B
Trading Autopsy
Turtle 20-Day Breakout on Bitcoin · BTC-USD · 1d bars
· 2017-01-01 → 2026-07-06 · report generated 2026-07-06
Verdict: Holds up under most scrutiny, with caveats worth respecting.
- Out-of-sample performance holds up (Sharpe 0.83 vs 1.26 in-sample) — a good sign it isn't curve-fit.
- Profitable in all 4 time segments — consistent across regimes.
- Survives a 2x cost stress test.
- 52 trades is a modest sample; treat the metrics as indicative, not proven.
- Max drawdown -18.4% — most people abandon a strategy long before -30%.
- Monte Carlo: with the same trades reshuffled, a -51.8% drawdown was plausible — the realized -18.4% was partly luck of the ordering.
- Buy & hold returned 6174.9% over the same period vs the strategy's 860.2% — all this effort underperformed doing nothing.
The strategy as tested
Direction: long. Entry when ALL of:
close > highest(high, 20)
Exit: stop at 2.0× ATR(14); signal: close < lowest(low, 10).
Costs modeled: 0.1% fee per side + 10 bps adverse slippage.
Fills occur at the next bar's open after each signal — no same-bar fantasy fills.
When a stop and target are both touched in one bar, the stop is assumed to hit first (pessimistic).
Headline results (full period)
| Total return | +860.2% |
| CAGR | +26.9% |
| Buy & hold same period | +6174.9% |
| Max drawdown | -18.4% |
| Sharpe ratio | 1.14 |
| Sortino ratio | 1.13 |
| Trades | 52 (5/yr) |
| Win rate | 44.2% |
| Profit factor | 4.08 |
| Avg trade | +15.58% |
| Avg holding time | 28.2 days |
| Total fees & slippage paid | $1,869 |
Monthly returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|
| 2017 | | +6.0% | -1.8% | +3.2% | +17.5% | +3.1% | -1.5% | +7.5% | -4.0% | +8.1% | +3.8% | +6.7% |
|---|
| 2018 | +0.0% | -1.0% | -1.0% | +0.8% | -1.8% | +0.0% | -0.4% | -1.6% | -1.8% | +0.0% | +0.0% | +0.0% |
|---|
| 2019 | +0.0% | -0.8% | -3.4% | +17.7% | +38.9% | -4.5% | -1.5% | -2.1% | +0.0% | -0.2% | -1.0% | +0.0% |
|---|
| 2020 | +6.4% | -0.1% | +0.0% | +2.3% | +0.3% | -2.1% | +10.5% | +0.1% | +0.0% | +8.8% | +19.2% | +25.9% |
|---|
| 2021 | +9.0% | +24.2% | +12.1% | -2.1% | +0.0% | +0.0% | +3.7% | +3.2% | -2.3% | +2.8% | -2.1% | +0.0% |
|---|
| 2022 | +0.0% | -1.8% | +0.9% | -1.4% | +0.0% | +0.0% | +0.7% | -2.2% | -2.1% | -0.6% | -1.5% | -2.1% |
|---|
| 2023 | +25.6% | -6.6% | +3.5% | -1.2% | +0.0% | +2.5% | -1.6% | +0.0% | +0.0% | +6.7% | +4.2% | +6.0% |
|---|
| 2024 | -0.8% | +12.8% | +0.4% | +0.0% | +0.4% | -0.6% | -0.1% | -3.4% | +0.7% | +0.3% | +12.0% | -1.2% |
|---|
| 2025 | +3.7% | -2.0% | +0.0% | +0.2% | +2.8% | +0.0% | +1.7% | -3.2% | -2.1% | -2.1% | +0.0% | +0.0% |
|---|
| 2026 | -1.5% | +0.0% | -1.2% | +0.7% | +0.7% | +0.0% | +0.0% | | | | | |
|---|
Out-of-sample test
The strategy was evaluated on data after 2023-08-29 that plays no role in the
in-sample window. Overfit strategies collapse here.
| In-sample | Out-of-sample |
|---|
| Total return | +592.6% | +38.6% |
| Sharpe | 1.26 | 0.83 |
| Max drawdown | -18.4% | -11.9% |
| Win rate | 47.2% | 37.5% |
| Trades | 36 | 16 |
Consistency across time
| Period | Return | Max DD | Trades |
|---|
| 2017-01-01 – 2019-05-19 | +123.4% | -18.4% | 13 |
| 2019-05-19 – 2021-10-03 | +189.2% | -18.0% | 12 |
| 2021-10-03 – 2024-02-18 | +35.9% | -14.2% | 15 |
| 2024-02-18 – 2026-07-05 | +9.6% | -11.9% | 14 |
Monte Carlo drawdown analysis
1,000 reshuffles of the realized trade sequence — how bad could the drawdown have been
with the exact same trades in a different order?
| Median max drawdown (reshuffled) | -35.5% |
| 95th-percentile max drawdown | -51.8% |
| Worst simulated drawdown | -64.3% |
| Simulations ending profitable | 100% |
Cost sensitivity
| Zero costs | As modeled | 2× costs |
|---|
| Total return | +918.9% |
+860.2% | +777.8% |
This report is independent historical research provided for educational purposes only. It is not financial advice, not a recommendation to buy or sell any security, and not a prediction of future results. Backtested performance has inherent limitations: it is hypothetical, does not reflect actual capital at risk, and past performance does not guarantee future results. Trading involves substantial risk of loss.