[Famous-Q] Turtle System 1 (20/10)

public
@djgambhir

BTCUSDT · 4h · 2021-12-31 → 2026-08-31 · 10,228 bars in 9.5ms

Underperformed the market. Holding BTCUSDT returned +63.72% over the same period, against this strategy’s +22.39%.

Net P&L
+22.39%
$2,239.45
Max drawdown
-18.58%
Max run-up
+49.48%
Trades
277
33.2% win rate
Profit factor
1.17
2021-12-31drawdown · worst -18.58%2026-08-31
TrainingValidationOut-of-sample
SegmentPeriodReturnMax drawdownTradesWin rate
Training2022-01-01 → 2024-10-19+36.14%-8.57%15338%
Validation2024-10-19 → 2025-09-25-9.11%-15.19%6023%
Out-of-sample2025-09-25 → 2026-08-31-0.49%-10.60%6332%

Risk-adjusted

Sharpe
0.49
Sortino
0.72
Calmar
0.24
Return ÷ max drawdown
1.21
CAGR
+4.43%
Exposure
61.0%

Per trade

Expectancy
$8.08 · +0.33%
Average win / loss
$168.84 / −$71.86
Payoff ratio
2.35
Largest win / loss
$931.92 / −$160.86
Longest losing streak(winning: 4)
9 trades

Drawdown over time

Max drawdown
-18.58%
Longest time under water(still going at the end)
648 days
Worst drawdown recovered in
not recovered

Costs and mechanics

Fees paid
−$841.52
Funding
−$214.21
Liquidations
0
Warmup bars(loaded before the start date)
19
Benchmark(buy and hold)
+63.72%

Monte Carlo

1,000 alternative histories, each 277 trades drawn at random from this run’s own. The bands hold the middle 50% and 90% of them; the solid line is what actually happened.

this runmedian of the historiesmiddle 50% · 90%
Unlucky (5%)TypicalLucky (95%)
Return-14.96%+20.79%+82.64%
Max drawdown-27.29%-15.37%-9.19%

20% of histories lost money, and 31% had a deeper drawdown than this run’s -18.58%. Assumes trades are independent; real losing streaks cluster, so the true spread is usually wider.

Settings

hh20 length
20
ll20 length
20
hh10 length
10
ll10 length
10
atr20 length
20
Stop loss (× atr20)
2
Leverage (×)
1
Position size (% of equity)
25

BTCUSDT with every trade

Loading prices…
▲ long opened▼ short opened● closed at a profit● closed at a loss

Trades

277 trades · 201–277 shown

#SideEntryExitHeldP&LReturnClosed by
201long2025-07-02 20:00 @ 109,643.722025-07-04 12:00 @ 107,749.301d 16h−$58.03-1.85%stop loss
202long2025-07-09 20:00 @ 111,741.142025-07-15 04:00 @ 117,185.765d 8h$144.03+4.61%signal
203short2025-07-15 08:00 @ 116,753.742025-07-16 12:00 @ 119,474.581d 4h−$75.51-2.39%stop loss
204short2025-07-25 04:00 @ 115,361.622025-07-26 08:00 @ 118,174.451d 4h−$78.43-2.50%stop loss
205short2025-07-30 20:00 @ 116,841.832025-08-03 20:00 @ 114,281.954d$67.08+2.15%signal
206long2025-08-07 12:00 @ 116,492.392025-08-14 16:00 @ 118,162.267d 4h$36.17+1.15%signal
207short2025-08-18 04:00 @ 115,241.752025-08-22 16:00 @ 116,342.664d 12h−$31.17-0.99%signal
208short2025-08-26 00:00 @ 110,042.092025-08-28 04:00 @ 112,810.742d 4h−$81.01-2.58%stop loss
209short2025-08-29 16:00 @ 108,312.732025-09-02 04:00 @ 110,308.063d 12h−$58.55-1.88%signal
210long2025-09-02 16:00 @ 110,812.062025-09-04 16:00 @ 109,426.112d−$42.53-1.37%signal
211long2025-09-05 08:00 @ 112,922.582025-09-05 12:00 @ 110,509.764h−$69.42-2.25%stop loss
212long2025-09-09 08:00 @ 112,972.792025-09-09 12:00 @ 111,078.074h−$54.91-1.79%stop loss
213long2025-09-10 16:00 @ 113,824.062025-09-19 20:00 @ 115,059.389d 4h$25.66+0.84%signal
214short2025-09-22 04:00 @ 114,579.982025-09-24 16:00 @ 113,322.662d 12h$31.81+1.04%signal
215short2025-09-25 20:00 @ 109,298.642025-09-28 16:00 @ 110,012.002d 20h−$22.09-0.72%signal
216long2025-09-29 00:00 @ 112,142.122025-10-07 16:00 @ 121,763.848d 16h$253.95+8.27%signal
217short2025-10-10 16:00 @ 118,941.412025-10-12 20:00 @ 114,311.662d 4h$119.17+3.80%signal
218short2025-10-16 16:00 @ 108,452.212025-10-19 12:00 @ 107,752.152d 20h$16.67+0.53%signal
219long2025-10-20 04:00 @ 110,122.322025-10-22 08:00 @ 106,966.012d 4h−$93.62-2.96%stop loss
220long2025-10-26 12:00 @ 113,257.752025-10-29 00:00 @ 112,810.932d 12h−$17.16-0.55%signal
221short2025-10-29 20:00 @ 110,583.782025-11-02 12:00 @ 111,167.633d 16h−$17.39-0.55%signal
222short2025-11-03 16:00 @ 105,697.662025-11-09 20:00 @ 104,785.056d 4h$27.02+0.86%signal
223long2025-11-10 04:00 @ 106,011.802025-11-11 12:00 @ 103,183.821d 8h−$87.29-2.78%stop loss
224short2025-11-12 20:00 @ 101,225.052025-11-23 04:00 @ 86,278.2510d 8h$463.86+14.87%signal
225long2025-11-24 20:00 @ 88,294.762025-12-01 04:00 @ 86,301.846d 8h−$77.31-2.39%signal
226short2025-12-01 16:00 @ 84,633.072025-12-02 00:00 @ 87,248.828h−$102.66-3.19%stop loss
227long2025-12-03 04:00 @ 92,607.722025-12-05 16:00 @ 90,395.822d 12h−$80.12-2.51%signal
228long2025-12-09 16:00 @ 92,695.442025-12-11 00:00 @ 89,926.291d 8h−$98.35-3.10%stop loss
229short2025-12-15 00:00 @ 88,101.182025-12-17 12:00 @ 90,372.332d 12h−$83.34-2.65%stop loss
230short2025-12-18 20:00 @ 84,430.112025-12-19 00:00 @ 87,343.324h−$110.83-3.55%stop loss
231long2025-12-22 12:00 @ 89,923.182025-12-23 04:00 @ 87,699.5416h−$79.93-2.58%stop loss
232short2025-12-23 08:00 @ 87,513.792025-12-26 04:00 @ 88,813.962d 20h−$47.03-1.53%signal
233long2025-12-29 04:00 @ 90,109.522025-12-29 08:00 @ 88,455.504h−$59.61-1.94%stop loss
234long2026-01-02 12:00 @ 89,476.192026-01-08 08:00 @ 90,491.705d 20h$28.75+0.94%signal
235long2026-01-13 16:00 @ 93,426.582026-01-16 16:00 @ 94,518.693d$31.80+1.04%signal
236short2026-01-19 00:00 @ 93,595.282026-01-28 00:00 @ 89,215.649d$144.69+4.72%signal
237long2026-01-28 12:00 @ 90,054.912026-01-29 00:00 @ 88,047.9412h−$72.54-2.34%stop loss
238short2026-01-29 16:00 @ 84,880.922026-02-13 16:00 @ 68,665.8315d$584.98+18.97%signal
239long2026-02-14 12:00 @ 70,478.892026-02-15 20:00 @ 68,250.051d 8h−$105.28-3.26%signal
240short2026-02-18 20:00 @ 66,125.072026-02-21 12:00 @ 68,501.702d 16h−$118.13-3.69%stop loss
241long2026-02-21 16:00 @ 68,585.212026-02-23 00:00 @ 66,657.121d 8h−$92.86-2.93%stop loss
242short2026-02-23 04:00 @ 64,881.122026-02-25 12:00 @ 66,851.892d 8h−$98.93-3.14%stop loss
243long2026-02-25 20:00 @ 69,019.002026-02-26 16:00 @ 66,498.6420h−$117.26-3.75%stop loss
244long2026-03-02 16:00 @ 69,102.922026-03-03 12:00 @ 66,123.7220h−$136.56-4.41%stop loss
245long2026-03-04 12:00 @ 71,096.522026-03-06 16:00 @ 68,454.612d 4h−$117.20-3.83%signal
246short2026-03-07 20:00 @ 67,029.192026-03-09 16:00 @ 68,846.171d 20h−$85.88-2.83%signal
247long2026-03-10 12:00 @ 70,584.212026-03-18 12:00 @ 72,891.828d$97.17+3.23%signal
248short2026-03-19 08:00 @ 70,130.972026-03-25 12:00 @ 71,664.636d 4h−$69.54-2.29%signal
249short2026-03-27 12:00 @ 66,649.972026-03-30 08:00 @ 67,609.422d 20h−$47.17-1.56%signal
250long2026-04-01 08:00 @ 68,665.632026-04-02 00:00 @ 66,600.5116h−$93.51-3.11%stop loss
251long2026-04-06 00:00 @ 69,011.702026-04-12 16:00 @ 70,841.936d 16h$75.93+2.54%signal
252long2026-04-14 00:00 @ 74,399.782026-04-19 08:00 @ 75,190.665d 8h$31.07+1.03%signal
253long2026-04-22 04:00 @ 77,503.902026-04-27 16:00 @ 76,744.655d 12h−$30.95-1.03%signal
254short2026-04-28 12:00 @ 76,183.662026-04-29 08:00 @ 77,867.9520h−$69.32-2.31%stop loss
255short2026-04-29 20:00 @ 75,503.302026-05-01 00:00 @ 77,248.021d 4h−$72.39-2.42%stop loss
256long2026-05-01 16:00 @ 78,411.082026-05-07 16:00 @ 79,845.536d$52.88+1.78%signal
257long2026-05-11 00:00 @ 82,194.142026-05-11 00:00 @ 80,577.050m−$61.76-2.07%stop loss
258short2026-05-13 16:00 @ 78,778.942026-05-14 12:00 @ 80,435.5820h−$65.10-2.20%stop loss
259short2026-05-16 08:00 @ 78,318.632026-05-21 04:00 @ 78,054.814d 20h$8.66+0.29%signal
260short2026-05-22 20:00 @ 75,811.932026-05-23 20:00 @ 77,337.981d−$62.08-2.10%stop loss
261short2026-05-28 00:00 @ 74,403.122026-06-07 12:00 @ 62,611.3210d 12h$466.65+15.90%signal
262long2026-06-14 00:00 @ 64,431.182026-06-17 12:00 @ 64,761.653d 12h$13.24+0.43%signal
263short2026-06-18 16:00 @ 62,325.332026-06-20 12:00 @ 64,202.851d 20h−$94.53-3.09%stop loss
264long2026-06-22 16:00 @ 64,820.962026-06-23 04:00 @ 63,295.3312h−$74.62-2.46%stop loss
265short2026-06-23 08:00 @ 62,836.732026-06-27 16:00 @ 60,829.464d 8h$94.17+3.13%signal
266short2026-06-30 16:00 @ 58,344.532026-07-01 12:00 @ 60,076.8120h−$92.92-3.06%stop loss
267long2026-07-02 12:00 @ 61,341.372026-07-08 12:00 @ 62,257.556d$37.74+1.25%signal
268long2026-07-10 12:00 @ 64,407.082026-07-13 00:00 @ 62,783.482d 12h−$80.54-2.66%stop loss
269long2026-07-14 16:00 @ 64,740.352026-07-17 00:00 @ 63,788.342d 8h−$48.52-1.62%signal
270long2026-07-20 16:00 @ 65,583.212026-07-23 08:00 @ 65,392.222d 16h−$12.69-0.42%signal
271short2026-07-24 16:00 @ 64,052.292026-07-26 16:00 @ 64,746.452d−$34.55-1.16%signal
272short2026-07-28 04:00 @ 63,297.342026-07-29 04:00 @ 64,468.621d−$57.63-1.93%stop loss
273long2026-08-05 20:00 @ 64,818.662026-08-10 16:00 @ 64,255.854d 20h−$30.98-1.05%signal
274short2026-08-10 20:00 @ 64,004.402026-08-17 04:00 @ 63,422.386d 8h$27.01+0.91%signal
275long2026-08-17 16:00 @ 64,182.632026-08-23 08:00 @ 76,005.005d 16h$538.38+18.17%signal
276long2026-08-25 04:00 @ 80,473.692026-08-25 20:00 @ 77,939.5216h−$101.22-3.27%stop loss
277short2026-08-28 20:00 @ 77,530.792026-08-30 16:00 @ 78,806.961d 20h−$52.19-1.70%signal

How this was run

Orders fill at the next bar’s open, never at the close that produced the signal. When one bar’s range covered both the stop and the target, the stop was taken, because the data cannot say which came first. Fees, slippage and funding are all charged.

Warmup history was loaded from before 2022-01-01 so the requested window is fully tradable.

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