BACKTEST · TREND
Turtle trend following (System 1/2)
QQQ Turtle System 1: 20 day high entry, 10 day low exit, 2 ATR stop, ATR risk sizing, adds every 0.5 ATR up to 4 units.
From 2015-01-02 to 2024-12-31, this rule made 46 trades and returned +80.6%. Buying and holding SPY returned +185.3% over the same dates. The largest drop from a past high was 9.8%.
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SCORE
Portfolio equity vs benchmark
The rule
QQQ Turtle System 1: 20 day high entry, 10 day low exit, 2 ATR stop, ATR risk sizing, adds every 0.5 ATR up to 4 units. Orders fill at the next open.
ENTER WHEN
Close above the prior 20 day high
EXIT WHEN
10 day low, or a 2 ATR stop
FIRST TRADE, FROM THE REPORT
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Did it beat SPY?
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How it did over time
Strategy in orange-red. SPY buy and hold in light.
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The same result in an AI chat
This is how the result looks when an AI agent such as Claude or ChatGPT runs it. It uses the same engine report.
Strategy equity in orange-red, SPY in light. Historical test only.
Every trade
46 trades and 178 fills, straight from the engine report. Each fill shows the day the signal fired, the day it filled, and why. This run used 0 bps fees and 0 bps slippage on each fill, except when a modeled option expires. A basis point (bps) is one hundredth of one percent.
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2015-02-11 | 2015-02-12 | QQQ | Buy | $105.46 | entry |
| 2015-02-13 | 2015-02-17 | QQQ | Buy | $106.91 | add |
| 2015-02-19 | 2015-02-20 | QQQ | Buy | $107.62 | add |
| 2015-02-20 | 2015-02-23 | QQQ | Buy | $108.35 | add |
| 2015-03-10 | 2015-03-11 | QQQ | Sell | $105.88 | exit |
| 2015-04-23 | 2015-04-24 | QQQ | Buy | $110.21 | entry |
| 2015-04-30 | 2015-04-30 | QQQ | Sell | $107.81 | stop |
| 2015-05-27 | 2015-05-28 | QQQ | Buy | $110.75 | entry |
| 2015-06-08 | 2015-06-08 | QQQ | Sell | $108.25 | stop |
| 2015-07-16 | 2015-07-17 | QQQ | Buy | $112.84 | entry |
| 2015-07-17 | 2015-07-20 | QQQ | Buy | $113.83 | add |
| 2015-07-27 | 2015-07-27 | QQQ | Sell | $110.17 | stop |
| 2015-10-16 | 2015-10-19 | QQQ | Buy | $107.98 | entry |
| 2015-10-22 | 2015-10-23 | QQQ | Buy | $112.66 | add |
| 2015-10-28 | 2015-10-29 | QQQ | Buy | $113.50 | add |
| 2015-11-02 | 2015-11-03 | QQQ | Buy | $114.38 | add |
| 2015-11-12 | 2015-11-13 | QQQ | Sell | $111.57 | exit |
| 2016-03-01 | 2016-03-02 | QQQ | Buy | $105.63 | entry |
| 2016-03-14 | 2016-03-15 | QQQ | Buy | $106.27 | add |
| 2016-03-16 | 2016-03-17 | QQQ | Buy | $107.26 | add |
| 2016-03-22 | 2016-03-23 | QQQ | Buy | $107.91 | add |
| 2016-04-27 | 2016-04-28 | QQQ | Sell | $107.69 | exit |
| 2016-05-25 | 2016-05-26 | QQQ | Buy | $109.35 | entry |
| 2016-05-27 | 2016-05-31 | QQQ | Buy | $110.28 | add |
| 2016-06-10 | 2016-06-13 | QQQ | Sell | $108.34 | exit |
| 2016-07-11 | 2016-07-12 | QQQ | Buy | $111.59 | entry |
| 2016-07-18 | 2016-07-19 | QQQ | Buy | $112.17 | add |
| 2016-07-20 | 2016-07-21 | QQQ | Buy | $113.52 | add |
| 2016-07-27 | 2016-07-28 | QQQ | Buy | $114.76 | add |
| 2016-09-09 | 2016-09-12 | QQQ | Sell | $113.64 | exit |
| 2016-09-21 | 2016-09-22 | QQQ | Buy | $118.85 | entry |
| 2016-10-13 | 2016-10-13 | QQQ | Sell | $116.49 | stop |
| 2016-10-24 | 2016-10-25 | QQQ | Buy | $119.62 | entry |
| 2016-10-28 | 2016-10-28 | QQQ | Sell | $117.40 | stop |
| 2016-12-13 | 2016-12-14 | QQQ | Buy | $120.56 | entry |
| 2016-12-30 | 2017-01-03 | QQQ | Sell | $119.31 | exit |
| 2017-01-06 | 2017-01-09 | QQQ | Buy | $122.03 | entry |
| 2017-01-11 | 2017-01-12 | QQQ | Buy | $122.49 | add |
| 2017-01-13 | 2017-01-17 | QQQ | Buy | $122.79 | add |
| 2017-01-23 | 2017-01-24 | QQQ | Buy | $123.59 | add |
Show all 178 fills
| Signal date | Fill date | Ticker | Side | Price | Reason |
|---|---|---|---|---|---|
| 2017-03-21 | 2017-03-22 | QQQ | Sell | $129.89 | exit |
| 2017-03-30 | 2017-03-31 | QQQ | Buy | $132.27 | entry |
| 2017-04-13 | 2017-04-17 | QQQ | Sell | $130.80 | exit |
| 2017-04-24 | 2017-04-25 | QQQ | Buy | $134.58 | entry |
| 2017-04-25 | 2017-04-26 | QQQ | Buy | $135.17 | add |
| 2017-04-27 | 2017-04-28 | QQQ | Buy | $136.28 | add |
| 2017-05-01 | 2017-05-02 | QQQ | Buy | $137.38 | add |
| 2017-05-17 | 2017-05-18 | QQQ | Sell | $136.06 | exit |
| 2017-05-24 | 2017-05-25 | QQQ | Buy | $140.31 | entry |
| 2017-05-25 | 2017-05-26 | QQQ | Buy | $141.00 | add |
| 2017-06-01 | 2017-06-02 | QQQ | Buy | $142.34 | add |
| 2017-06-02 | 2017-06-05 | QQQ | Buy | $143.44 | add |
| 2017-06-09 | 2017-06-09 | QQQ | Sell | $138.29 | stop |
| 2017-07-18 | 2017-07-19 | QQQ | Buy | $143.53 | entry |
| 2017-07-24 | 2017-07-25 | QQQ | Buy | $144.29 | add |
| 2017-08-10 | 2017-08-11 | QQQ | Sell | $141.24 | exit |
| 2017-08-31 | 2017-09-01 | QQQ | Buy | $146.36 | entry |
| 2017-09-25 | 2017-09-25 | QQQ | Sell | $143.27 | stop |
| 2017-10-05 | 2017-10-06 | QQQ | Buy | $146.97 | entry |
| 2017-10-06 | 2017-10-09 | QQQ | Buy | $147.86 | add |
| 2017-10-16 | 2017-10-17 | QQQ | Buy | $148.79 | add |
| 2017-10-27 | 2017-10-30 | QQQ | Buy | $151.08 | add |
| 2018-02-02 | 2018-02-05 | QQQ | Sell | $163.07 | exit |
| 2018-03-09 | 2018-03-12 | QQQ | Buy | $173.67 | entry |
| 2018-03-19 | 2018-03-19 | QQQ | Sell | $167.96 | stop |
| 2018-05-09 | 2018-05-10 | QQQ | Buy | $168.42 | entry |
| 2018-05-25 | 2018-05-29 | QQQ | Buy | $168.95 | add |
| 2018-05-30 | 2018-05-31 | QQQ | Buy | $170.18 | add |
| 2018-06-01 | 2018-06-04 | QQQ | Buy | $173.18 | add |
| 2018-06-25 | 2018-06-26 | QQQ | Sell | $172.00 | exit |
| 2018-07-12 | 2018-07-13 | QQQ | Buy | $179.45 | entry |
| 2018-07-25 | 2018-07-26 | QQQ | Buy | $180.35 | add |
| 2018-07-30 | 2018-07-30 | QQQ | Sell | $174.87 | stop |
| 2018-08-27 | 2018-08-28 | QQQ | Buy | $184.83 | entry |
| 2018-08-29 | 2018-08-30 | QQQ | Buy | $186.38 | add |
| 2018-09-06 | 2018-09-06 | QQQ | Sell | $180.86 | stop |
| 2019-01-18 | 2019-01-22 | QQQ | Buy | $164.06 | entry |
| 2019-01-31 | 2019-02-01 | QQQ | Buy | $167.33 | add |
| 2019-02-04 | 2019-02-05 | QQQ | Buy | $169.76 | add |
| 2019-02-15 | 2019-02-19 | QQQ | Buy | $171.41 | add |
| 2019-05-07 | 2019-05-08 | QQQ | Sell | $185.63 | exit |
| 2019-06-18 | 2019-06-19 | QQQ | Buy | $186.73 | entry |
| 2019-06-20 | 2019-06-21 | QQQ | Buy | $188.63 | add |
| 2019-07-02 | 2019-07-03 | QQQ | Buy | $190.49 | add |
| 2019-07-10 | 2019-07-11 | QQQ | Buy | $192.85 | add |
| 2019-08-02 | 2019-08-05 | QQQ | Sell | $183.43 | exit |
| 2019-09-05 | 2019-09-06 | QQQ | Buy | $192.10 | entry |
| 2019-09-24 | 2019-09-25 | QQQ | Sell | $187.79 | exit |
| 2019-10-25 | 2019-10-28 | QQQ | Buy | $196.57 | entry |
| 2019-11-01 | 2019-11-04 | QQQ | Buy | $200.19 | add |
| 2019-11-12 | 2019-11-13 | QQQ | Buy | $200.84 | add |
| 2019-11-15 | 2019-11-18 | QQQ | Buy | $202.59 | add |
| 2020-02-24 | 2020-02-25 | QQQ | Sell | $223.25 | exit |
| 2020-04-14 | 2020-04-15 | QQQ | Buy | $208.48 | entry |
| 2020-04-16 | 2020-04-17 | QQQ | Buy | $216.17 | add |
| 2020-05-07 | 2020-05-08 | QQQ | Buy | $223.62 | add |
| 2020-05-11 | 2020-05-12 | QQQ | Buy | $227.49 | add |
| 2020-09-08 | 2020-09-09 | QQQ | Sell | $275.54 | exit |
| 2020-10-09 | 2020-10-12 | QQQ | Buy | $290.60 | entry |
| 2020-10-12 | 2020-10-13 | QQQ | Buy | $296.34 | add |
| 2020-10-26 | 2020-10-26 | QQQ | Sell | $277.79 | stop |
| 2020-12-01 | 2020-12-02 | QQQ | Buy | $302.22 | entry |
| 2020-12-04 | 2020-12-07 | QQQ | Buy | $305.71 | add |
| 2020-12-08 | 2020-12-09 | QQQ | Buy | $308.07 | add |
| 2020-12-17 | 2020-12-18 | QQQ | Buy | $311.66 | add |
| 2021-02-22 | 2021-02-23 | QQQ | Sell | $317.00 | exit |
| 2021-04-01 | 2021-04-05 | QQQ | Buy | $327.13 | entry |
| 2021-04-05 | 2021-04-06 | QQQ | Buy | $330.73 | add |
| 2021-04-08 | 2021-04-09 | QQQ | Buy | $333.68 | add |
| 2021-04-09 | 2021-04-12 | QQQ | Buy | $336.04 | add |
| 2021-05-04 | 2021-05-05 | QQQ | Sell | $332.25 | exit |
| 2021-06-08 | 2021-06-09 | QQQ | Buy | $338.17 | entry |
| 2021-06-11 | 2021-06-14 | QQQ | Buy | $341.68 | add |
| 2021-06-14 | 2021-06-15 | QQQ | Buy | $344.15 | add |
| 2021-06-22 | 2021-06-23 | QQQ | Buy | $347.51 | add |
| 2021-08-18 | 2021-08-19 | QQQ | Sell | $360.22 | exit |
| 2021-08-23 | 2021-08-24 | QQQ | Buy | $373.84 | entry |
| 2021-08-27 | 2021-08-30 | QQQ | Buy | $376.85 | add |
| 2021-08-30 | 2021-08-31 | QQQ | Buy | $380.51 | add |
| 2021-09-20 | 2021-09-20 | QQQ | Sell | $365.54 | stop |
| 2021-10-19 | 2021-10-20 | QQQ | Buy | $375.94 | entry |
| 2021-10-26 | 2021-10-27 | QQQ | Buy | $379.58 | add |
| 2021-10-28 | 2021-10-29 | QQQ | Buy | $381.06 | add |
| 2021-10-29 | 2021-11-01 | QQQ | Buy | $386.56 | add |
| 2021-12-01 | 2021-12-02 | QQQ | Sell | $385.80 | exit |
| 2021-12-27 | 2021-12-28 | QQQ | Buy | $404.40 | entry |
| 2022-01-05 | 2022-01-05 | QQQ | Sell | $390.01 | stop |
| 2022-03-22 | 2022-03-23 | QQQ | Buy | $354.01 | entry |
| 2022-03-24 | 2022-03-25 | QQQ | Buy | $359.59 | add |
| 2022-03-28 | 2022-03-29 | QQQ | Buy | $368.90 | add |
| 2022-04-11 | 2022-04-12 | QQQ | Sell | $345.76 | exit |
| 2022-07-19 | 2022-07-20 | QQQ | Buy | $298.73 | entry |
| 2022-07-20 | 2022-07-21 | QQQ | Buy | $303.50 | add |
| 2022-07-28 | 2022-07-29 | QQQ | Buy | $311.38 | add |
| 2022-07-29 | 2022-08-01 | QQQ | Buy | $313.65 | add |
| 2022-08-22 | 2022-08-23 | QQQ | Sell | $314.12 | exit |
| 2022-10-25 | 2022-10-26 | QQQ | Buy | $278.46 | entry |
| 2022-11-02 | 2022-11-03 | QQQ | Sell | $263.01 | exit |
| 2022-11-11 | 2022-11-14 | QQQ | Buy | $285.86 | entry |
| 2022-11-30 | 2022-12-01 | QQQ | Buy | $293.69 | add |
| 2022-12-15 | 2022-12-16 | QQQ | Sell | $276.20 | exit |
| 2023-01-23 | 2023-01-24 | QQQ | Buy | $287.31 | entry |
| 2023-01-26 | 2023-01-27 | QQQ | Buy | $292.00 | add |
| 2023-01-27 | 2023-01-30 | QQQ | Buy | $292.93 | add |
| 2023-02-01 | 2023-02-02 | QQQ | Buy | $307.57 | add |
| 2023-02-21 | 2023-02-22 | QQQ | Sell | $294.62 | exit |
| 2023-03-21 | 2023-03-22 | QQQ | Buy | $310.27 | entry |
| 2023-03-30 | 2023-03-31 | QQQ | Buy | $315.91 | add |
| 2023-03-31 | 2023-04-03 | QQQ | Buy | $318.77 | add |
| 2023-04-25 | 2023-04-26 | QQQ | Sell | $313.44 | exit |
| 2023-04-28 | 2023-05-01 | QQQ | Buy | $322.09 | entry |
| 2023-05-10 | 2023-05-11 | QQQ | Buy | $325.70 | add |
| 2023-05-17 | 2023-05-18 | QQQ | Buy | $331.52 | add |
| 2023-05-18 | 2023-05-19 | QQQ | Buy | $337.49 | add |
| 2023-08-09 | 2023-08-10 | QQQ | Sell | $370.97 | exit |
| 2023-11-10 | 2023-11-13 | QQQ | Buy | $376.79 | entry |
| 2023-11-14 | 2023-11-15 | QQQ | Buy | $387.25 | add |
| 2023-11-20 | 2023-11-21 | QQQ | Buy | $389.01 | add |
| 2023-12-08 | 2023-12-11 | QQQ | Buy | $391.74 | add |
| 2024-01-02 | 2024-01-03 | QQQ | Sell | $399.93 | exit |
| 2024-01-18 | 2024-01-19 | QQQ | Buy | $415.22 | entry |
| 2024-01-19 | 2024-01-22 | QQQ | Buy | $423.41 | add |
| 2024-01-25 | 2024-01-26 | QQQ | Buy | $424.44 | add |
| 2024-01-29 | 2024-01-30 | QQQ | Buy | $427.10 | add |
| 2024-04-04 | 2024-04-05 | QQQ | Sell | $436.78 | exit |
| 2024-05-14 | 2024-05-15 | QQQ | Buy | $448.43 | entry |
| 2024-05-15 | 2024-05-16 | QQQ | Buy | $452.71 | add |
| 2024-05-21 | 2024-05-22 | QQQ | Buy | $456.06 | add |
| 2024-05-28 | 2024-05-29 | QQQ | Buy | $455.48 | add |
| 2024-07-18 | 2024-07-19 | QQQ | Sell | $479.15 | exit |
| 2024-09-26 | 2024-09-27 | QQQ | Buy | $490.50 | entry |
| 2024-10-14 | 2024-10-15 | QQQ | Buy | $497.83 | add |
| 2024-10-31 | 2024-11-01 | QQQ | Sell | $485.50 | exit |
| 2024-11-06 | 2024-11-07 | QQQ | Buy | $508.40 | entry |
| 2024-11-07 | 2024-11-08 | QQQ | Buy | $513.03 | add |
| 2024-12-03 | 2024-12-04 | QQQ | Buy | $520.32 | add |
| 2024-12-06 | 2024-12-09 | QQQ | Buy | $525.55 | add |
| 2024-12-18 | 2024-12-19 | QQQ | Sell | $521.19 | exit |
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Ask the chat to try another ticker, other dates, a stop, or different fees. It runs the same engine on real past prices.
Risk warning
Past results do not predict future returns. Not investment advice.