Strategies / Breakout / Little Turtle Breakout

Little Turtle: a long only 100 bar breakout

Little Turtle buys when the high breaks the highest high of the previous 100 bars. It sells when the low breaks the lowest low of the previous 100 bars. There is nothing else, so it simply rides long trends until they fail.

BreakoutLong onlySwingS&P 5004 hours

1.99Profit factor

3,432Net profit EUR

45.71%Win rate

105Trades

-645Max drawdown

32.69Avg trade

Best run of 47. S&P 500, 4 hours, spread 1, from run pf:2026-09-24-USA500-4h.tsv:1.

Entry rules, long

Members only

Exit rules

Members only
No stop loss or target

Test conditions

Period	Up to 2026-09-24
Instrument	S&P 500, 4 hours
Spread	1 points
Contracts	1
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-09-24

Parameters

positionSize Contracts per trade	1
channelPeriod Donchian channel length	100

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
S&P 500Best run	4 hours	1.99	105	45.71	3,432 EUR	-645
Gold	5 min	1.35	675	36.89	2,169 EUR	-547
Nasdaq 100	5 min	1.30	729	38.55	12,442 EUR	-2,361
USD/JPY	Daily	n/a	39	35.90	687,430 JPY	-594,130
USD/JPY	30 min	n/a	628	41.72	602,890 JPY	-196,780
USD/JPY	10 min	n/a	665	42.56	564,350 JPY	-173,390
USD/JPY	15 min	n/a	616	42.05	537,570 JPY	-138,090
USD/JPY	5 min	n/a	669	39.91	177,880 JPY	-135,060
EUR/USD	Daily	n/a	37	40.54	48,413 USD	-41,250
Nikkei 225	1 hour	n/a	305	44.26	34,520 USD	-8,801
Silver	15 min	n/a	616	38.64	28,606 USD	-11,697
Dow Jones	Daily	n/a	42	59.52	25,682 EUR	-5,733
Nikkei 225	4 hours	n/a	87	41.38	22,893 USD	-12,662
Nikkei 225	10 min	n/a	633	39.34	20,474 USD	-14,007
Nikkei 225	30 min	n/a	621	41.06	19,571 USD	-14,137
Nikkei 225	3 min	n/a	692	38.15	18,678 USD	-13,426
Nasdaq 100	Daily	n/a	35	68.57	18,649 EUR	-3,269
Silver	2 min	n/a	668	38.17	17,057 USD	-14,319
Silver	3 min	n/a	695	36.12	14,831 USD	-11,545
Nasdaq 100	4 hours	n/a	106	49.06	14,721 EUR	-5,037
Silver	10 min	n/a	717	35.43	14,508 USD	-11,720
Nikkei 225	15 min	n/a	627	37.80	14,242 USD	-10,546
Nikkei 225	2 min	n/a	717	36.54	11,464 USD	-9,003
DAX 40	Daily	n/a	45	48.89	10,917 EUR	-6,506
Nikkei 225	1 min	n/a	676	38.46	10,916 USD	-8,106
Nasdaq 100	30 min	n/a	641	43.37	10,067 EUR	-4,835
Nasdaq 100	1 hour	n/a	392	44.39	9,777 EUR	-5,672
DAX 40	30 min	n/a	665	40.90	8,179 EUR	-4,783
Dow Jones	5 min	n/a	786	32.32	6,760 EUR	-5,132
Nasdaq 100	3 min	n/a	698	38.97	6,476 EUR	-3,582
GBP/USD	Daily	n/a	37	51.35	6,427 USD	-5,177
Nasdaq 100	15 min	n/a	630	41.90	6,122 EUR	-4,600
DAX 40	5 min	n/a	698	36.25	5,951 EUR	-2,335
S&P 500	Daily	n/a	41	75.61	4,945 EUR	-709
DAX 40	10 min	n/a	712	38.62	4,307 EUR	-2,839
DAX 40	1 hour	n/a	389	39.33	3,785 EUR	-3,588
Gold	Daily	n/a	29	41.38	3,734 EUR	-1,466
Gold	1 hour	n/a	360	43.61	3,093 EUR	-1,196
Gold	30 min	n/a	619	42.16	2,605 EUR	-1,373
Gold	10 min	n/a	696	39.80	2,475 EUR	-655
Gold	15 min	n/a	627	37.80	2,309 EUR	-698
Gold	4 hours	n/a	95	46.32	2,192 EUR	-1,398
S&P 500	1 hour	n/a	398	42.21	2,075 EUR	-1,034
Gold	3 min	n/a	681	38.47	1,564 EUR	-511
S&P 500	30 min	n/a	649	42.37	1,493 EUR	-953
S&P 500	5 min	n/a	753	35.59	1,297 EUR	-581
Gold	2 min	n/a	665	36.99	1,012 EUR	-590

Charts

Results by run

Profit factor by run

Above 1.0 made money, below 1.0 lost money.

Net profit against max drawdown

Net profitMax drawdown

Longer history

Re-run on up to 1,000,000 bars

With 926,000 bars available on Nasdaq 100 5 minutes, net profit fell to EUR 8,006.5 from EUR 12,441.7 in the standard run, because the older data alone lost EUR 4,435.2.

Nasdaq 100 · 5 min

Bars available	926,000
Net, standard 200,000-bar run	12,441.70 EUR
Net, long run	8,006.50 EUR
Net on the older data alone	-4,435.20 EUR

The code

ProBuilder, rewritten to house standard

Every file in the library uses the same header, the same section order and the same variable names. The numbers above were produced by the original version before the rewrite, and the rewrite has not yet been compiled in ProRealTime.

// ============================================================
// Little Turtle Breakout
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Breakout
// Direction: Long only
// Timeframe tested: 4 hours
// ============================================================

// --- Settings ---
DEFPARAM CumulateOrders = false

// --- Parameters ---
positionSize = 1          // contracts per trade
channelPeriod = 100       // Donchian channel length

// --- Indicators ---
channelHigh = Highest[channelPeriod](high[1])
channelLow = Lowest[channelPeriod](low[1])

15 more lines: the entry and exit rules.

Read this first

Known weaknesses

No stop loss or target. The exit channel sits 100 bars back, so a lot of profit can be given back before it triggers.
The best run had only 105 trades, and several daily tests had between 29 and 45 trades.
On USD/JPY Daily, max drawdown was JPY 594,130 against JPY 687,430 profit from only 39 trades.
The long history rerun on Nasdaq 100 5 minutes fell from EUR 12,441.7 to EUR 8,006.5, and the older data alone came to EUR -4,435.2.

Indicators used

Donchian Channel

How to load it

Copy the code with the copy button above the code block.
In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Questions

About this strategy

Can Little Turtle run in ProOrder?

Yes, it is a two rule long only ProOrder system. Compile check the rewrite before live trading.

Which markets were tested?

46 runs across DAX 40, Dow Jones, EUR/USD, GBP/USD, Gold, Nasdaq 100, Nikkei 225, S&P 500, Silver and USD/JPY, and all were profitable. Nasdaq 100 5 minutes reached a profit factor of 1.3.

What risk comes with 1 contract?

On S&P 500 4 hours the max drawdown was EUR 645.38. With no stop, a sudden reversal can create a loss larger than that.

Why 4 hour bars?

On 4 hours, 100 bars cover several weeks of price, which filters out small breakouts. That run gave the best recorded profit factor, 1.99.

Turtle Trade

Uses the same indicator.

2.42 PF · 6,324 trades

Candle Body Sum Intraday

Best run on the same market, S&P 500.

2.86 PF · 124 trades

RSI(2) Pullback MA Exit

A similar profit factor.

1.99 PF · 627 trades

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Copy trading on US indices is available to ProRealAlgos members as spots open.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.com Stats Docs