Setups › 20-day breakout

20-day breakout

From Turtle traders. In one line: closed above its 20-day high on 1.5x+ normal volume.

About the names. The famous names are credit for publicly described ideas. Every test here uses our own simplified, fully coded version of the idea, so the numbers show how our code behaved on past prices, not how the named person trades or traded. No affiliation with, or endorsement by, any named person.

7,747

trades tested

38%

win rate

-0.12R

average result

-0.36%

vs Nifty per trade

What it looks like

In the 1980s Richard Dennis taught a group of beginners, the "Turtles", a simple rule: buy when price makes a new 20-day high. The idea comes from Richard Donchian's price channels. Here we add a volume check: the breakout must come on above-average volume.

Why traders use it

It is the simplest possible trend-following rule. Any big trend has to start with a new short-term high, so the rule never misses one. The price paid is many small false breakouts, which the stop cuts quickly.

The exact rule we tested

Today's close is above the highest high of the last 20 days.
Today's volume is at least 1.5 times the 50-day average.

Mistakes to avoid

Expecting a high win rate. The Turtles won only about a third of their trades; a few big trends paid for everything.
Cutting winners too early. Our test exits at a fixed target or after 10 days. The Turtles let winners run until a 10- or 20-day low, which is what the rule needs to work.
Using it on its own in sideways markets, where it gets whipped back and forth.

How we tested it

Every day from 05 Nov 2024 to 05 Nov 2026, every main-board NSE stock (price ≥ ₹50, turnover ≥ ₹5 crore a day) that showed this setup was bought the next day above its last high, with a stop 1.5 ATR below and a target 2.5 ATR above, and sold after 10 trading days if neither was hit; 0.1% costs per trade. Traders usually hold this setup 5-10 days.

The maths behind the result

Average winner +1.18R, average loser −0.93R, win rate 38%. Expectancy = 38% × 1.18 − 62% × 0.93 = -0.12R per trade. To break even with this payoff you need to win at least 44% of trades. How expectancy works.

A historical simulation, not live trading and not a recommendation.