 2015-01-21 10:49 | 2 | 15 | stop | −$3,648 |
| 29 | 20-day breakout | Long | 2015-02-12 21:25 | 2015-03-10 18:00 | 4 | 29 | trail | −$1,403 |
| 30 | 55-day breakout | Long | 2015-02-12 18:59 | 2015-03-11 09:38 | 4 | 29 | stop | −$4,347 |
| 31 | 20-day breakout | Short | 2015-03-26 05:01 | 2015-04-09 18:00 | 1 | 8 | stop | −$1,868 |
| 32 | 20-day breakout | Long | 2015-04-23 14:07 | 2015-04-30 12:55 | 3 | 24 | stop | −$4,024 |
| 33 | 55-day breakout | Long | 2015-04-23 14:07 | 2015-04-30 12:55 | 3 | 24 | stop | −$4,024 |
| 34 | 20-day breakout | Long | 2015-06-22 04:28 | 2015-06-28 18:00 | 1 | 8 | stop | −$1,764 |
| 35 | 55-day breakout | Long | 2015-06-22 04:28 | 2015-06-28 18:00 | 1 | 8 | stop | −$1,764 |
| 36 | 20-day breakout | Short | 2015-06-29 15:08 | 2015-07-13 09:43 | 2 | 16 | stop | −$3,000 |
| 37 | 20-day breakout | Long | 2015-07-16 04:34 | 2015-07-27 09:21 | 4 | 24 | stop | −$3,714 |
| 38 | 55-day breakout | Long | 2015-07-16 04:34 | 2015-07-27 09:21 | 4 | 24 | stop | −$3,714 |
| 39 | 20-day breakout | Short | 2015-08-11 21:27 | 2015-09-09 01:27 | 4 | 22 | trail | $3,904 |
| 40 | 55-day breakout | Short | 2015-08-20 22:35 | 2015-09-09 03:26 | 4 | 20 | stop | −$3,285 |
| 41 | 20-day breakout | Long | 2015-10-23 07:15 | 2015-11-15 18:00 | 4 | 13 | trail | −$4,024 |
| 42 | 20-day breakout | Long | 2015-12-02 01:45 | 2015-12-03 14:29 | 1 | 5 | stop | −$1,365 |
| 43 | 55-day breakout | Long | 2015-10-23 07:15 | 2016-01-04 09:31 | 4 | 13 | trail | −$4,291 |
| 44 | 20-day breakout | Short | 2016-01-04 09:31 | 2016-01-29 16:04 | 4 | 16 | trail | $4,700 |
| 45 | 20-day breakout | Short | 2016-02-08 04:26 | 2016-02-15 22:59 | 3 | 9 | stop | −$3,064 |
| 46 | 55-day breakout | Short | 2016-01-07 18:12 | 2016-03-01 11:40 | 4 | 12 | trail | −$1,782 |
| 47 | 20-day breakout | Long | 2016-03-01 11:40 | 2016-04-26 16:32 | 4 | 13 | trail | $1,618 |
| 48 | 55-day breakout | Long | 2016-03-29 13:21 | 2016-04-26 16:55 | 4 | 16 | stop | −$2,704 |
| 49 | 20-day breakout | Short | 2016-04-26 18:00 | 2016-05-24 09:54 | 4 | 18 | trail | −$1,506 |
| 50 | 20-day breakout | Short | 2016-06-23 23:48 | 2016-06-24 09:43 | 2 | 10 | stop | −$1,892 |
| 51 | 55-day breakout | Short | 2016-06-23 23:48 | 2016-06-24 09:43 | 2 | 10 | stop | −$1,892 |
| 52 | 20-day breakout | Long | 2016-07-10 22:42 | 2016-08-25 09:34 | 4 | 17 | trail | $6,131 |
| 53 | 20-day breakout | Long | 2016-09-07 04:47 | 2016-09-09 10:38 | 1 | 8 | stop | −$1,292 |
| 54 | 55-day breakout | Long | 2016-07-10 22:42 | 2016-09-09 10:48 | 4 | 17 | trail | $5,409 |
| 55 | 20-day breakout | Short | 2016-09-09 10:48 | 2016-09-12 15:41 | 4 | 32 | stop | −$3,176 |
| 56 | 20-day breakout | Long | 2016-09-19 02:04 | 2016-10-11 14:18 | 3 | 18 | trail | −$2,250 |
| 57 | 55-day breakout | Long | 2016-09-19 02:04 | 2016-10-12 22:13 | 3 | 18 | stop | −$2,808 |
| 58 | 20-day breakout | Long | 2016-10-24 15:52 | 2016-10-28 03:00 | 1 | 6 | stop | −$1,188 |
| 59 | 20-day breakout | Short | 2016-11-01 13:16 | 2016-11-08 11:15 | 4 | 20 | stop | −$2,705 |
| 60 | 55-day breakout | Short | 2016-11-08 22:07 | 2016-11-09 03:11 | 3 | 15 | stop | −$2,580 |
| 61 | 20-day breakout | Long | 2016-11-29 11:33 | 2016-12-01 09:55 | 1 | 4 | trail | −$856 |
| 62 | 20-day breakout | Long | 2016-12-13 09:42 | 2016-12-29 11:52 | 3 | 12 | trail | −$1,116 |
| 63 | 55-day breakout | Long | 2016-12-13 09:42 | 2016-12-30 10:23 | 3 | 12 | stop | −$1,890 |
| 64 | 20-day breakout | Long | 2017-01-06 11:42 | 2017-03-21 13:59 | 4 | 17 | trail | $10,033 |
| 65 | 20-day breakout | Long | 2017-03-29 20:06 | 2017-04-11 10:22 | 2 | 14 | stop | −$2,061 |
| 66 | 20-day breakout | Long | 2017-04-23 18:01 | 2017-05-17 14:39 | 4 | 24 | trail | $4,239 |
| 67 | 20-day breakout | Long | 2017-05-24 15:32 | 2017-06-09 13:57 | 4 | 24 | trail | $39 |
| 68 | 20-day breakout | Short | 2017-06-28 04:19 | 2017-06-28 18:06 | 1 | 4 | stop | −$1,052 |
| 69 | 20-day breakout | Short | 2017-06-29 12:57 | 2017-07-12 08:31 | 2 | 8 | stop | −$2,090 |
| 70 | 20-day breakout | Long | 2017-07-19 09:36 | 2017-07-27 13:39 | 3 | 12 | stop | −$2,154 |
| 71 | 55-day breakout | Long | 2017-07-19 09:36 | 2017-07-27 13:39 | 3 | 12 | stop | −$2,154 |
| 72 | 20-day breakout | Short | 2017-08-10 16:30 | 2017-08-14 10:44 | 1 | 4 | stop | −$1,016 |
| 73 | 20-day breakout | Short | 2017-08-21 10:21 | 2017-08-30 10:49 | 1 | 3 | stop | −$846 |
| 74 | 20-day breakout | Long | 2017-08-31 15:43 | 2017-09-21 21:24 | 1 | 3 | trail | −$531 |
| 75 | 55-day breakout | Long | 2017-08-31 15:43 | 2017-09-25 10:56 | 1 | 3 | stop | −$846 |
| 76 | 20-day breakout | Long | 2017-10-05 08:26 | 2017-10-25 11:03 | 4 | 17 | trail | −$740 |
| 77 | 20-day breakout | Long | 2017-10-27 08:45 | 2017-12-01 11:28 | 4 | 20 | trail | $4,470 |
| 78 | 20-day breakout | Long | 2017-12-15 11:04 | 2017-12-29 15:50 | 4 | 16 | stop | −$2,544 |
| 79 | 20-day breakout | Long | 2018-01-03 09:40 | 2018-02-02 14:25 | 4 | 16 | trail | $6,626 |
| 80 | 55-day breakout | Long | 2017-10-05 08:26 | 2018-02-05 14:57 | 4 | 17 | trail | $18,249 |
| 81 | 20-day breakout | Short | 2018-02-05 14:57 | 2018-02-06 15:37 | 4 | 16 | stop | −$3,196 |
| 82 | 55-day breakout | Short | 2018-02-09 12:08 | 2018-02-09 15:48 | 2 | 4 | stop | −$1,779 |
| 83 | 55-day breakout | Long | 2018-03-09 10:36 | 2018-03-19 04:27 | 3 | 6 | stop | −$2,287 |
| 84 | 20-day breakout | Long | 2018-03-09 08:32 | 2018-03-19 11:01 | 3 | 6 | stop | −$2,376 |
| 85 | 20-day breakout | Short | 2018-03-22 18:28 | 2018-03-26 20:09 | 3 | 6 | stop | −$2,301 |
| 86 | 20-day breakout | Long | 2018-06-03 20:18 | 2018-06-25 06:26 | 4 | 12 | trail | −$1,026 |
| 87 | 55-day breakout | Long | 2018-06-03 20:18 | 2018-06-25 10:58 | 4 | 12 | stop | −$2,790 |
| 88 | 20-day breakout | Long | 2018-07-12 11:58 | 2018-07-27 12:36 | 4 | 12 | stop | −$2,916 |
| 89 | 55-day breakout | Long | 2018-07-12 11:57 | 2018-07-27 12:36 | 4 | 12 | stop | −$2,916 |
| 90 | 20-day breakout | Long | 2018-08-27 05:25 | 2018-09-06 09:41 | 4 | 12 | stop | −$2,592 |
| 91 | 20-day breakout | Long | 2018-10-01 09:47 | 2018-10-04 10:33 | 1 | 2 | stop | −$739 |
| 92 | 55-day breakout | Short | 2018-10-10 14:09 | 2018-10-16 13:00 | 4 | 8 | stop | −$2,074 |
| 93 | 20-day breakout | Short | 2018-10-05 11:18 | 2018-11-07 11:58 | 4 | 8 | trail | $2,781 |
| 94 | 20-day breakout | Short | 2018-11-20 06:31 | 2018-11-28 12:32 | 2 | 2 | stop | −$1,294 |
| 95 | 20-day breakout | Short | 2018-12-17 15:23 | 2019-01-06 19:03 | 4 | 4 | trail | −$957 |
| 96 | 20-day breakout | Long | 2019-01-15 18:16 | 2019-03-07 15:02 | 4 | 4 | trail | $1,494 |
| 97 | 20-day breakout | Long | 2019-03-12 10:53 | 2019-05-05 21:09 | 4 | 8 | trail | $5,631 |
| 98 | 55-day breakout | Long | 2019-02-20 22:39 | 2019-05-09 02:52 | 4 | 8 | trail | $5,715 |
| 99 | 20-day breakout | Short | 2019-05-29 11:43 | 2019-06-05 06:14 | 4 | 8 | stop | −$2,350 |
| 100 | 55-day breakout | Short | 2019-05-29 11:43 | 2019-06-05 06:14 | 4 | 8 | stop | −$2,350 |
| 101 | 20-day breakout | Long | 2019-07-04 18:02 | 2019-07-31 14:52 | 3 | 6 | trail | −$1,738 |
| 102 | 55-day breakout | Long | 2019-07-04 18:02 | 2019-07-31 14:53 | 3 | 6 | stop | −$1,822 |
| 103 | 20-day breakout | Long | 2019-10-25 10:50 | 2019-12-03 08:27 | 4 | 8 | trail | $2,089 |
| 104 | 20-day breakout | Long | 2019-12-12 09:40 | 2020-01-07 19:38 | 4 | 12 | trail | $3,267 |
| 105 | 20-day breakout | Long | 2020-01-08 11:38 | 2020-01-27 05:19 | 4 | 12 | trail | $39 |
| 106 | 20-day breakout | Long | 2020-02-04 10:38 | 2020-02-23 18:09 | 4 | 8 | trail | −$807 |
| 107 | 55-day breakout | Long | 2019-10-25 10:50 | 2020-02-25 11:18 | 4 | 8 | trail | $13,217 |
| 108 | 20-day breakout | Short | 2020-02-27 18:01 | 2020-02-28 16:02 | 3 | 6 | stop | −$3,381 |
| 109 | 55-day breakout | Short | 2020-02-27 18:01 | 2020-02-28 16:02 | 3 | 6 | stop | −$3,381 |
| 110 | 55-day breakout | Short | 2020-03-08 18:48 | 2020-04-09 09:44 | 4 | 4 | trail | −$3,214 |
| 111 | 20-day breakout | Long | 2020-05-18 13:17 | 2020-06-15 01:41 | 4 | 4 | trail | −$895 |
| 112 | 20-day breakout | Long | 2020-06-22 18:50 | 2020-06-29 09:40 | 2 | 2 | stop | −$1,744 |
| 113 | 20-day breakout | Long | 2020-08-03 10:02 | 2020-09-04 10:19 | 4 | 4 | trail | $1,272 |
| 114 | 55-day breakout | Long | 2020-05-18 13:17 | 2020-09-17 09:11 | 4 | 4 | trail | $11,081 |
| 115 | 20-day breakout | Long | 2020-12-01 10:02 | 2021-02-22 02:09 | 4 | 4 | trail | $6,987 |
| 116 | 55-day breakout | Long | 2020-12-01 10:02 | 2021-02-25 19:17 | 4 | 4 | trail | $1,061 |
| 117 | 20-day breakout | Short | 2021-02-25 19:17 | 2021-03-01 14:45 | 1 | 1 | stop | −$1,089 |
| 118 | 20-day breakout | Short | 2021-03-03 18:16 | 2021-03-09 13:09 | 4 | 4 | stop | −$3,137 |
| 119 | 55-day breakout | Short | 2021-03-04 13:15 | 2021-03-10 08:35 | 2 | 2 | stop | −$2,165 |
| 120 | 20-day breakout | Long | 2021-04-13 09:01 | 2021-05-04 07:40 | 2 | 2 | trail | −$1,025 |
| 121 | 55-day breakout | Long | 2021-04-13 09:01 | 2021-05-04 10:06 | 2 | 2 | trail | −$1,777 |
| 122 | 20-day breakout | Short | 2021-05-04 10:06 | 2021-05-24 11:17 | 4 | 4 | stop | −$2,480 |
| 123 | 20-day breakout | Long | 2021-06-14 13:42 | 2021-07-19 07:32 | 4 | 4 | trail | $2,626 |
| 124 | 20-day breakout | Long | 2021-07-22 20:51 | 2021-08-18 15:48 | 2 | 2 | trail | −$585 |
| 125 | 55-day breakout | Long | 2021-06-14 13:42 | 2021-08-19 02:24 | 4 | 4 | trail | $4,496 |
| 126 | 20-day breakout | Long | 2021-08-23 09:38 | 2021-09-13 01:10 | 4 | 8 | trail | $1,712 |
| 127 | 55-day breakout | Long | 2021-08-23 09:37 | 2021-09-20 07:34 | 4 | 8 | stop | −$3,328 |
| 128 | 20-day breakout | Short | 2021-09-20 08:15 | 2021-09-21 04:40 | 4 | 8 | stop | −$3,434 |
| 129 | 55-day breakout | Short | 2021-10-04 10:38 | 2021-10-06 22:10 | 1 | 1 | stop | −$860 |
| 130 | 20-day breakout | Long | 2021-10-26 10:53 | 2021-11-26 12:54 | 4 | 4 | trail | $1,098 |
| 131 | 55-day breakout | Long | 2021-10-26 10:53 | 2021-12-01 15:58 | 4 | 4 | trail | $256 |
| 132 | 20-day breakout | Short | 2021-12-20 02:28 | 2021-12-22 18:00 | 1 | 1 | stop | −$1,291 |
| 133 | 20-day breakout | Short | 2022-01-10 07:15 | 2022-01-11 11:40 | 3 | 3 | stop | −$2,760 |
| 134 | 55-day breakout | Short | 2022-01-10 09:55 | 2022-01-12 00:59 | 1 | 1 | stop | −$1,227 |
| 135 | 55-day breakout | Short | 2022-01-18 21:41 | 2022-03-18 15:25 | 4 | 4 | trail | $4,149 |
| 136 | 20-day breakout | Long | 2022-03-18 15:25 | 2022-04-06 12:21 | 4 | 4 | trail | −$2,455 |
| 137 | 20-day breakout | Short | 2022-04-26 16:05 | 2022-05-27 11:49 | 4 | 4 | trail | $253 |
| 138 | 55-day breakout | Short | 2022-04-26 16:05 | 2022-06-02 18:07 | 4 | 4 | trail | −$2,425 |
| 139 | 20-day breakout | Short | 2022-06-13 04:16 | 2022-06-24 09:41 | 3 | 3 | stop | −$3,846 |
| 140 | 55-day breakout | Short | 2022-06-13 04:15 | 2022-06-24 09:41 | 3 | 3 | stop | −$3,846 |
| 141 | 20-day breakout | Long | 2022-07-29 15:03 | 2022-08-22 10:34 | 4 | 4 | trail | −$2,211 |
| 142 | 55-day breakout | Long | 2022-07-29 15:03 | 2022-08-23 02:37 | 4 | 4 | stop | −$3,313 |
| 143 | 20-day breakout | Short | 2022-09-21 21:13 | 2022-10-23 18:00 | 4 | 4 | trail | −$922 |
| 144 | 55-day breakout | Short | 2022-09-21 21:13 | 2022-10-25 16:00 | 4 | 4 | trail | −$3,306 |
| 145 | 20-day breakout | Long | 2022-11-11 01:06 | 2022-11-29 11:08 | 3 | 3 | trail | −$2,398 |
| 146 | 20-day breakout | Long | 2022-12-13 08:30 | 2022-12-15 08:37 | 1 | 1 | stop | −$1,180 |
| 147 | 55-day breakout | Long | 2022-12-13 08:30 | 2022-12-15 08:37 | 1 | 1 | stop | −$1,180 |
| 148 | 20-day breakout | Long | 2023-01-17 10:00 | 2023-02-21 03:48 | 4 | 4 | trail | $3,184 |
| 149 | 55-day breakout | Long | 2023-02-01 14:46 | 2023-02-21 10:12 | 4 | 4 | stop | −$2,877 |
| 150 | 20-day breakout | Long | 2023-03-22 14:48 | 2023-04-12 18:47 | 2 | 2 | trail | −$869 |
| 151 | 20-day breakout | Long | 2023-05-01 02:43 | 2023-08-02 11:48 | 4 | 4 | trail | $14,365 |
| 152 | 55-day breakout | Long | 2023-03-22 14:48 | 2023-08-09 10:56 | 4 | 4 | trail | $14,110 |
| 153 | 20-day breakout | Short | 2023-08-09 10:56 | 2023-08-23 16:44 | 4 | 4 | stop | −$2,410 |
| 154 | 20-day breakout | Short | 2023-09-25 04:44 | 2023-10-06 12:01 | 2 | 2 | trail | −$1,252 |
| 155 | 55-day breakout | Short | 2023-09-25 04:44 | 2023-10-06 15:28 | 2 | 2 | stop | −$1,616 |
| 156 | 20-day breakout | Short | 2023-10-23 05:30 | 2023-11-01 15:12 | 4 | 4 | stop | −$2,714 |
| 157 | 55-day breakout | Short | 2023-10-23 05:29 | 2023-11-01 15:12 | 4 | 4 | stop | −$2,714 |
| 158 | 20-day breakout | Long | 2023-11-14 09:45 | 2023-12-04 09:36 | 3 | 3 | trail | −$892 |
| 159 | 20-day breakout | Long | 2023-12-11 13:02 | 2024-01-02 09:54 | 4 | 4 | trail | $1,173 |
| 160 | 20-day breakout | Long | 2024-01-18 21:49 | 2024-02-20 10:01 | 4 | 4 | trail | $1,689 |
| 161 | 20-day breakout | Long | 2024-02-23 09:32 | 2024-03-05 13:43 | 3 | 3 | stop | −$2,096 |
| 162 | 20-day breakout | Long | 2024-03-21 09:28 | 2024-04-04 15:00 | 1 | 1 | trail | −$965 |
| 163 | 55-day breakout | Long | 2023-11-14 09:45 | 2024-04-15 13:25 | 4 | 4 | trail | $12,005 |
| 164 | 20-day breakout | Short | 2024-04-18 19:18 | 2024-04-24 09:49 | 3 | 3 | stop | −$2,556 |
| 165 | 55-day breakout | Short | 2024-04-18 19:18 | 2024-04-24 09:49 | 3 | 3 | stop | −$2,556 |
| 166 | 20-day breakout | Long | 2024-05-15 18:56 | 2024-05-30 20:12 | 3 | 3 | trail | −$1,777 |
| 167 | 55-day breakout | Long | 2024-05-15 18:56 | 2024-05-31 10:15 | 3 | 3 | stop | −$2,178 |
| 168 | 20-day breakout | Long | 2024-06-05 13:41 | 2024-07-17 10:00 | 4 | 4 | trail | $5,855 |
| 169 | 20-day breakout | Short | 2024-08-02 10:05 | 2024-08-12 10:21 | 4 | 4 | stop | −$3,903 |
| 170 | 55-day breakout | Short | 2024-08-02 10:05 | 2024-08-12 10:21 | 4 | 4 | stop | −$3,903 |
| 171 | 20-day breakout | Long | 2024-10-14 08:57 | 2024-10-23 13:12 | 1 | 1 | trail | −$684 |
| 172 | 55-day breakout | Long | 2024-10-14 08:57 | 2024-10-31 10:49 | 2 | 2 | stop | −$2,154 |
| 173 | 20-day breakout | Long | 2024-10-25 10:02 | 2024-10-31 10:50 | 1 | 1 | trail | −$1,202 |
| 174 | 20-day breakout | Long | 2024-11-06 09:40 | 2024-11-15 10:13 | 4 | 4 | stop | −$3,192 |
| 175 | 20-day breakout | Short | 2025-01-02 12:49 | 2025-01-06 06:26 | 1 | 1 | stop | −$1,419 |
| 176 | 20-day breakout | Short | 2025-01-10 10:00 | 2025-01-16 02:41 | 2 | 2 | stop | −$2,567 |
| 177 | 20-day breakout | Short | 2025-02-27 10:00 | 2025-03-24 11:06 | 4 | 4 | trail | $4,084 |
| 178 | 20-day breakout | Short | 2025-03-30 18:01 | 2025-04-02 16:16 | 2 | 2 | stop | −$3,147 |
| 179 | 55-day breakout | Short | 2025-02-27 15:29 | 2025-05-01 10:40 | 4 | 4 | trail | $4,569 |
| 180 | 20-day breakout | Long | 2025-05-19 13:07 | 2025-06-19 09:47 | 3 | 3 | trail | −$1,922 |
| 181 | 20-day breakout | Long | 2025-06-24 02:09 | 2025-08-01 04:26 | 4 | 4 | trail | $3,874 |
| 182 | 55-day breakout | Long | 2025-05-19 13:07 | 2025-08-01 14:09 | 4 | 4 | trail | $5,259 |
| 183 | 20-day breakout | Long | 2025-08-12 11:17 | 2025-08-19 21:34 | 2 | 2 | stop | −$2,192 |
| 184 | 55-day breakout | Long | 2025-08-12 11:16 | 2025-08-19 21:34 | 2 | 2 | stop | −$2,192 |
| 185 | 20-day breakout | Short | 2025-09-02 09:31 | 2025-09-04 15:14 | 1 | 1 | stop | −$1,200 |
| 186 | 20-day breakout | Long | 2025-09-11 11:18 | 2025-10-10 15:28 | 4 | 4 | trail | $144 |
| 187 | 55-day breakout | Long | 2025-09-12 10:21 | 2025-10-10 16:54 | 4 | 4 | trail | −$2,544 |
| 188 | 20-day breakout | Short | 2025-10-10 16:54 | 2025-10-12 19:31 | 1 | 1 | stop | −$1,110 |
| 189 | 20-day breakout | Long | 2025-10-24 08:31 | 2025-11-06 11:56 | 4 | 4 | stop | −$3,788 |
| 190 | 55-day breakout | Long | 2025-10-24 08:30 | 2025-11-06 11:56 | 4 | 4 | stop | −$3,788 |
| 191 | 20-day breakout | Short | 2025-11-17 23:20 | 2025-11-20 10:37 | 2 | 2 | stop | −$3,184 |
| 192 | 20-day breakout | Short | 2026-01-20 03:33 | 2026-01-23 10:22 | 2 | 2 | stop | −$2,541 |
| 193 | 20-day breakout | Long | 2026-01-27 18:00 | 2026-01-29 10:51 | 2 | 2 | stop | −$2,607 |
| 194 | 55-day breakout | Long | 2026-01-27 18:00 | 2026-01-29 10:51 | 2 | 2 | stop | −$2,607 |
| 195 | 20-day breakout | Short | 2026-02-04 11:40 | 2026-02-08 18:50 | 4 | 4 | stop | −$4,769 |
| 196 | 20-day breakout | Short | 2026-03-08 18:09 | 2026-03-10 13:28 | 1 | 1 | stop | −$1,950 |
| 197 | 55-day breakout | Short | 2026-03-08 18:09 | 2026-03-10 13:28 | 1 | 1 | stop | −$1,950 |
| 198 | 55-day breakout | Short | 2026-03-20 13:33 | 2026-04-07 18:00 | 4 | 4 | stop | −$5,213 |
| 199 | 20-day breakout | Long | 2026-04-09 12:03 | 2026-06-05 12:43 | 4 | 4 | trail | $30,227 |
| 200 | 55-day breakout | Long | 2026-04-16 11:28 | 2026-06-09 12:06 | 4 | 4 | trail | $14,205 |
| 201 | 55-day breakout | Short | 2026-07-24 09:51 | 2026-08-03 10:48 | 4 | 4 | stop | −$6,597 |
| 202 | 20-day breakout | Short | 2026-07-16 22:34 | 2026-08-04 07:52 | 4 | 4 | stop | −$6,602 |
All 202 trades. Times are ET. “Units” is how many of the four the pyramid filled and “Qty” is the contracts those units came to. The result is in dollars, on a $100,000 account sized by the rule. Exit reasons are the engine’s own words: trail is the channel exit and stop is the 2N stop, which moves up with each unit added. Three of these trades are drawn as charts on Charts.
Section 3
Capital
What the sizing rule costs to run, year by year, and how often this account could not afford it. The most transferable output of this study, and the reason the sample is on the micro contract.
Both tables below are drawn as charts on Charts.
Year-by-year capital figures
Capital needed to express one unit of the 1983 sizing rule
| Year | Mean N, points | NQ | MNQ |
|---|---|---|---|
| 2013 | 37.6 | $75,246 | $7,525 |
| 2014 | 49.0 | $98,004 | $9,800 |
| 2015 | 69.3 | $138,693 † above the account size | $13,869 |
| 2016 | 67.3 | $134,569 † above the account size | $13,457 |
| 2017 | 54.5 | $108,920 † above the account size | $10,892 |
| 2018 | 123.2 | $246,359 † above the account size | $24,636 |
| 2019 | 121.6 | $243,125 † above the account size | $24,312 |
| 2020 | 259.8 | $519,541 † above the account size | $51,954 |
| 2021 | 231.5 | $463,066 † above the account size | $46,307 |
| 2022 | 376.9 | $753,702 † above the account size | $75,370 |
| 2023 | 243.5 | $487,043 † above the account size | $48,704 |
| 2024 | 294.9 | $589,835 † above the account size | $58,984 |
| 2025 | 414.2 | $828,312 † above the account size | $82,831 |
| 2026 | 526.6 | $1,053,177 † above the account size | $105,318 † above the account size |
A dagger marks a figure larger than the $100,000 account — a year where the account cannot express one unit and the one-contract floor takes over the sizing. NQ is daggered in 12 of the 14 years, and in every year after 2014. MNQ is daggered in one, 2026. The mark says only that one number is larger than another.
How often the floor actually bound
The table above is what one unit costs. This one is what the account did about it: the share of each year’s fills that were sized at one contract because the formula asked for less than one.
Share of fills sized at the one-contract floor, by year
| Year | Fills | MNQ | NQ |
|---|---|---|---|
| 2013 | 45 | 0% | 0% |
| 2014 | 45 | 4% | 20% |
| 2015 | 46 | 4% | 100% |
| 2016 | 61 | 0% | 100% |
| 2017 | 43 | 0% | 100% |
| 2018 | 54 | 0% | 100% |
| 2019 | 38 | 0% | 100% |
| 2020 | 40 | 0% | 100% |
| 2021 | 47 | 0% | 100% |
| 2022 | 47 | 83% | 100% |
| 2023 | 45 | 31% | 100% |
| 2024 | 40 | 40% | 100% |
| 2025 | 48 | 77% | 100% |
| 2026 | 32 | 100% | 100% |
Both columns count the same 631 fills; only the dollar value of a point differs. On MNQ the floor is quiet until 2022 and then binds in most years, which is the account falling rather than N rising alone. On NQ it binds on every fill from 2015 onward, so from that year the 1% risk setting does nothing at all on the full-size contract and position size is one contract whatever the account is worth.
Section 4
What this run assumed
Every assumption the run made, typed and stored with the report rather than written up afterwards.
- fill model
- Entries, added units and exits are filled at the price level that triggered them, on the one-minute bar that touched it. Signals are computed on daily bars; the race between a stop and an exit level is resolved on one-minute bars inside the day.
- costs
- No commission and no slippage were applied. This run fills 631 times across its 202 trades rather than once each, because every trade can add up to three units after its entry, so a per-contract cost would bite about three times harder here than on a run holding one unit; it was left uncosted rather than costed with an invented number.
- same bar
- Where a stop and an exit level fall inside the same one-minute bar, the stop is taken. No trade in this run resolved as a tie: all 202 closed either on the 2N stop or on the channel exit. Seventeen bars closed a position in both books at once, and those are resolved System 1 first, deterministically.
- rolls
- Prices are panama back-adjusted across contract rolls, so a roll moves no position and produces no exit. Every distance the rules use - the channel width, N, the 2N stop and the half-N interval between added units - is preserved by an additive adjustment.
- sample
- 202 trades over a 13.6-year window of daily bars, 2013-01-07 to 2026-08-17. The first entry was on 2013-02-20 and the last exit on 2026-08-04; 132 of the trades are System 1 and 70 are System 2, filled 631 times between them. Both books share one account, and both were open at once for 37.6% of the window and for 60.8% of the time either was open.
- assumption
- The 1983 rule set as published: System 1 enters on a 20-day channel break and exits on a 10-day channel, System 2 enters on a 55-day break and exits on a 20-day channel, the stop is 2N, and N is Wilder's 20-day ATR. System 1's loss filter and its 55-day failsafe are both on.
- assumption
- Units are added at half-N intervals to a maximum of four per market, which is the 1983 pyramid, and the stop moves with the last unit added. Each unit is sized off the equity standing at the moment that unit filled, not off the equity at the trade's entry. These 202 trades carry 3.12 units on average and 114 of them reach the full four.
- assumption
- Position size follows the 1983 unit formula, 1% of current equity divided by N times the dollar value of a point, with a floor of one contract. Equity compounds: the account starts at $100,000 and every fill is sized off what it is worth at that moment.
- assumption
- Trades still open at the end of the window are marked at the final close rather than at a fill. No trade in this run was open at the end.
- data
- Front-month NQ, panama back-adjusted, built from one-minute bars, 2013-02-20 onward. 2010 to 2012 was excluded because one-minute coverage on those years runs at 8% of the session and is too thin to race a stop against an exit.
Section 5
What this run cannot tell you
A different question from what it assumed, and the more important one.
The one that governs everything above
The 1983 Turtle system is a portfolio strategy, and on one instrument only one of its unit caps does anything. The four-units-per-market limit binds here, constantly: 114 of these 202 trades reach it. The caps that govern risk across a book - five units per tightly correlated group, ten per loosely correlated group, twelve long and twelve short - are all inert on a single market. Two books trading one instrument can therefore hold eight units between them with no rule in the set standing in the way, and that is the mechanism behind the peak combined open risk figure above. The original traded more than twenty markets across currencies, rates, metals, energy and grains, and the diversification across them is where the published record came from. What was tested here is one market's slice of that system. Whatever these figures are evidence about, it is not the system as published, and no multi-market dataset exists in this study to test that with.
- What any figure here would look like with an interval around it. This run produced no per-trade R and no confidence intervals: the R label and the resampling machinery in this study were built on a single-unit variant of these same entries, and those intervals describe that variant, not this run. Carrying them across would be reporting two different sizings as one result. Every figure on this page is a property of a path that happened - a terminal equity, a drawdown, a peak exposure, a count of the fills the floor bound - and a realised path does not need an interval. An estimate does, and there is no estimate on this page to put bounds around.
- What the rules would have done across a portfolio of uncorrelated markets. Only NQ and its micro were tested, and the caps that do the work across a portfolio never bind on one instrument.
- What a margin call would have done. No margin constraint is modelled. The account is under $25,000 at its lowest point while the rules still size up to four units against it, and on the full-size contract the same trade list takes combined equity to minus $88,345 - which is not a path an account could have taken.
- What System 1 would have produced from a different start date. Its loss filter reads the entire prior history in each direction, so a run beginning in 2013 and a run beginning in 2016 disagree over the years they share. Nothing here captures that.
- Anything about the future. This is a simulation over one instrument's recorded history, run with full knowledge of that history.
Section 6
Corrections
Defects found in this study after it was written, and what each one changed.
This run was corrected 5 times during development; the figures on this page are all post-correction.
What each correction changed
A P(ruin) column that did not match its own source file
The first write-up printed P(ruin) of 0.0% for System 1 on NQ and 100.0% for the combined book, against 0.3561 and 0.5726 in the file those figures were read from. The pattern is consistent with a boolean - did any resampled path breach zero - being formatted as a percentage. The statement that 100% of resampled orderings breach zero equity is void and is not repeated anywhere on this page. The corrected figures are 35.6% for System 1 on NQ, 13.3% for System 2, and 57.3% for the combined book. None of the three appears on this page, because all three were computed on the single-unit variant this report no longer reports.
A bootstrap that was invalid for the thing it was measuring
The dollar equity paths were resampled by year-blocks. N grew 14.0 times across this window, from 37.6 points in 2013 to 526.6 in 2026, and it grew with the price level - so dollar risk per trade is not stationary and years are not interchangeable in dollars. Resampling them generates histories where a high-volatility year precedes the price rise that caused that volatility. No resampled figure appears on this page at all, for a second reason on top of the first: that resampling was run on the single-unit variant.
Confidence intervals computed from two clusters
The by-era table resampled whole calendar years, correctly, but four of its cells contained only two years. Resampling two clusters yields three distinct multisets, so the 2.5th and 97.5th percentiles collapse onto the two year means themselves - the reported bounds were floating-point identical to them. One cell reported a narrower interval on nine trades than the full-window cell did on fifty-four, which no correct interval can do. The claim that System 2's 2016-2017 cell was the only interval clear of zero is retracted, and the study now quotes no interval below eight clusters.
A survival claim made without a margin model
The statement that no path at $100,000 or $1,000,000 breached zero on the realised history was true of the simulation and not of a tradable account. The simulation carries no margin constraint, so it holds a full-size position at equity levels where the exchange would have closed it. This is recorded as a limitation above rather than repaired, because repairing it needs the historical margin schedule across 2013 to 2026, which this study does not have.
A pyramid add that silently disabled its own trade's stop
The frozen engine's pyramid-add trigger scans the raw price arrays for the next add level, while the entry logic masks out the calendar days the bar filters dropped. On this window those dropped days are numerous enough that an add lands on one. The added unit re-anchors the stop off an N that does not exist for that day, the stop price becomes NaN, and because every comparison against NaN is false the stop is then silently and permanently unreachable for the rest of that trade. It hit 6 of the 402 trades in the run that found it, 6 fills of 1,260; in this report's own 631 fills it hits 4, on 4 of the 202 trades. It was invisible on the shorter window the study ran first and live on this one. New code applies the min-one-contract floor's own stated philosophy to such a fill - no computable risk, take the minimum - and flags it, but it cannot repair the inherited stop, because the code that sets that stop is frozen. Removing the affected trades outright moved terminal equity by between 1.3% and 9.0% on the per-book cells the study re-ran both ways, so the figures above carry the defect rather than a repair of it.
Four of the five changed no figure this report publishes. The fifth changes the figures above, and by how much is stated with it. They are here for the same reason either way: a report that only publishes the corrections that flatter it is not publishing corrections.
Your strategy, written up the same way
Same structure, your rules, for any strategy: the figures with their sample size, the full trade list, the assumptions the run made, and a plain statement of what it cannot tell you.