Strategy Report Card — Turtle 55 Breakout (EEM)

VERDICT: REJECT — no robust edge

Do not trade. The edge does not survive out-of-sample + costs.

Turtle 55 Breakout is a classic channel breakout strategy. It goes long when the closing price exceeds the highest close of the previous 55 bars, and short when it falls below the lowest close of the previous 55 bars. It is designed for trending markets and holds positions indefinitely until the opposite signal fires.

Family donchian_breakout · direction long_short · params period=55

Translation warnings

The Pine script uses ta.highest/ta.lowest of close (not high/low), whereas the built-in donchian_breakout template may use high/low for channel calculation — minor difference in channel width.
The Pine script applies a [1] offset (previous bar's channel), meaning the current bar's close is not included in the channel. The built-in template should replicate this with a 1-bar lag on the channel, which the engine's execution lag partially compensates for but may not perfectly match.
There is no explicit exit logic; positions are only reversed when the opposite signal fires. The engine should hold positions until reversal.

Metric	Original ★	Improved +trend_strength+vol_target
OOS Sharpe	0.056	-0.174
Stress Sharpe (3x cost)	0.033	-0.243
Ann return	1.2%	-2.3%
Max drawdown	-42.0%	-31.1%
Ann turnover	4.9	8.9
PSR (P[Sharpe>0])	0.558	0.325
Bootstrap p(mean<=0)	0.435	0.676

Recommended: original — OOS Sharpe 0.056, PSR 0.558, bootstrap p 0.435.

Breadth — does the same edge hold elsewhere?

MIXED — works in some places; likely regime/asset specific

Across assets: 7/8 positive (7/8 under stress), median Sharpe 0.408

Asset	Sharpe	Stress
SPY	0.45	0.36
QQQ	0.57	0.50
IWM	0.08	0.06
EEM	0.06	0.03
EWZ	-0.18	-0.20
GLD	0.46	0.42
AAPL	0.36	0.31
MSFT	0.88	0.83

Timeframe	Sharpe	Stress
D	0.06	0.03
W	-0.06	-0.07
M	0.00	0.00

Want your strategy checked like this — out-of-sample, net of cost?

Request a free analysis of any strategy →

Out-of-sample, net of cost. PSR / bootstrap / stress-test robustness is what a TradingView backtest cannot show. Not investment advice.