Does the Turtle trading strategy work on EUR/USD?

Key results

Total return

-2.7%

Buy & hold: +0.1%

Annual return (CAGR)

-0.3%

Buy & hold: 0%

Max drawdown

-14.6%

Buy & hold: -23.3%

Win rate

40%

Profit factor

0.94

Trades

80

Longest losing streak

8 trades

Period

Oct 2, 2016 to Oct 1, 2026

10 years

Market

EUR/USD

Daily

Equity curve vs buy & hold

Returns year by year

Calendar years, compounded from monthly results. The first and last years can be partial.

The Turtle experiment is trading folklore. In 1983 Richard Dennis and William Eckhardt taught a group of novices a mechanical trend-following system, and the core of it fits in one line: buy a breakout to new highs, sell a breakout to new lows, and exit on a shorter breakout in the opposite direction. System 1 used 20 days to enter and 10 days to exit. We tested a version built from calendar levels, inspired by this description: the previous month's extremes to enter and the previous week's to exit. It keeps the slow-in, fast-out logic, but it is an adaptation, not the original system.

The rules we tested

• Market and period: EUR/USD, daily candles, October 2016 to October 2026.
• Long entry: the close crosses above the previous month's high.
• Long exit: the close crosses below the previous week's low.
• Short entry: the close crosses below the previous month's low.
• Short exit: the close crosses above the previous week's high.
• Stop: a 350-pip catastrophe stop, never hit: all 80 trades closed on the weekly exit rule. No take-profit, so winners run as long as the weekly structure holds.
• Sizing and costs: 100% of equity per trade, 0.02% commission per side, $10,000 starting capital. No volatility-based sizing and no pyramiding, unlike the original Turtles.

What the backtest shows

The shape is right for trend following: the average win (1.25%) is larger than the average loss (0.88%). With that payoff, the break-even win rate is about 41%. The system won 40.0% of the time, so it missed by little more than a point and finished at -2.7%, with a profit factor of 0.94. The pair itself ended almost exactly flat (+0.1%), so there was no long-term drift to ride either way.

Losing streaks are part of the deal: the longest run was 8 losing trades in a row. The worst drawdown was 14.6%, against 23.3% for holding the pair.

The yearly table shows how dependent the system is on the market's mood. 2019 was the worst year (-6.2%, 1 winner out of 9 trades), a year of failed breakouts. 2025 was the best (+6.6%, 4 winners out of 7), and 2021 also did well (+4.0%). Between those, most years were small gains or small losses. With about eight trades a year, commissions are not the problem: 80 round trips at roughly 0.04% each cost about 3% of the position over the decade.

Why it doesn't work here

Trend following makes its money from a few outsized winners that pay for many small losers. The Turtles found those winners by trading dozens of markets at once: when one market trended, it paid for the others. A single major currency pair spends much of its time in ranges, and over ten years it offered only a handful of trends long enough to carry the system. The weekly exit is also a compromise: tight enough to give back little in a reversal, but it closes trades on ordinary pullbacks, which keeps the average win at 1.25%.

What you could test next

• Use a looser exit, such as the previous month's opposite extreme, to let trends run longer.
• Use a faster entry, such as the previous week's high or low, to catch trends earlier at the cost of more false breakouts.
• Add a trend filter, for example trading only in the direction of the 200-day moving average.
• Run the same rules on gold or a stock index, where long trends have been more frequent.

Methodology and assumptions

Frequently asked questions

Reproduce it, then change it

Every number on this page comes from the Backtrex engine. Rebuild the strategy in the app, then change the market, the timeframe or a parameter and see whether the result holds.

Other backtests