Did Turtle Breakout Beat Buy-and-Hold After Costs—and When?
We tested the long-only Turtle Breakout with Donchian entry and exit rules, next-open execution, fees, and slippage. Daily charts beat buy-and-hold on total return across Bitcoin, Ethereum, and Solana, while four hour charts did not. The newest held-out data exposed weak Bitcoin results and losses across every four hour run. Daily Ethereum and Solana remained stronger, but substantial drawdowns and uneven parameter results limit the conclusion.
Method: signal at candle close, trade at next candle open, long only, no leverage. Costs: fee 0.10% + slippage 0.05% per side. Data: Bitget spot candles.
This is a backtest on historical data, not financial advice.