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Turtle trading breakout rules (20-day, 55-day): do they still work on ETFs?

The Turtle rules that buy a 55-day or 20-day high and sell a 20-day or 10-day low, applied to QQQ and SPY since 2000 and compared with buy and hold.

Confluence Zone operator · Data as of September 30, 2026 · Calculated October 1, 2026 · Recomputed monthly

Summary

Buying QQQ on a 55-day high and selling on a 20-day low (System 2) from January 2000 turned $10,000 into $19,945, or 2.6% a year. The 20/10-day rule (System 1) returned 3.1% a year and buy and hold 8.6%.

On SPY, System 2 returned 0.7% a year against 8.2% for buy and hold. The max drawdown on QQQ was 60.2% for System 2 and 83.0% for holding.

On QQQ System 2, 54% of round trips ended above the buy price. The average winner gained 7.3%. The average loser lost 4.8%. The rule held stocks for 48% of the period.

Turtle breakout rules vs. buy and hold, $10,000 at the start

Case	End balance	Annual return	Max drawdown	Fills	Avg. stock share
QQQ, 55-day breakout, 20-day exit (System 2)Jan 2000 to Sep 2026	$19,945	2.6%	−60.2%	126	48%
QQQ, 20-day breakout, 10-day exit (System 1)Jan 2000 to Sep 2026	$22,403	3.1%	−47.3%	234	49%
QQQ, buy and holdJan 2000 to Sep 2026	$91,226	8.6%	−83.0%	2	100%
SPY, 55-day breakout, 20-day exit (System 2)Jan 2000 to Sep 2026	$12,143	0.7%	−30.1%	134	45%
SPY, 20-day breakout, 10-day exit (System 1)Jan 2000 to Sep 2026	$21,511	2.9%	−37.8%	232	49%
SPY, buy and holdJan 2000 to Sep 2026	$82,053	8.2%	−55.2%	2	100%

System 2, one run split by decade

Period	Rule, annual return	Hold, annual return	Rule, max drawdown	Hold, max drawdown
QQQ 2000 to 2009Jan 2000 to Dec 2009	−2.7%	−6.9%	−60.2%	−83.0%
QQQ 2010 to 2019Jan 2010 to Dec 2019	3.3%	17.9%	−21.8%	−22.8%
QQQ 2020 onwardJan 2020 to Sep 2026	10.0%	21.0%	−18.2%	−35.1%
SPY 2000 to 2009Jan 2000 to Dec 2009	−1.7%	−1.1%	−30.1%	−55.2%
SPY 2010 to 2019Jan 2010 to Dec 2019	2.2%	13.4%	−16.9%	−19.4%
SPY 2020 onwardJan 2020 to Sep 2026	2.2%	15.2%	−26.1%	−33.7%

Each decade is a slice of the same run, so the rule carries its position across decade boundaries.

How it was calculated

$10,000 went in once at the start, with nothing added later. Buy and hold bought with the same money on the same day and held to the end.
System 2: when the close is above the highest high of the prior 55 trading days, the whole account buys at the next open. When the close falls below the lowest low of the prior 20 days, everything is sold at the next open. System 1 uses 20 and 10 days. The run starts in cash and waits for the first breakout. The original Turtle rules also sized positions by volatility (N), added units and used a 2N stop. Those are not included.
Each buy or sell was charged 0.15% as a cost. Taxes, currency conversion costs and interest on cash are not included.
Dividends were reinvested at the price on each ex-dividend date. Taxes on dividends are not deducted.
Annual return is the compound annual growth rate (CAGR) of the end balance over the starting money. Average stock share is the daily share of the account held in stocks, averaged over the period.
The as-of date is the last trading day of last month (September 30, 2026). The numbers are recomputed at the start of each month.
Buy and sell decisions use the close, and trades fill at the next trading day's open. See the backtest spec

Try it yourself

You can change the ticker, period and monthly amount and calculate the same way. No sign-in needed.

Calculate with these settings

Common questions

How does this differ from the original Turtle rules?

The Turtles traded many futures markets at once, sized each position by its volatility (N), added up to four units as a trend grew and used a 2N stop. System 1 also skipped a breakout after a winning one. This page tests only the entry and exit lines on one ETF.

How many trades were there?

On QQQ, System 2 made 63 round trips and System 1 made 117.

Can I run it myself?

Yes. The custom breakout rule in the backtest tool uses the same entry and exit lines. The button below opens it with 55 and 20 days.

Are dividends included?

Yes. This Turtle rule calculation reinvests each dividend at the price on its ex-dividend date. Taxes on dividends are not deducted.

Would the result be the same when investing in a currency other than dollars?

No. This Turtle rule calculation is in US dollars. Exchange rate changes and the fee and tax differences of locally listed ETFs are not included.