Trend Following Study
The Turtle strategy is a classic Donchian-channel breakout system. It waits for price to push above a prior high, rides the trend, and exits when price breaks below a shorter-term low. This page applies a long-only version to Apple, Microsoft, Amazon, Alphabet, Meta, Nvidia, and Tesla over the available daily dataset.
Go long when close rises above the prior 20-day high.
Exit when close falls below the prior 10-day low.
Each ticker contributes equally; inactive signals sit in cash.
Parameter Logic
The 20-day entry window asks for a meaningful one-month breakout, which filters ordinary daily noise without waiting so long that the move is already mature. The 10-day exit is faster because the strategy is trying to protect trend profits once momentum fades.
Market Phenomenon
The bet is that large-cap technology trends can persist after a confirmed breakout because institutional flows, earnings revisions, and momentum demand often adjust over weeks rather than one session.
Portfolio
Exposure
Trades
Trade Fates
Monitoring Plan
Required Monitoring Answer
We will compare live Turtle results to the backtested baseline: positive average trade return, win rate near the historical sample, Sharpe near the backtest, and drawdown staying inside the backtested maximum drawdown range.
We will treat the strategy as degraded if the latest 30 closed trades have negative average return, if live win rate falls materially below the backtested win rate, or if live drawdown breaks below the backtested maximum drawdown.
Single Stock Lens
Ticker Breakdown
Blotter
Ledger